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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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Diversification in catastrophe insurance markets
Cui, Hengxin; Tan, Ken Seng; Yang, Fan - In: ASTIN bulletin : the journal of the International … 51 (2021) 3, pp. 753-778
Persistent link: https://www.econbiz.de/10012656726
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Real-time valuation of large variable annuity portfolios : a green mesh approach
Liu, Kai; Tan, Ken Seng - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 3, pp. 313-333
Persistent link: https://www.econbiz.de/10012623430
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Optimal dynamic longevity hedge with basis risk
Tan, Ken Seng; Weng, Chengguo; Zhang, Jinggong - In: European journal of operational research : EJOR 297 (2022) 1, pp. 325-337
Persistent link: https://www.econbiz.de/10013259312
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Tail dependence and heavy tailedness in extreme risks
Ji, Liuyan; Tan, Ken Seng; Yang, Fan - In: Insurance / Mathematics & economics 99 (2021), pp. 282-293
Persistent link: https://www.econbiz.de/10012649222
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Conditional value-at-risk-based optimal partial hedging
Cong, Jianfa; Tan, Ken Seng; Wang, Chengguo - In: Journal of risk 16 (2013/2014) 3, pp. 49-83
Persistent link: https://www.econbiz.de/10013262926
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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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Sustainable portfolio management under climate change
Fang, Mingyu; Tan, Ken Seng; Wirjanto, Tony S. - In: Journal of sustainable finance & investment 9 (2019) 1, pp. 45-67
Persistent link: https://www.econbiz.de/10012174982
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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