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~accessRights:"restricted"
~person:"Kim, Jang Ho"
~person:"Zagst, Rudi"
~subject:"Portfolio selection"
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Portfolio selection
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7
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Kim, Jang Ho
Zagst, Rudi
Escobar, Marcos
22
Fabozzi, Frank J.
22
Wang, Ruodu
16
Forsyth, Peter A.
14
Wong, Wing Keung
14
Prigent, Jean-Luc
13
Uppal, Raman
13
Kwon, Roy H.
12
Lee, Cheng F.
12
Liang, Zongxia
12
Vanduffel, Steven
12
Yao, Haixiang
12
Bernard, Carole
11
Chen, Zhiping
11
Cui, Xiangyu
11
Kim, Woo Chang
11
Ledoit, Olivier
11
Li, Duan
11
Righi, Marcelo Brutti
11
Soner, Halil Mete
11
Tan, Ken Seng
11
Wolf, Michael
11
Auer, Benjamin R.
10
Capponi, Agostino
10
Chen, An
10
Dai, Min
10
Muhle-Karbe, Johannes
10
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10
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9
Guan, Guohui
9
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9
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9
Platanakis, Emmanouil
9
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9
De Nard, Gianluca
8
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8
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8
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8
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Finance research letters
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Journal of banking & finance
2
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1
Annals of finance
1
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Decision making and risk/return optimization in financial economics
1
Decisions in economics and finance : a journal of applied mathematics
1
Financial markets and portfolio management
1
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1
International journal of theoretical and applied finance
1
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1
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Risk management decisions and value under uncertainty
1
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ECONIS (ZBW)
21
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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
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:
3
Optimal investment in multidimensional Markov-modulated affine models
Neykova, Daniela
;
Escobar, Marcos
;
Zagst, Rudi
- In:
Annals of finance
11
(
2015
)
3/4
,
pp. 503-530
Persistent link: https://www.econbiz.de/10011459789
Saved in:
4
Behavioral portfolio choice under hyperbolic absolute risk aversion
Escobar, Marcos
;
Lichtenstern, Andreas
;
Zagst, Rudi
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012496902
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
Behavioral portfolio insurance strategies
Escobar, Marcos
;
Lichtenstern, Andreas
;
Zagst, Rudi
- In:
Financial markets and portfolio management
34
(
2020
)
4
,
pp. 353-399
Persistent link: https://www.econbiz.de/10012309906
Saved in:
7
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Bergen, V.
;
Escobar, Marcos
;
Rubtsov, A.
;
Zagst, Rudi
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1265-1294
Persistent link: https://www.econbiz.de/10011911537
Saved in:
8
Option-Based performance participation
Zagst, Rudi
;
Kraus, Julia
;
Bertrand, Philippe
- In:
Journal of banking & finance
105
(
2019
),
pp. 44-61
Persistent link: https://www.econbiz.de/10012163804
Saved in:
9
Portfolio optimization under Solvency II
Escobar, Marcos
;
Kriebel, Paul
;
Wahl, Markus
;
Zagst, Rudi
- In:
Decision making and risk/return optimization in …
,
(pp. 193-227)
.
2019
Persistent link: https://www.econbiz.de/10012134801
Saved in:
10
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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