{"id":"https://openalex.org/W2022427341","doi":"https://doi.org/10.1109/acc.2012.6314695","title":"Data-driven asset allocation with guaranteed short-fall probability","display_name":"Data-driven asset allocation with guaranteed short-fall probability","publication_year":2012,"publication_date":"2012-06-01","ids":{"openalex":"https://openalex.org/W2022427341","doi":"https://doi.org/10.1109/acc.2012.6314695","mag":"2022427341"},"language":"en","primary_location":{"is_oa":false,"landing_page_url":"https://doi.org/10.1109/acc.2012.6314695","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false},"type":"article","type_crossref":"proceedings-article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5041746196","display_name":"Giuseppe C. Calafiore","orcid":"https://orcid.org/0000-0002-6428-5653"},"institutions":[{"id":"https://openalex.org/I177477856","display_name":"Polytechnic University of Turin","ror":"https://ror.org/00bgk9508","country_code":"IT","type":"education","lineage":["https://openalex.org/I177477856"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"G. C. Calafiore","raw_affiliation_strings":["Dipartimento di Automatica e Informatica - Politecnico di Torino, ITALY#TAB#"],"affiliations":[{"raw_affiliation_string":"Dipartimento di Automatica e Informatica - Politecnico di Torino, ITALY#TAB#","institution_ids":["https://openalex.org/I177477856"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5037251856","display_name":"Bruno Monastero","orcid":null},"institutions":[{"id":"https://openalex.org/I177477856","display_name":"Polytechnic University of Turin","ror":"https://ror.org/00bgk9508","country_code":"IT","type":"education","lineage":["https://openalex.org/I177477856"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"B. Monastero","raw_affiliation_strings":["Dipartimento di Automatica e Informatica - Politecnico di Torino, ITALY#TAB#"],"affiliations":[{"raw_affiliation_string":"Dipartimento di Automatica e Informatica - Politecnico di Torino, ITALY#TAB#","institution_ids":["https://openalex.org/I177477856"]}]}],"institution_assertions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.829,"has_fulltext":true,"fulltext_origin":"ngrams","cited_by_count":11,"citation_normalized_percentile":{"value":0.852215,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":86,"max":87},"biblio":{"volume":"11","issue":null,"first_page":"3687","last_page":"3692"},"is_retracted":false,"is_paratext":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Robust Optimization for Risk Management and Finance","score":0.9999,"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":"Robust Optimization for Risk Management and Finance","score":0.9999,"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":"Theory and Applications of Option Pricing Models","score":0.9981,"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/T10047","display_name":"Asset Pricing and Market Efficiency","score":0.9969,"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/portfolio-optimization","display_name":"Portfolio Optimization","score":0.65257},{"id":"https://openalex.org/keywords/robust-optimization","display_name":"Robust Optimization","score":0.548298},{"id":"https://openalex.org/keywords/asset-pricing","display_name":"Asset Pricing","score":0.528369},{"id":"https://openalex.org/keywords/uncertain-data","display_name":"Uncertain Data","score":0.518158},{"id":"https://openalex.org/keywords/volatility-modeling","display_name":"Volatility Modeling","score":0.502529}],"concepts":[{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.70200443},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.68513966},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6295689},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.595255},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5684675},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5543268},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.47167692},{"id":"https://openalex.org/C18653775","wikidata":"https://www.wikidata.org/wiki/Q1333358","display_name":"Joint probability distribution","level":2,"score":0.44065425},{"id":"https://openalex.org/C149441793","wikidata":"https://www.wikidata.org/wiki/Q200726","display_name":"Probability