{"id":"https://openalex.org/W2104573691","doi":"https://doi.org/10.1109/ijcnn.2000.860816","title":"Adaptive improved portfolio Sharpe ratio maximization with diversification","display_name":"Adaptive improved portfolio Sharpe ratio maximization with diversification","publication_year":2000,"publication_date":"2000-01-01","ids":{"openalex":"https://openalex.org/W2104573691","doi":"https://doi.org/10.1109/ijcnn.2000.860816","mag":"2104573691"},"language":"en","primary_location":{"id":"doi:10.1109/ijcnn.2000.860816","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ijcnn.2000.860816","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the IEEE-INNS-ENNS International Joint Conference on Neural Networks. IJCNN 2000. Neural Computing: New Challenges and Perspectives for the New Millennium","raw_type":"proceedings-article"},"type":"conference-paper","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/A5101653316","display_name":"Xiaohui Yu","orcid":"https://orcid.org/0000-0002-6180-7508"},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"HK","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Xiaohui Yu","raw_affiliation_strings":["Department of Computer Science and Engineering, Chinese University of Hong Kong, New Territories, Hong Kong, China","Dept. of Comput. Sci. & Eng., Chinese Univ. of Hong Kong, Shatin, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science and Engineering, Chinese University of Hong Kong, New Territories, Hong Kong, China","institution_ids":["https://openalex.org/I177725633"]},{"raw_affiliation_string":"Dept. of Comput. Sci. & Eng., Chinese Univ. of Hong Kong, Shatin, China","institution_ids":["https://openalex.org/I177725633"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5069972085","display_name":"Lei Xu","orcid":"https://orcid.org/0000-0002-2752-1573"},"institutions":[{"id":"https://openalex.org/I177725633","display_name":"Chinese University of Hong Kong","ror":"https://ror.org/00t33hh48","country_code":"HK","type":"education","lineage":["https://openalex.org/I177725633"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Lei Xu","raw_affiliation_strings":["Department of Computer Science and Engineering, Chinese University of Hong Kong, New Territories, Hong Kong, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science and Engineering, Chinese University of Hong Kong, New Territories, Hong Kong, China","institution_ids":["https://openalex.org/I177725633"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I177725633"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.27310924,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"472","last_page":"476 vol.4"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9869999885559082,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9869999885559082,"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/T11326","display_name":"Stock Market Forecasting Methods","score":0.9758999943733215,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.9478999972343445,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.9141547679901123},{"id":"https://openalex.org/keywords/diversification","display_name":"Diversification (marketing strategy)","score":0.7304849624633789},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6460278630256653},{"id":"https://openalex.org/keywords/maximization","display_name":"Maximization","score":0.5450331568717957},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.512196958065033},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.49750569462776184},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4969229996204376},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4382737874984741},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.4019823670387268},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.34578606486320496},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.325697124004364},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.225479394197464},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2180653214454651}],"concepts":[{"id":"https://openalex.org/C139938925","wikidata":"https://www.wikidata.org/wiki/Q1501898","display_name":"Sharpe ratio","level":3,"score":0.9141547679901123},{"id":"https://openalex.org/C180916674","wikidata":"https://www.wikidata.org/wiki/Q3711935","display_name":"Diversification (marketing strategy)","level":2,"score":0.7304849624633789},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6460278630256653},{"id":"https://openalex.org/C2776330181","wikidata":"https://www.wikidata.org/wiki/Q18358244","display_name":"Maximization","level":2,"score":0.5450331568717957},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.512196958065033},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.49750569462776184},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4969229996204376},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4382737874984741},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4019823670387268},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.34578606486320496},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.325697124004364},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.225479394197464},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2180653214454651},{"id":"https://openalex.org/C162853370","wikidata":"https://www.wikidata.org/wiki/Q39809","display_name":"Marketing","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/ijcnn.2000.860816","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ijcnn.2000.860816","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the IEEE-INNS-ENNS International Joint Conference on Neural Networks. IJCNN 2000. Neural Computing: New Challenges and Perspectives for the New Millennium","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":6,"referenced_works":["https://openalex.org/W1510523231","https://openalex.org/W1912679334","https://openalex.org/W2153580489","https://openalex.org/W4236670843","https://openalex.org/W4241584625","https://openalex.org/W6640142701"],"related_works":["https://openalex.org/W4319232162","https://openalex.org/W3124138322","https://openalex.org/W2479414348","https://openalex.org/W1990247668","https://openalex.org/W3009015149","https://openalex.org/W2061171282","https://openalex.org/W3125282527","https://openalex.org/W144950879","https://openalex.org/W3124238338","https://openalex.org/W4320509886"],"abstract_inverted_index":{"A":[0],"portfolio":[1],"selection":[2],"method":[3,58,104],"called":[4],"Improved":[5],"Portfolio":[6],"Sharpe":[7,27],"Ratio":[8,28],"Maximization":[9],"with":[10,93],"Diversification":[11],"(IPSRM-D)":[12],"was":[13],"recently":[14],"proposed":[15],"by":[16,30,86],"Hung":[17],"et":[18],"al.":[19],"(1999).":[20],"It":[21,40],"is":[22],"derived":[23],"from":[24,72],"the":[25,34,47,51,56,63,68,73,82],"original":[26],"design":[29],"taking":[31],"into":[32],"consideration":[33],"upside":[35],"volatility":[36],"and":[37],"investment":[38,43],"diversification.":[39],"can":[41],"obtain":[42],"decision":[44],"according":[45],"to":[46,65],"investor's":[48],"position":[49],"in":[50,60,70,105],"return-risk":[52],"trade":[53],"off.":[54],"However,":[55],"batchway":[57,103],"used":[59],"IPSRM-D":[61,85],"lacks":[62],"ability":[64],"keep":[66],"tracing":[67],"changes":[69],"market":[71,98],"just":[74],"available":[75],"data.":[76],"In":[77],"this":[78],"paper,":[79],"we":[80],"further":[81],"study":[83],"on":[84,96],"introducing":[87],"various":[88],"adaptive":[89,100],"methods.":[90],"We":[91],"demonstrate":[92],"experimental":[94],"results":[95],"stock":[97],"that":[99],"methods":[101],"outperform":[102],"profit":[106],"gain.":[107]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1}],"updated_date":"2026-07-29T14:22:42.915294","created_date":"2025-10-10T00:00:00"}