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~accessRights:"restricted"
~person:"Kim, Jang Ho"
~person:"Li, Xun"
~subject:"Portfolio selection"
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Portfolio selection
Portfolio-Management
16
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6
Mathematische Optimierung
6
Robust statistics
4
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Kim, Jang Ho
Li, Xun
Escobar, Marcos
22
Fabozzi, Frank J.
22
Wang, Ruodu
16
Wong, Wing Keung
14
Forsyth, Peter A.
13
Prigent, Jean-Luc
13
Uppal, Raman
13
Kwon, Roy H.
12
Vanduffel, Steven
12
Yao, Haixiang
12
Zagst, Rudi
12
Cui, Xiangyu
11
Ledoit, Olivier
11
Li, Duan
11
Soner, Halil Mete
11
Tan, Ken Seng
11
Wolf, Michael
11
Auer, Benjamin R.
10
Bernard, Carole
10
Capponi, Agostino
10
Chen, An
10
Dai, Min
10
Kim, Woo Chang
10
Liang, Zongxia
10
Muhle-Karbe, Johannes
10
Righi, Marcelo Brutti
10
Wong, Hoi Ying
10
Chen, Zhiping
9
Dai, Zhifeng
9
Jang, Bong-Gyu
9
Li, Zhongfei
9
Platanakis, Emmanouil
9
De Nard, Gianluca
8
Li, Bin
8
Li, Danping
8
Paterlini, Sandra
8
Post, Thierry
8
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Journal of the Operational Research Society
3
Operations research letters
3
Quantitative finance
3
Analytical models for financial modeling and risk management
1
Finance research letters
1
Journal of the Operational Research Society : OR
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Mathematical methods of operations research
1
Risk management decisions and value under uncertainty
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The journal of portfolio management : JPM
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ECONIS (ZBW)
16
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1
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:
2
Continuous-time Markowitz's model with constraints on wealth and portfolio
Li, Xun
;
Xu, Zuo Quan
- In:
Operations research letters
44
(
2016
)
6
,
pp. 729-736
Persistent link: https://www.econbiz.de/10011622222
Saved in:
3
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
Saved in:
4
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:
5
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:
6
A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time
Cui, Xiangyu
;
Li, Xun
;
Wu, Xianping
;
Yi, Lan
- In:
Journal of the Operational Research Society
69
(
2018
)
4
,
pp. 487-499
Persistent link: https://www.econbiz.de/10012225172
Saved in:
7
Mean-variance policy for discrete-time cone-constrained markets : time
consistency
in efficiency and the minimum-variance signed supermartingale measure
Cui, Xiangyu
;
Li, Duan
;
Li, Xun
- In:
Mathematical finance : an international journal of …
27
(
2017
)
2
,
pp. 471-504
Persistent link: https://www.econbiz.de/10011752513
Saved in:
8
Better than pre-committed optimal mean-variance policy in a jump diffusion market
Shi, Yun
;
Li, Xun
;
Cui, Xiangyu
- In:
Mathematical methods of operations research
85
(
2017
)
3
,
pp. 327-347
Persistent link: https://www.econbiz.de/10011714505
Saved in:
9
Time consistent behavioral portfolio policy for dynamic mean-variance formulation
Cui, Xiangyu
;
Li, Xun
;
Li, Duan
;
Shi, Yun
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
12
,
pp. 1647-1660
Persistent link: https://www.econbiz.de/10011816054
Saved in:
10
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
Saved in:
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