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~accessRights:"restricted"
~person:"Kim, Jang Ho"
~person:"Wang, Ruodu"
~subject:"CAPM"
~subject:"Portfolio selection"
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CAPM
Portfolio selection
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37
Theory
37
Portfolio-Management
25
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22
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22
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21
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21
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26
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Kim, Jang Ho
Wang, Ruodu
Escobar, Marcos
24
Fabozzi, Frank J.
24
Lee, Cheng F.
19
Wong, Wing Keung
15
Forsyth, Peter A.
14
Madan, Dilip B.
13
Prigent, Jean-Luc
13
Uppal, Raman
13
Jarrow, Robert A.
12
Kwon, Roy H.
12
Liang, Zongxia
12
Vanduffel, Steven
12
Yao, Haixiang
12
Zagst, Rudi
12
Auer, Benjamin R.
11
Bernard, Carole
11
Chen, Zhiping
11
Cui, Xiangyu
11
Kim, Woo Chang
11
Ledoit, Olivier
11
Li, Bin
11
Li, Duan
11
Muhle-Karbe, Johannes
11
Righi, Marcelo Brutti
11
Soner, Halil Mete
11
Tan, Ken Seng
11
Wolf, Michael
11
Wong, Hoi Ying
11
Campbell, John Y.
10
Capponi, Agostino
10
Chen, An
10
Dai, Min
10
Dai, Zhifeng
10
Jang, Bong-Gyu
10
Pedersen, Lasse Heje
10
Yang, Fan
10
Gagliardini, Patrick
9
Guan, Guohui
9
Kan, Raymond
9
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Insurance / Mathematics & economics
4
Operations research
3
Finance and stochastics
2
Finance research letters
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
2
Quantitative finance
2
Analytical models for financial modeling and risk management
1
European journal of operational research : EJOR
1
Journal of banking & finance
1
Journal of econometrics
1
Journal of the Operational Research Society
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematics of operations research
1
North American actuarial journal
1
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1
Risk management decisions and value under uncertainty
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The journal of portfolio management : JPM
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ECONIS (ZBW)
26
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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
Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul
;
Wang, Bin
;
Wang, Ruodu
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 763-790
Persistent link: https://www.econbiz.de/10011420503
Saved in:
3
CreditRisk+ model with dependent risk factors
Wang, Ruodu
;
Peng, Liang
;
Yang, Jingping
- In:
North American actuarial journal
19
(
2015
)
1
,
pp. 24-40
Persistent link: https://www.econbiz.de/10011420714
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
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
6
Risk aggregation under dependence uncertainty and an order constraint
Chen, Yuyu
;
Lin, Liyuan
;
Wang, Ruodu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 169-187
Persistent link: https://www.econbiz.de/10013271969
Saved in:
7
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:
8
Characterizing optimal allocations in quantile-based risk sharing
Wang, Ruodu
;
Wei, Yunran
- In:
Insurance / Mathematics & economics
93
(
2020
),
pp. 288-300
Persistent link: https://www.econbiz.de/10012294136
Saved in:
9
Asymptotic equivalence of risk measures under dependence uncertainty
Cai, Jun
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 29-49
Persistent link: https://www.econbiz.de/10011969153
Saved in:
10
Risk bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
Saved in:
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