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~accessRights:"restricted"
~person:"Dai, Zhifeng"
~person:"Kim, Jang Ho"
~subject:"Portfolio selection"
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Portfolio selection
Portfolio-Management
18
Theorie
18
Theory
18
Forecasting model
9
Prognoseverfahren
9
Börsenkurs
8
Share price
8
Mathematical programming
7
Mathematische Optimierung
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Aktienmarkt
6
Asset allocation
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Kapitaleinkommen
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Schätzung
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6
Out-of-sample forecast
4
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4
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Portfolio optimization
3
Robust statistics
3
Robustes Verfahren
3
Stock return predictability
3
ARCH model
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Forecast
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Mean-variance portfolio selection
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Risk
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asset allocation
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robust optimization
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Aktienindex
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Analysis of variance
1
Asset management
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ChatGPT
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18
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Dai, Zhifeng
Kim, Jang Ho
Escobar, Marcos
22
Fabozzi, Frank J.
22
Wang, Ruodu
16
Forsyth, Peter A.
14
Wong, Wing Keung
14
Prigent, Jean-Luc
13
Uppal, Raman
13
Kwon, Roy H.
12
Lee, Cheng F.
12
Liang, Zongxia
12
Vanduffel, Steven
12
Yao, Haixiang
12
Zagst, Rudi
12
Bernard, Carole
11
Chen, Zhiping
11
Cui, Xiangyu
11
Kim, Woo Chang
11
Ledoit, Olivier
11
Li, Duan
11
Righi, Marcelo Brutti
11
Soner, Halil Mete
11
Tan, Ken Seng
11
Wolf, Michael
11
Auer, Benjamin R.
10
Capponi, Agostino
10
Chen, An
10
Dai, Min
10
Muhle-Karbe, Johannes
10
Wong, Hoi Ying
10
Guan, Guohui
9
Jang, Bong-Gyu
9
Li, Zhongfei
9
Platanakis, Emmanouil
9
Post, Thierry
9
De Nard, Gianluca
8
Li, Bin
8
Li, Danping
8
Li, Xun
8
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Finance research letters
3
International journal of finance & economics : IJFE
2
Quantitative finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
Analytical models for financial modeling and risk management
1
Energy economics
1
International review of financial analysis
1
Journal of forecasting
1
Journal of the Operational Research Society
1
Operations research letters
1
Pacific-Basin finance journal
1
Risk management decisions and value under uncertainty
1
The journal of portfolio management : JPM
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ECONIS (ZBW)
18
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1
Efficient predictability of oil price : the role of VIX-based panic
index
shadow line difference
Dai, Zhifeng
;
Zhang, Xiaotong
;
Liang, Chao
- In:
Energy economics
129
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014558919
Saved in:
2
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
Saved in:
3
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
Saved in:
4
Predicting stock returns : a risk measurement perspective
Dai, Zhifeng
;
Kang, Jie
;
Wen, Fenghua
- In:
International review of financial analysis
74
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012803806
Saved in:
5
Forecasting stock market returns : new technical indicators and two-step economic constraint method
Dai, Zhifeng
;
Dong, Xiaodi
;
Kang, Jie
;
Hong, Lianying
- In:
The North American journal of economics and finance : a …
53
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012642438
Saved in:
6
Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment
Dai, Zhifeng
;
Li, Tingyu
;
Yang, Mi
- In:
Journal of forecasting
41
(
2022
)
5
,
pp. 980-996
Persistent link: https://www.econbiz.de/10013287893
Saved in:
7
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
Saved in:
8
Stock return predictability from a mixed model perspective
Dai, Zhifeng
;
Zhu, Huan
- In:
Pacific-Basin finance journal
60
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012232659
Saved in:
9
Some improved sparse and stable portfolio optimization problems
Dai, Zhifeng
;
Wen, Fenghua
- In:
Finance research letters
27
(
2018
),
pp. 46-52
Persistent link: https://www.econbiz.de/10012006736
Saved in:
10
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
Saved in:
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