distribution","level":2,"score":0.43309876},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4330889},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.23959026},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.18939194},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.1568026},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.112689376},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"is_oa":false,"landing_page_url":"https://doi.org/10.1109/acc.2012.6314695","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false}],"best_oa_location":null,"sustainable_development_goals":[],"grants":[],"datasets":[],"versions":[],"referenced_works_count":20,"referenced_works":["https://openalex.org/W1551275368","https://openalex.org/W1559535630","https://openalex.org/W1968355947","https://openalex.org/W1976466849","https://openalex.org/W2010997253","https://openalex.org/W2021472931","https://openalex.org/W2055688117","https://openalex.org/W2069099760","https://openalex.org/W2077491827","https://openalex.org/W2105235982","https://openalex.org/W2131295967","https://openalex.org/W2146651522","https://openalex.org/W2150664153","https://openalex.org/W2164883547","https://openalex.org/W2167412190","https://openalex.org/W2510104834","https://openalex.org/W2568096850","https://openalex.org/W2801616131","https://openalex.org/W4249692389","https://openalex.org/W4300567850"],"related_works":["https://openalex.org/W4297670780","https://openalex.org/W3102821031","https://openalex.org/W3097398805","https://openalex.org/W2951801950","https://openalex.org/W2122857041","https://openalex.org/W1987264987","https://openalex.org/W1861863552","https://openalex.org/W1539131693","https://openalex.org/W1511426354","https://openalex.org/W1482189126"],"abstract_inverted_index":{"In":[0],"this":[1,71],"paper":[2],"we":[3,96],"propose":[4,97],"a":[5,12,63,80,99,124,144],"novel":[6],"methodology":[7],"for":[8,61],"optimal":[9,84,114],"allocation":[10],"of":[11,14,43,70,109,126,165,174,178],"portfolio":[13,26,104],"risky":[15],"financial":[16],"assets.":[17],"Most":[18],"existing":[19],"methods":[20],"that":[21,106,146],"aim":[22],"at":[23],"compromising":[24],"between":[25],"performance":[27],"(e.g.":[28,34],"expected":[29,148],"return)":[30],"and":[31,66,186],"its":[32],"risk":[33],"volatility":[35],"or":[36,191],"shortfall":[37,149],"probability)":[38],"need":[39,73,187],"some":[40],"statistical":[41],"model":[42],"the":[44,59,68,90,110,113,137,166,172,175,179],"asset":[45,180],"returns.":[46],"This":[47,158],"means":[48],"that:":[49],"(i)":[50],"one":[51],"needs":[52],"to":[53,103],"make":[54],"rather":[55],"strong":[56],"assumptions":[57],"on":[58,89,171,192],"market":[60],"eliciting":[62],"return":[64],"distribution,":[65],"(ii)":[67],"parameters":[69,92],"distribution":[72,177],"be":[74,189],"somehow":[75],"estimated,":[76],"which":[77],"is":[78,150,160],"quite":[79],"critical":[81],"aspect,":[82],"since":[83],"portfolios":[85,115,139],"will":[86],"then":[87],"depend":[88],"way":[91],"are":[93,116,140],"estimated.":[94],"Here":[95],"instead":[98],"direct,":[100],"data-driven,":[101],"route":[102],"optimization":[105,128],"avoids":[107],"both":[108],"mentioned":[111],"issues:":[112],"computed":[117],"directly":[118],"from":[119],"historical":[120],"data,":[121],"by":[122,143],"solving":[123],"sequence":[125],"convex":[127],"problems":[129],"(typically,":[130],"simple":[131],"linear":[132],"programs).":[133],"Much":[134],"more":[135],"importantly,":[136],"resulting":[138],"theoretically":[141],"backed":[142],"guarantee":[145],"their":[147,193],"no":[151,169],"larger":[152],"than":[153],"an":[154],"a-priori":[155],"assigned":[156],"level.":[157],"result":[159],"here":[161],"obtained":[162],"assuming":[163],"efficiency":[164],"market,":[167],"under":[168],"hypotheses":[170],"shape":[173],"joint":[176],"returns":[181],"(which":[182],"can":[183],"remain":[184],"unknown":[185],"not":[188],"estimated)":[190],"correlation":[194],"structure.":[195]},"cited_by_api_url":"https://api.openalex.org/works?filter=cites:W2022427341","counts_by_year":[{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":2}],"updated_date":"2024-10-10T23:17:17.981798","created_date":"2016-06-24"}