{"id":"https://openalex.org/W4414069199","doi":"https://doi.org/10.37190/ord/210425","title":"Mean return \u2013 standard deviation investing on the fluctuating efficient frontier","display_name":"Mean return \u2013 standard deviation investing on the fluctuating efficient frontier","publication_year":2025,"publication_date":"2025-09-08","ids":{"openalex":"https://openalex.org/W4414069199","doi":"https://doi.org/10.37190/ord/210425"},"language":"en","primary_location":{"id":"doi:10.37190/ord/210425","is_oa":true,"landing_page_url":"https://doi.org/10.37190/ord/210425","pdf_url":"https://ord.pwr.edu.pl/assets/papers_archive/ord2026vol36no1_1.pdf","source":{"id":"https://openalex.org/S2739399646","display_name":"Badania Operacyjne i Decyzje/Operations Research and Decisions","issn_l":"1230-1868","issn":["1230-1868","2081-8858","2391-6060"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310317492","host_organization_name":"Wroc\u0142aw University of Science and Technology","host_organization_lineage":["https://openalex.org/P4310317492"],"host_organization_lineage_names":["Wroc\u0142aw University of Science and Technology"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operations Research and Decisions","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://ord.pwr.edu.pl/assets/papers_archive/ord2026vol36no1_1.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5004266128","display_name":"Przemys\u0142aw Juszczuk","orcid":"https://orcid.org/0000-0001-7893-5410"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Przemys\u0142aw Juszczuk","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0001-7893-5410","affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5012510942","display_name":"Ignacy Kaliszewski","orcid":"https://orcid.org/0000-0001-5404-7400"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Ignacy Kaliszewski","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0001-5404-7400","affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5002365590","display_name":"Janusz Miroforidis","orcid":"https://orcid.org/0000-0002-1319-6239"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Janusz Miroforidis","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-1319-6239","affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5076220011","display_name":"Dmitry Podkopaev","orcid":"https://orcid.org/0000-0001-9627-9808"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Dmitry Podkopaev","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0001-9627-9808","affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5004266128"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.29919075,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"36","issue":"1","first_page":"1","last_page":"23"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.7218999862670898,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.7218999862670898,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.6238999962806702,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.6133999824523926,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/risk\u2013return-spectrum","display_name":"Risk\u2013return spectrum","score":0.6955000162124634},{"id":"https://openalex.org/keywords/efficient-frontier","display_name":"Efficient frontier","score":0.6801000237464905},{"id":"https://openalex.org/keywords/standard-deviation","display_name":"Standard deviation","score":0.6347000002861023},{"id":"https://openalex.org/keywords/investment-performance","display_name":"Investment performance","score":0.5902000069618225},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5741999745368958},{"id":"https://openalex.org/keywords/rate-of-return-on-a-portfolio","display_name":"Rate of return on a portfolio","score":0.5494999885559082},{"id":"https://openalex.org/keywords/expected-return","display_name":"Expected return","score":0.5224000215530396},{"id":"https://openalex.org/keywords/holding-period-return","display_name":"Holding period return","score":0.4733999967575073},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.44769999384880066}],"concepts":[{"id":"https://openalex.org/C30755413","wikidata":"https://www.wikidata.org/wiki/Q1245402","display_name":"Risk\u2013return spectrum","level":3,"score":0.6955000162124634},{"id":"https://openalex.org/C51485801","wikidata":"https://www.wikidata.org/wiki/Q16966861","display_name":"Efficient frontier","level":3,"score":0.6801000237464905},{"id":"https://openalex.org/C22679943","wikidata":"https://www.wikidata.org/wiki/Q159375","display_name":"Standard deviation","level":2,"score":0.6347000002861023},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5927000045776367},{"id":"https://openalex.org/C26584437","wikidata":"https://www.wikidata.org/wiki/Q6060874","display_name":"Investment performance","level":4,"score":0.5902000069618225},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5741999745368958},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.557200014591217},{"id":"https://openalex.org/C104946779","wikidata":"https://www.wikidata.org/wiki/Q7295542","display_name":"Rate of return on a portfolio","level":4,"score":0.5494999885559082},{"id":"https://openalex.org/C154611145","wikidata":"https://www.wikidata.org/wiki/Q4331879","display_name":"Expected return","level":3,"score":0.5224000215530396},{"id":"https://openalex.org/C32360154","wikidata":"https://www.wikidata.org/wiki/Q12662272","display_name":"Holding period return","level":5,"score":0.4733999967575073},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.44769999384880066},{"id":"https://openalex.org/C26021514","wikidata":"https://www.wikidata.org/wiki/Q4669830","display_name":"Absolute