{"id":"https://openalex.org/W4390240769","doi":"https://doi.org/10.3934/mfc.2023052","title":"Distributionally robust sparse portfolio selection","display_name":"Distributionally robust sparse portfolio selection","publication_year":2023,"publication_date":"2023-12-26","ids":{"openalex":"https://openalex.org/W4390240769","doi":"https://doi.org/10.3934/mfc.2023052"},"language":"en","primary_location":{"id":"doi:10.3934/mfc.2023052","is_oa":true,"landing_page_url":"https://doi.org/10.3934/mfc.2023052","pdf_url":"https://www.aimsciences.org/data/article/export-pdf?id=65893ab592d3ad47ddcab82b","source":{"id":"https://openalex.org/S4210238810","display_name":"Mathematical Foundations of Computing","issn_l":"2577-8838","issn":["2577-8838"],"is_oa":true,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310315844","host_organization_name":"American Institute of Mathematical Sciences","host_organization_lineage":["https://openalex.org/P4310315844"],"host_organization_lineage_names":["American Institute of Mathematical Sciences"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Foundations of Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://www.aimsciences.org/data/article/export-pdf?id=65893ab592d3ad47ddcab82b","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101284585","display_name":"Xiwen Sheng","orcid":null},"institutions":[{"id":"https://openalex.org/I200845125","display_name":"Nanjing University of Information Science and Technology","ror":"https://ror.org/02y0rxk19","country_code":"CN","type":"education","lineage":["https://openalex.org/I200845125"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xiwen Sheng","raw_affiliation_strings":["School of Management Science and Engineering, Nanjing University of Information Science and Technology, Nanjing, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Management Science and Engineering, Nanjing University of Information Science and Technology, Nanjing, China","institution_ids":["https://openalex.org/I200845125"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100441013","display_name":"Beibei Zhang","orcid":"https://orcid.org/0000-0003-2276-248X"},"institutions":[{"id":"https://openalex.org/I118987531","display_name":"Anhui Jianzhu University","ror":"https://ror.org/0108wjw08","country_code":"CN","type":"education","lineage":["https://openalex.org/I118987531"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Beibei Zhang","raw_affiliation_strings":["School of Economics and Management, Anhui Jianzhu University, Anhui, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Economics and Management, Anhui Jianzhu University, Anhui, China","institution_ids":["https://openalex.org/I118987531"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5109647381","display_name":"Yonghui Cheng","orcid":null},"institutions":[{"id":"https://openalex.org/I192209268","display_name":"Shaoxing University","ror":"https://ror.org/0435tej63","country_code":"CN","type":"education","lineage":["https://openalex.org/I192209268"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yonghui Cheng","raw_affiliation_strings":["Department of Mathematics, Shaoxing University, Shaoxing, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, Shaoxing University, Shaoxing, China","institution_ids":["https://openalex.org/I192209268"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5074218382","display_name":"Dongqing Luan","orcid":"https://orcid.org/0000-0002-9794-6091"},"institutions":[{"id":"https://openalex.org/I141962983","display_name":"Shanghai University of Engineering Science","ror":"https://ror.org/0557b9y08","country_code":"CN","type":"education","lineage":["https://openalex.org/I141962983"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Dongqing Luan","raw_affiliation_strings":["School of Urban Rail Transportation, Shanghai University of Engineering Science, Shanghai, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Urban Rail Transportation, Shanghai University of Engineering Science, Shanghai, China","institution_ids":["https://openalex.org/I141962983"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5018213183","display_name":"Ying Ji","orcid":"https://orcid.org/0000-0002-2985-6449"},"institutions":[{"id":"https://openalex.org/I113940042","display_name":"Shanghai University","ror":"https://ror.org/006teas31","country_code":"CN","type":"education","lineage":["https://openalex.org/I113940042"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Ying Ji","raw_affiliation_strings":["School of Management, Shanghai University, Shanghai, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Management, Shanghai University, Shanghai, China","institution_ids":["https://openalex.org/I113940042"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":5,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.23427073,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"8","issue":"3","first_page":"397","last_page":"418"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.965399980545044,"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/T10928","display_name":"Probabilistic and Robust Engineering Design","score":0.9592999815940857,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.7643483877182007},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7044177055358887},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.5734495520591736},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5336856245994568},{"id":"https://openalex.org/keywords/integer-programming","display_name":"Integer programming","score":0.47462284564971924},{"id":"https://openalex.org/keywords/constraint","display_name":"Constraint (computer-aided