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~accessRights:"restricted"
~person:"Kim, Jang Ho"
~person:"Kwon, Roy H."
~subject:"CAPM"
~subject:"Portfolio selection"
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Kim, Jang Ho
Kwon, Roy H.
Escobar, Marcos
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22
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1
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
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
Cardinality-constrained risk parity portfolios
Anis, Hassan T.
;
Kwon, Roy H.
- In:
European journal of operational research : EJOR
302
(
2022
)
1
,
pp. 392-402
Persistent link: https://www.econbiz.de/10013269764
Saved in:
5
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:
6
A regime-switching factor model for mean-variance optimization
Costa, Giorgio
;
Kwon, Roy H.
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 31-59
Persistent link: https://www.econbiz.de/10012297507
Saved in:
7
Portfolio optimization with covered calls
Diaz, Mauricio
;
Kwon, Roy H.
- In:
The journal of asset management
20
(
2019
)
1
,
pp. 38-53
Persistent link: https://www.econbiz.de/10012059744
Saved in:
8
Decentralized strategic asset allocation with global constraints
Lee, Minho
;
Kwon, Roy H.
;
Lee, Chi-Guhn
;
Anis, Hassan
- In:
The journal of asset management
19
(
2018
)
1
,
pp. 13-26
Persistent link: https://www.econbiz.de/10011847583
Saved in:
9
Risk parity portfolio optimization under a Markov regime-switching framework
Costa, Giorgio
;
Kwon, Roy H.
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 453-471
Persistent link: https://www.econbiz.de/10012194664
Saved in:
10
A shrinking horizon optimal liquidation framework with lower partial moments criteria
Anis, Hassan
;
Kwon, Roy H.
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012212469
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