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Dynamic asset allocation for varied financial markets under regime switching framework
Bae, Geum Il; Kim, Woo Chang; Mulvey, John M. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 450-458
Persistent link: https://www.econbiz.de/10010356729
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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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Personalized goal-based investing via multi-stage stochastic goal programming
Kim, Woo Chang; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; … - In: Quantitative finance 20 (2020) 3, pp. 515-526
Persistent link: https://www.econbiz.de/10012194905
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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
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Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
Lee, Jinkyu; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; … - In: Quantitative finance 23 (2023) 9, pp. 1341-1360
Persistent link: https://www.econbiz.de/10014339931