{"id":"https://openalex.org/W2056981121","doi":"https://doi.org/10.1016/j.ejor.2010.09.038","title":"Continuous time mean variance asset allocation: A time-consistent strategy","display_name":"Continuous time mean variance asset allocation: A time-consistent strategy","publication_year":2010,"publication_date":"2010-10-07","ids":{"openalex":"https://openalex.org/W2056981121","doi":"https://doi.org/10.1016/j.ejor.2010.09.038","mag":"2056981121"},"language":"en","primary_location":{"is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.ejor.2010.09.038","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false},"type":"article","type_crossref":"journal-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/A5109843549","display_name":"J. Wang","orcid":null},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"J. Wang","raw_affiliation_strings":["David R.\u00a0Cheriton School of Computer Science, University of Waterloo, Waterloo, ON, Canada N2L 3G1"],"affiliations":[{"raw_affiliation_string":"David R.\u00a0Cheriton School of Computer Science, University of Waterloo, Waterloo, ON, Canada N2L 3G1","institution_ids":["https://openalex.org/I151746483"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103261400","display_name":"Peter Forsyth","orcid":"https://orcid.org/0000-0001-7841-7891"},"institutions":[{"id":"https://openalex.org/I151746483","display_name":"University of Waterloo","ror":"https://ror.org/01aff2v68","country_code":"CA","type":"education","lineage":["https://openalex.org/I151746483"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"P.A. Forsyth","raw_affiliation_strings":["David R.\u00a0Cheriton School of Computer Science, University of Waterloo, Waterloo, ON, Canada N2L 3G1"],"affiliations":[{"raw_affiliation_string":"David R.\u00a0Cheriton School of Computer Science, University of Waterloo, Waterloo, ON, Canada N2L 3G1","institution_ids":["https://openalex.org/I151746483"]}]}],"institution_assertions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":3290,"currency":"USD","value_usd":3290,"provenance":"doaj"},"apc_paid":null,"fwci":4.962,"has_fulltext":true,"fulltext_origin":"ngrams","cited_by_count":122,"citation_normalized_percentile":{"value":0.975627,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":97,"max":98},"biblio":{"volume":"209","issue":"2","first_page":"184","last_page":"201"},"is_retracted":false,"is_paratext":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9989,"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":0.9989,"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":"Financial Markets and Investment Strategies","score":0.9964,"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":0.992,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/investment","display_name":"Investment","score":0.5794534}],"concepts":[{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.63038456},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.5794534},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.57610136},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.5657468},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.54320025},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.53685665},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.48913863},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4364032},{"id":"https://openalex.org/C77618280","wikidata":"https://www.wikidata.org/wiki/Q1155772","display_name":"Scheme (mathematics)","level":2,"score":0.43375707},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4112494},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.37714857},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.30326813},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.26756793},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.14930943},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","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},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.ejor.2010.09.038","pdf_url":null,"source":{"id":"https://openalex.org/S103321696","display_name":"European Journal of Operational Research","issn_l":"0377-2217","issn":["0377-2217","1872-6860"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.49,"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17"}],"grants":[],"datasets":[],"versions":[],"referenced_works_count":23,"referenced_works":["https://openalex.org/W1574366603","https://openalex.org/W1791174547","https://openalex.org/W1971197950","https://openalex.org/W1971952725","https://openalex.org/W1987528389","https://openalex.org/W2002788332","https://openalex.org/W2005158847","https://openalex.org/W2016864253","https://openalex.org/W2032056897","https://openalex.org/W2048207845","https://openalex.org/W2065030872","https://openalex.org/W2071292843","https://openalex.org/W2073168439","https://openalex.org/W2076213360","https://openalex.org/W2096877327","https://openalex.org/W2099190203","https://openalex.org/W2113155572","https://openalex.org/W2124006892","https://openalex.org/W2132621139","https://openalex.org/W3106108365","https://openalex.org/W3121342156","https://openalex.org/W3124574885","https://openalex.org/W3124854273"],"related_works":["https://openalex.org/W4385343760","https://openalex.org/W3163569509","https://openalex.org/W3122389665","https://openalex.org/W3121950014","https://openalex.org/W3038342957","https://openalex.org/W2899084033","https://openalex.org/W2811177645","https://openalex.org/W2597091824","https://openalex.org/W2508126178","https://openalex.org/W2054529621"],"abstract_inverted_index":null,"cited_by_api_url":"https://api.openalex.org/works?filter=cites:W2056981121","counts_by_year":[{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":10},{"year":2021,"cited_by_count":8},{"year":2020,"cited_by_count":11},{"year":2019,"cited_by_count":11},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":13},{"year":2016,"cited_by_count":14},{"year":2015,"cited_by_count":12},{"year":2014,"cited_by_count":11},{"year":2013,"cited_by_count":11},{"year":2012,"cited_by_count":5}],"updated_date":"2024-12-05T22:44:15.629126","created_date":"2016-06-24"}