{"entities":{"Q836867":{"pageid":838715,"ns":120,"title":"Item:Q836867","lastrevid":64744002,"modified":"2026-04-11T21:56:30Z","type":"item","id":"Q836867","labels":{"en":{"language":"en","value":"Efficient frontier of utility and CVaR"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5602494"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$F32004D4-1D77-48F1-9A7E-093E47FFDEBA","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"998a3d22501a3d37d6a6499414a71a45c2e09539","datavalue":{"value":{"text":"Efficient frontier of utility and CVaR","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q836867$188D8738-1918-4E3C-ABDE-4861206251F5","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"27da5c22c71161a7577f271fc5d5fab4ded7d27c","datavalue":{"value":"1182.90094","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q836867$D619CFAB-031B-426D-8F4B-90F52EE13245","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"ba66dee234f685b0e763f7a7f47eb05f019d372d","datavalue":{"value":{"entity-type":"item","numeric-id":255502,"id":"Q255502"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$83EFA9FE-6537-4C20-ACC1-5039DAFA553A","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"a1409dc6862a31a77f154ad0a1f54092232038ca","datavalue":{"value":{"entity-type":"item","numeric-id":244038,"id":"Q244038"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$882B6644-7CE9-42A0-B399-587DCD33133C","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"4422af9e8240830265b2a3cf7d2b05d31cc771ce","datavalue":{"value":{"time":"+2009-09-09T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q836867$6E504E2B-B833-4F0F-9FC3-9D6E624100D8","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"316716692cd8c4803f5c02428982b7ad43ec3d06","datavalue":{"value":"The author studies the efficient frontier problem of utility maximization and CVaR minimization in an incomplete constrained market. The formulation leads naturally to a two stage optimization problem: one parametric nonsmooth utility maximization and one scalar concave maximization. He follows \\textit{J. Cvitanic} [SIAM J. Control Optimization 38, No. 4, 1050--1066 (2000; Zbl 1034.91037)] with major changes to show the existence of the optimal solution with convex duality analysis and find the optimal value with the sequential penalty function and dynamic programming methods.","type":"string"},"datatype":"string"},"type":"statement","id":"Q836867$8DE03413-C34B-4862-8E69-ECF1108A484D","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"15f4e876d21d5111ed972346cf4b55d9dc89f6a2","datavalue":{"value":"90C46","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q836867$253F4A01-5A06-4B78-9362-396C4BAEB7A5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"15c1c1e0a1d69b462ee4ebf3442d37cf266ace92","datavalue":{"value":"49L20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q836867$98672AB8-EC0A-45F7-A74B-4FA65BA794DE","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"87ea6e6b567ae1a43d3e3f8dc69fc7fb7b65a8f6","datavalue":{"value":"5602494","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q836867$6771C9D2-53A0-4B08-A093-E03FE4236FFD","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"486ed0df46b33fde8c5683f81b288882f931f2ff","datavalue":{"value":"incomplete constrained market","type":"string"},"datatype":"string"},"type":"statement","id":"Q836867$18182838-9D74-4359-A1C6-0ED3774C503E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"47e692bc098d33307a4b75c7a97e7a9e71086810","datavalue":{"value":"two stage optimization","type":"string"},"datatype":"string"},"type":"statement","id":"Q836867$E2972DE1-6A8D-4C42-826C-05E5BD66B265","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$7597FF1E-5D38-4950-A29F-3C68E19022A9","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"8db995a06289d98518398c9ec6b2636bfd233512","datavalue":{"value":"https://doi.org/10.1007/s00186-008-0234-9","type":"string"},"datatype":"url"},"type":"statement","id":"Q836867$C0420E63-D2BC-4F3D-9982-6304080CFBF1","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"bdd739371815d3c305f490bfe7856967a4baa0a9","datavalue":{"value":"W2059526210","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q836867$84446505-77F2-4585-9AD2-198A56E7B18E","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"2b3b1b0a404ba01df644ccd9b2a92c551894b91b","datavalue":{"value":{"entity-type":"item","numeric-id":3782303,"id":"Q3782303"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$E3781362-D0C5-4484-B1D7-953C57EBE66F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6f83305239d4f0e6d491d89fda3de0604c2fb259","datavalue":{"value":{"entity-type":"item","numeric-id":3370587,"id":"Q3370587"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$5456CCE8-3BE9-4264-A4AF-FB5EB475CD19","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f1ed0f44e13c8f819909275a9f94a4916cdfc30b","datavalue":{"value":{"entity-type":"item","numeric-id":4507396,"id":"Q4507396"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$53BFC091-DD8F-41A5-8EB5-C5B879576E9B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b0b526beda1985b03609809557312ee87f51b961","datavalue":{"value":{"entity-type":"item","numeric-id":1308695,"id":"Q1308695"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$ABE2E733-A5F1-47DA-9627-E8DF12433C97","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"c2789a5c6a42a1ba43e92d1b7a98f135bcb7f27a","datavalue":{"value":{"entity-type":"item","numeric-id":1872433,"id":"Q1872433"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$BEAC7275-F363-4FA0-9602-842BAF470C92","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"94abc8705ebb37f31d87bcf9eca153668a350887","datavalue":{"value":{"entity-type":"item","numeric-id":4226179,"id":"Q4226179"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