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The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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Asymptotic analysis of long-term investment with two illiquid and correlated assets
Chen, Xinfu; Dai, Min; Jiang, Wei; Qin, Cong - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 1133-1169
Persistent link: https://www.econbiz.de/10013463397
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Sparse tangent portfolio selection via semi-definite relaxation
Kim, Min Jeong; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang - In: Operations research letters 44 (2016) 4, pp. 540-543
Persistent link: https://www.econbiz.de/10011535445
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Portfolio choice with market closure and implications for liquidity premia
Dai, Min; Li, Peifan; Liu, Hong; Wang, Yajun - In: Management science : journal of the Institute for … 62 (2016) 2, pp. 368-386
Persistent link: https://www.econbiz.de/10011446196
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Incomplete information and the liquidity premium puzzle
Chen, Yingshan; Dai, Min; Goncalves-Pinto, Luis; Xu, Jing; … - In: Management science : journal of the Institute for … 67 (2021) 9, pp. 5703-5729
Persistent link: https://www.econbiz.de/10012650154
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Robo-advising : a dynamic mean-variance approach
Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong - In: Digital finance : smart data analytics, investment … 3 (2021) 2, pp. 81-97
Persistent link: https://www.econbiz.de/10012615275
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Mean-variance optimization for asset allocation
Kim, Jang Ho; Lee, Yongjae; Kim, Woo Chang; Fabozzi, … - In: The journal of portfolio management : JPM 47 (2021) 5, pp. 24-40
Persistent link: https://www.econbiz.de/10012503361
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Portfolio selection with capital gains tax, recursive utility, and regime switching
Cai, Jiatu; Chen, Xinfu; Dai, Min - In: Management science : journal of the Institute for … 64 (2018) 5, pp. 2308-2324
Persistent link: https://www.econbiz.de/10011874111
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How does illiquidity affect delegated portfolio choice?
Dai, Min; Goncalves-Pinto, Luis; Xu, Jing - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 2, pp. 539-585
Persistent link: https://www.econbiz.de/10012138916
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Sparse and robust portfolio selection via semi-definite relaxation
Lee, Yongjae; Kim, Min Jeong; Kim, Jang Ho; Jang, Ju Ri; … - In: Journal of the Operational Research Society 71 (2020) 5, pp. 687-699
Persistent link: https://www.econbiz.de/10012216744