return","level":5,"score":0.4058000147342682},{"id":"https://openalex.org/C86637286","wikidata":"https://www.wikidata.org/wiki/Q7317264","display_name":"Rate of return","level":2,"score":0.4043000042438507},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.3910999894142151},{"id":"https://openalex.org/C204323151","wikidata":"https://www.wikidata.org/wiki/Q905424","display_name":"Range (aeronautics)","level":2,"score":0.38960000872612},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.3767000138759613},{"id":"https://openalex.org/C103659442","wikidata":"https://www.wikidata.org/wiki/Q1662488","display_name":"Information ratio","level":4,"score":0.36320000886917114},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.34689998626708984},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.30480000376701355},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.29899999499320984},{"id":"https://openalex.org/C75956513","wikidata":"https://www.wikidata.org/wiki/Q609343","display_name":"Portfolio investment","level":3,"score":0.2883000075817108},{"id":"https://openalex.org/C75007070","wikidata":"https://www.wikidata.org/wiki/Q2627230","display_name":"Return period","level":3,"score":0.28540000319480896},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2816999852657318},{"id":"https://openalex.org/C169549615","wikidata":"https://www.wikidata.org/wiki/Q939134","display_name":"Return on investment","level":3,"score":0.265500009059906},{"id":"https://openalex.org/C2776719154","wikidata":"https://www.wikidata.org/wiki/Q1094965","display_name":"Downside risk","level":3,"score":0.251800000667572},{"id":"https://openalex.org/C27636071","wikidata":"https://www.wikidata.org/wiki/Q7847580","display_name":"Time-weighted return","level":5,"score":0.2500999867916107}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.37190/ord/210425","is_oa":true,"landing_page_url":"https://doi.org/10.37190/ord/210425","pdf_url":"https://ord.pwr.edu.pl/assets/papers_archive/ord2026vol36no1_1.pdf","source":{"id":"https://openalex.org/S2739399646","display_name":"Badania Operacyjne i Decyzje/Operations Research and Decisions","issn_l":"1230-1868","issn":["1230-1868","2081-8858","2391-6060"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310317492","host_organization_name":"Wroc\u0142aw University of Science and Technology","host_organization_lineage":["https://openalex.org/P4310317492"],"host_organization_lineage_names":["Wroc\u0142aw University of Science and Technology"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operations Research and Decisions","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.37190/ord/210425","is_oa":true,"landing_page_url":"https://doi.org/10.37190/ord/210425","pdf_url":"https://ord.pwr.edu.pl/assets/papers_archive/ord2026vol36no1_1.pdf","source":{"id":"https://openalex.org/S2739399646","display_name":"Badania Operacyjne i Decyzje/Operations Research and Decisions","issn_l":"1230-1868","issn":["1230-1868","2081-8858","2391-6060"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310317492","host_organization_name":"Wroc\u0142aw University of Science and Technology","host_organization_lineage":["https://openalex.org/P4310317492"],"host_organization_lineage_names":["Wroc\u0142aw University of Science and Technology"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Operations Research and Decisions","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320322650","display_name":"Narodowym Centrum Nauki","ror":"https://ror.org/03ha2q922"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4414069199.pdf","grobid_xml":"https://content.openalex.org/works/W4414069199.grobid-xml"},"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2347401120","https://openalex.org/W2041961361","https://openalex.org/W2310010941","https://openalex.org/W1988132375","https://openalex.org/W2334292868","https://openalex.org/W579144800","https://openalex.org/W2147233680","https://openalex.org/W2069525434","https://openalex.org/W2046798653","https://openalex.org/W2021057137"],"abstract_inverted_index":{"The":[0],"Markowitz":[1],"model":[2,13],"refers":[3],"to":[4,28,66,79,100,114,139],"single-period":[5],"investing.":[6],"A":[7],"common":[8],"practice":[9],"is":[10,25,33,136],"using":[11],"this":[12,74,126],"for":[14],"multi-period":[15,30,80],"investing":[16,24,31,81],"with":[17],"portfolio":[18],"rebalancing":[19],"at":[20],"specified":[21],"times.":[22],"Such":[23],"sub-optimal":[26],"compared":[27],"dynamic":[29],"but":[32],"much":[34],"simpler,":[35],"which":[36],"matters":[37],"in":[38,109,120],"practice.":[39],"Usually,":[40],"the":[41,44,49,54,60,63,83,90,105,121,133,140,152],"investor":[42,61],"controls":[43],"risk":[45,64,71,96,119,135],"implicitly":[46],"by":[47],"selecting":[48],"desired":[50],"mean":[51,57,68,87,93,106,142],"return":[52,69,94,107,143],"within":[53],"range":[55,144],"of":[56,85,118],"returns.":[58],"Next,":[59],"assesses":[62],"according":[65],"his/her":[67],"-":[70],"profile.":[72],"However,":[73],"setup":[75],"does":[76],"not":[77],"apply":[78],"because":[82],"ranges":[84],"possible":[86,141],"returns":[88],"and":[89,95,145],"relation":[91],"between":[92],"vary":[97],"from":[98],"period":[99,111],"period.":[101],"As":[102],"a":[103,115],"result,":[104],"selected":[108],"one":[110],"can":[112,146],"correspond":[113],"different":[116],"level":[117],"next":[122],"one.":[123],"To":[124],"address":[125],"issue,":[127],"we":[128],"propose":[129],"an":[130],"approach":[131],"where":[132],"investor's":[134],"assessed":[137],"relative":[138],"be":[147],"kept":[148],"relatively":[149],"consistent":[150],"throughout":[151],"entire":[153],"investment":[154],"horizon.":[155]},"counts_by_year":[],"updated_date":"2026-03-21T06:30:42.041108","created_date":"2025-10-10T00:00:00"}