{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,4]],"date-time":"2026-05-04T09:51:28Z","timestamp":1777888288464,"version":"3.51.4"},"reference-count":0,"publisher":"SAGE Publications","issue":"1","license":[{"start":{"date-parts":[[2013,2,1]],"date-time":"2013-02-01T00:00:00Z","timestamp":1359676800000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/journals.sagepub.com\/page\/policies\/text-and-data-mining-license"}],"content-domain":{"domain":["journals.sagepub.com"],"crossmark-restriction":true},"short-container-title":["Risk and Decision Analysis"],"published-print":{"date-parts":[[2013,2]]},"abstract":"<jats:p>In this paper, we study a mean\u2013variance portfolio selection problem that has a probabilistic benchmark constraint. This constraint changes the problem into a non-convex one but could be solved via the method of Lagrange multipliers, whose existence is crucial in the solution.<\/jats:p>","DOI":"10.3233\/rda-2012-0075","type":"journal-article","created":{"date-parts":[[2019,12,3]],"date-time":"2019-12-03T17:38:31Z","timestamp":1575394711000},"page":"25-38","update-policy":"https:\/\/doi.org\/10.1177\/sage-journals-update-policy","source":"Crossref","is-referenced-by-count":1,"title":["A mean\u2013variance portfolio selection problem subject to a benchmark constraint: An existence result"],"prefix":"10.1177","volume":"4","author":[{"given":"S.C.P.","family":"Yam","sequence":"first","affiliation":[{"name":"Department of Statistics, Chinese University of Hong Kong, Hong Kong"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"S.P.","family":"Yung","sequence":"additional","affiliation":[{"name":"Department of Mathematics, University of Hong Kong, Hong Kong"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"J.H.","family":"Zhou","sequence":"additional","affiliation":[{"name":"Department of Mathematics, University of Hong Kong, Hong Kong"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"179","published-online":{"date-parts":[[2013,2]]},"container-title":["Risk and Decision Analysis"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/journals.sagepub.com\/doi\/pdf\/10.3233\/RDA-2012-0075","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/journals.sagepub.com\/doi\/pdf\/10.3233\/RDA-2012-0075","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,5,1]],"date-time":"2026-05-01T04:41:59Z","timestamp":1777610519000},"score":1,"resource":{"primary":{"URL":"https:\/\/journals.sagepub.com\/doi\/10.3233\/RDA-2012-0075"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013,2]]},"references-count":0,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2013,2]]}},"alternative-id":["10.3233\/RDA-2012-0075"],"URL":"https:\/\/doi.org\/10.3233\/rda-2012-0075","relation":{},"ISSN":["1569-7371","1875-9173"],"issn-type":[{"value":"1569-7371","type":"print"},{"value":"1875-9173","type":"electronic"}],"subject":[],"published":{"date-parts":[[2013,2]]}}}