{"id":"W3005018724","doi":"10.3390/risks8010015","title":"Portfolio Optimization under Correlation Constraint","year":2020,"lang":"en","type":"article","venue":"Risks","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":2,"is_retracted":false,"has_abstract":true,"ca_institutions":"McMaster University","funders":"","keywords":"Portfolio optimization; Portfolio; Precommitment; Constraint (computer-aided design); Mathematical optimization; Post-modern portfolio theory; Economics; Computer science; Econometrics; Mathematical economics; Replicating portfolio; Mathematics; Microeconomics; Financial economics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.00006112851,0.0000686914,0.0001356356,0.00003805496,0.00007405037,0.0000278226,0.00008257361,0.00006456976,0.0004278464],"category_scores_gemma":[0.00007581963,0.00008439309,0.00004008724,0.0002277073,0.00003165995,0.0000860645,0.00001956115,0.00008013729,0.0006286163],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00002436552,"about_ca_system_score_gemma":0.00001790944,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00006015496,"about_ca_topic_score_gemma":0.000001031488,"domain_scores_codex":[0.9993775,0.000001051437,0.0002773919,0.0002138304,0.00001952821,0.0001106196],"domain_scores_gemma":[0.9996224,0.00001644735,0.0001688415,0.00009658754,0.00002568914,0.00007003592],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.000003925356,0.00001564634,0.001216721,0.000004676655,0.000006683163,3.577412e-7,0.00009495168,0.04845165,0.000002558548,0.9489563,0.0003082242,0.0009383278],"study_design_scores_gemma":[0.000607906,0.00007520684,0.01612991,0.000007499891,0.00001263782,0.000004280151,0.0001380685,0.5940084,0.00002038329,0.374193,0.01446089,0.0003417349],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.0008845452,0.0003660197,0.9728373,0.001836466,0.0000979786,0.000135424,0.00006357925,0.00005720438,0.02372145],"genre_scores_gemma":[0.9895489,0.00004704517,0.009111901,0.001031742,0.0001329933,0.00002393703,0.00004143835,0.0000121456,0.00004991765],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.9886643,"threshold_uncertainty_score":0.80798,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.07884797801892703,"score_gpt":0.2535554692846471,"score_spread":0.17470749126572,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}