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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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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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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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An alternative approach for portfolio performance evaluation : enabling fund evaluation relative to peer group via Malkiel’s monkey
Lee, Yongjae; Kwon, Do-Gyun; Kim, Woo Chang; Fabozzi, … - In: Applied economics 50 (2018) 40, pp. 4318-4327
Persistent link: https://www.econbiz.de/10012060850
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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
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Recent advancements in robust optimization for investment management
Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. - In: Analytical models for financial modeling and risk management, (pp. 183-198). 2018
Persistent link: https://www.econbiz.de/10011897168
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Portfolio selection with conservative short-selling
Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. - In: Finance research letters 18 (2016), pp. 363-369
Persistent link: https://www.econbiz.de/10011657303
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What if ChatGPT were a quant asset manager
Kim, Jang Ho - In: Finance research letters 58 (2023) 4, pp. 1-7
Persistent link: https://www.econbiz.de/10014632329
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Optimal intertemporal liquidation of institutional investors with cash requirements and viable loans
Lee, Dongyeol; Kim, Woo Chang - In: The European journal of finance 30 (2024) 6, pp. 618-641
Persistent link: https://www.econbiz.de/10014547977
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Goal-based investing based on multi-stage robust portfolio optimization
Kim, Jang Ho; Lee, Yongjae; Kim, Woo Chang; Fabozzi, … - In: Risk management decisions and value under uncertainty, (pp. 1141-1158). 2022
Persistent link: https://www.econbiz.de/10013342094