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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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Asset demands and consumption with longevity risk
Jang, Bong-Gyu; Koo, Hyeng-keun; Rhee, Yuna - In: Economic theory : official journal of the Society for … 62 (2016) 3, pp. 587-633
Persistent link: https://www.econbiz.de/10011529384
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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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Optimal reinsurance and asset allocation under regime switching
Jang, Bong-Gyu; Kim, Kyeong Tae - In: Journal of banking & finance 56 (2015), pp. 37-47
Persistent link: https://www.econbiz.de/10011488574
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Ambiguity premium and transaction costs
Jang, Bong-Gyu; Kim, Taeyoon; Lee, Seungkyu; Park, Seyoung - In: Economics letters 207 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10013169813
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Optimal reinsurance and portfolio selection : comparison between partial and complete information models
Jang, Bong-Gyu; Kim, Kyeong Tae; Lee, Hyun-Tak - In: European financial management : the journal of the … 28 (2022) 1, pp. 208-232
Persistent link: https://www.econbiz.de/10012795706
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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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Annuitization and asset allocation with borrowing constraint
Kim, Jin Gi; Jang, Bong-Gyu; Park, Seyoung - In: Operations research letters 48 (2020) 5, pp. 549-551
Persistent link: https://www.econbiz.de/10012303406
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Retirement with risk aversion change and borrowing constraints
Jang, Bong-Gyu; Lee, Ho-Seok - In: Finance research letters 16 (2016), pp. 112-124
Persistent link: https://www.econbiz.de/10011655139
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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