$2CF2A05A-E590-488F-AFA8-4E9F173A8B8D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"06e6cfa6aa009c5e758c128e66461e09629c511d","datavalue":{"value":{"entity-type":"item","numeric-id":5316803,"id":"Q5316803"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$7A770B30-632C-48BB-8DE5-5C5062BD44CC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"81e5ef30a67d024a4366f336af9ea295e22d19d8","datavalue":{"value":{"entity-type":"item","numeric-id":952687,"id":"Q952687"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$ADA2D9FB-2E66-4964-98D2-6FE7002AD302","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ffcd9b2855e5ea45b04d083eca00724793f2890c","datavalue":{"value":{"entity-type":"item","numeric-id":4368791,"id":"Q4368791"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$6BEB513F-5DE1-42F4-8E35-D86512173023","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e1901e8385b313737c87b9af477501031c7b423c","datavalue":{"value":{"entity-type":"item","numeric-id":3787900,"id":"Q3787900"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$738AF663-218B-4E5B-BE8F-5ACEE06868D5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"129bb035fe5d7cb87debd799829a4e21b38ab841","datavalue":{"value":{"entity-type":"item","numeric-id":3360774,"id":"Q3360774"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$F0214E98-AFA1-4CA0-98F3-C11D18E569F6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3f1b2e2759b09d1f90333476232635a9bc2eef10","datavalue":{"value":{"entity-type":"item","numeric-id":1578577,"id":"Q1578577"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$F4BCA30B-44CE-4E2E-AA05-519549D13064","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"59f88ed3dd182be5d3d4ad580fa7dce8d4535531","datavalue":{"value":{"entity-type":"item","numeric-id":1429115,"id":"Q1429115"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$09EB555D-371A-43D9-8378-19872005BA05","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"346c9f852a14dfdeddc83738b60f41128f1a1115","datavalue":{"value":{"entity-type":"item","numeric-id":799641,"id":"Q799641"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$28DF7318-0A83-459E-B622-4F82688F273D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"4de9370a09b25939ae4d90e182c77ef71dccb0fe","datavalue":{"value":{"entity-type":"item","numeric-id":140187,"id":"Q140187"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$222C0F49-528B-4A55-ABDD-BB03145AD974","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"576cfbfa3cafe2d896b3b615314622815a9fda23","datavalue":{"value":{"entity-type":"item","numeric-id":4395049,"id":"Q4395049"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$9E9A22AF-9F92-48BD-9FFB-2A17164DEFA3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6329aa3f53b0007d7c30145137b42eaa70d002d9","datavalue":{"value":{"entity-type":"item","numeric-id":5588250,"id":"Q5588250"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$7D202925-B5DC-4197-87DC-C9A32E345E73","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ec047e0df89f38d74a5140297789a5a036790311","datavalue":{"value":{"entity-type":"item","numeric-id":5962146,"id":"Q5962146"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q836867$2B1880FD-5218-477D-91EF-5938060E3FC9","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"b74355220e0b589dc5bd602f66272c56118276f4","datavalue":{"value":"10.1007/S00186-008-0234-9","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q836867$AEE0D778-B4E8-4CE0-804A-4F789AF93BF7","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"8ca28c6c3775fca1a0d1eb4c21b8371a37489d01","datavalue":{"value":{"entity-type":"item","numeric-id":902570,"id":"Q902570"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"2786f7641d4d349fba4fc08c1f07966596a16e7d","datavalue":{"value":{"amount":"+0.77397620677948","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q836867$81D3289A-C360-4001-B60D-F987D208E3C2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"4efe59dbbad91c8d3d6a2a49a7ec94f0924984b7","datavalue":{"value":{"entity-type":"item","numeric-id":2410442,"id":"Q2410442"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a5f4d25dc5f1cd440baee32c6dfbfa820b04d4c7","datavalue":{"value":{"amount":"+0.7662427425384521","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q836867$263E9B61-1D87-4214-A254-6008B12ACCE8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"2d5e661704c83708e39b60c563dd85593c94d072","datavalue":{"value":{"entity-type":"item","numeric-id":3120383,"id":"Q3120383"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"7ee29b8a2d9af03d5addab5cb4d4100c8244696c","datavalue":{"value":{"amount":"+0.7645397186279297","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q836867$1CBC64CD-54EE-44E5-B88E-A980900065C2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"5cb4df098eb1f756e071c4f7388c2b1430e7e504","datavalue":{"value":{"entity-type":"item","numeric-id":2712239,"id":"Q2712239"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"794b61dbcba51483d78f1c3e6b2a3f276bd74c70","datavalue":{"value":{"amount":"+0.7631784081459045","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q836867$4BFE4835-E232-4A1D-9C15-41189FBCF68E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"695e4314bbcb0db232b1f487667203cb6a6d3941","datavalue":{"value":{"entity-type":"item","numeric-id":4980184,"id":"Q4980184"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"dde0240fb7b1e841a70524974124ed1e30014373","datavalue":{"value":{"amount":"+0.7629015445709229","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q836867$2242A454-4B20-4E18-B88A-6E43A6FE0E5F","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Efficient frontier of utility and CVaR","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Efficient_frontier_of_utility_and_CVaR"}}}}}