design)","score":0.46034669876098633},{"id":"https://openalex.org/keywords/lagrangian-relaxation","display_name":"Lagrangian relaxation","score":0.43364065885543823},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.4101708233356476},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3354150652885437},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.12486308813095093}],"concepts":[{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.7643483877182007},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7044177055358887},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.5734495520591736},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5336856245994568},{"id":"https://openalex.org/C56086750","wikidata":"https://www.wikidata.org/wiki/Q6042592","display_name":"Integer programming","level":2,"score":0.47462284564971924},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.46034669876098633},{"id":"https://openalex.org/C91765299","wikidata":"https://www.wikidata.org/wiki/Q3424292","display_name":"Lagrangian relaxation","level":2,"score":0.43364065885543823},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4101708233356476},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3354150652885437},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.12486308813095093},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.3934/mfc.2023052","is_oa":true,"landing_page_url":"https://doi.org/10.3934/mfc.2023052","pdf_url":"https://www.aimsciences.org/data/article/export-pdf?id=65893ab592d3ad47ddcab82b","source":{"id":"https://openalex.org/S4210238810","display_name":"Mathematical Foundations of Computing","issn_l":"2577-8838","issn":["2577-8838"],"is_oa":true,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310315844","host_organization_name":"American Institute of Mathematical Sciences","host_organization_lineage":["https://openalex.org/P4310315844"],"host_organization_lineage_names":["American Institute of Mathematical Sciences"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Foundations of Computing","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.3934/mfc.2023052","is_oa":true,"landing_page_url":"https://doi.org/10.3934/mfc.2023052","pdf_url":"https://www.aimsciences.org/data/article/export-pdf?id=65893ab592d3ad47ddcab82b","source":{"id":"https://openalex.org/S4210238810","display_name":"Mathematical Foundations of Computing","issn_l":"2577-8838","issn":["2577-8838"],"is_oa":true,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310315844","host_organization_name":"American Institute of Mathematical Sciences","host_organization_lineage":["https://openalex.org/P4310315844"],"host_organization_lineage_names":["American Institute of Mathematical Sciences"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Foundations of Computing","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4390240769.pdf"},"referenced_works_count":23,"referenced_works":["https://openalex.org/W1968355947","https://openalex.org/W1999830414","https://openalex.org/W2021384844","https://openalex.org/W2052890323","https://openalex.org/W2055959038","https://openalex.org/W2062125287","https://openalex.org/W2075545861","https://openalex.org/W2125417745","https://openalex.org/W2510785375","https://openalex.org/W2520621294","https://openalex.org/W2603509121","https://openalex.org/W2790746704","https://openalex.org/W2888472564","https://openalex.org/W2963450292","https://openalex.org/W3010717571","https://openalex.org/W3029210569","https://openalex.org/W3036569189","https://openalex.org/W3116590011","https://openalex.org/W3128135549","https://openalex.org/W3141269191","https://openalex.org/W3153729528","https://openalex.org/W4309259893","https://openalex.org/W4380685566"],"related_works":["https://openalex.org/W4360613713","https://openalex.org/W3125148470","https://openalex.org/W2768197547","https://openalex.org/W2055959038","https://openalex.org/W2068727170","https://openalex.org/W4327779378","https://openalex.org/W4206877017","https://openalex.org/W4385665922","https://openalex.org/W4361855747","https://openalex.org/W4225528185"],"abstract_inverted_index":{"In":[0,86],"this":[1],"paper,":[2],"we":[3,23,63,89],"construct":[4],"a":[5,35,67,75],"distributionally":[6],"robust":[7],"sparse":[8,125],"portfolio":[9,126],"selection":[10,127],"model":[11,57,101],"by":[12],"combining":[13],"semi-absolute":[14],"deviation":[15],"(SAD)":[16],"risk":[17,49],"function":[18,40],"with":[19],"Wasserstein":[20,36],"distance.":[21],"First,":[22],"assume":[24],"the":[25,44,52,55,83,87,96,99,118,124],"actual":[26],"distribution":[27],"of":[28,51,98],"risky":[29],"assets'":[30],"return":[31],"is":[32,41,58,79],"contained":[33],"in":[34],"ball.":[37],"The":[38,104],"objective":[39],"to":[42,81,94,113],"minimize":[43],"worst-case":[45],"excepted":[46],"loss":[47],"and":[48,102,117],"measures":[50],"portfolio.":[53],"Since":[54],"proposed":[56,100],"an":[59],"infinite":[60],"dimensional":[61],"programming,":[62],"transform":[64],"it":[65],"into":[66],"mixed-integer":[68],"programming":[69],"problem":[70],"through":[71],"some":[72],"principles.":[73],"Second,":[74],"Lagrangian":[76],"relaxation":[77],"method":[78],"designed":[80,119],"solve":[82,123],"resulting":[84],"problems.":[85],"end,":[88],"use":[90],"three":[91],"data":[92],"sets":[93],"evaluate":[95],"performance":[97],"algorithm.":[103],"results":[105],"show":[106],"that":[107],"adding":[108],"sparsity":[109],"constraint":[110],"can":[111,121],"lead":[112],"better":[114],"investment":[115],"strategies":[116],"algorithm":[120],"effectively":[122],"model.":[128]},"counts_by_year":[],"updated_date":"2025-12-22T23:10:17.713674","created_date":"2025-10-10T00:00:00"}