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Optimizing a portfolio of liquid and illiquid assets

Mulvey, John M.; Kim, Woo Chang; Lin, Changle - In: Optimal financial decision making under uncertainty, (pp. 151-175). 2017

Persistent link: https://www.econbiz.de/10011558452

Robust equity portfolio management + website : formulations, implementations, and properties using MATLAB

Kim, Woo Chang; Kim, Jang Ho; Fabozzi, Frank J. - 2016

"The book will be most helpful for readers who are interested in learning about the quantitative side of equity portfolio management, mainly portfolio optimization and risk analysis. Mean-variance portfolio optimization is covered in detail, leading to an extensive discussion on robust portfolio...

Persistent link: https://www.econbiz.de/10011417231

Why your smart beta portfolio might not work

Lee, Yongjae; Kim, Woo Chang - In: International journal of financial engineering and risk … 2 (2018) 4, pp. 351-362

Persistent link: https://www.econbiz.de/10012000046

An alternative approach for portfolio performance evaluation : enabling fund evaluation relative to peer group via Malkiel’s monkey

Lee, Yongjae; Kwon, Do-Gyun; Kim, Woo Chang; Fabozzi, … - In: Applied economics 50 (2018) 40, pp. 4318-4327

Persistent link: https://www.econbiz.de/10012060850

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

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

Deciphering robust portfolios

Kim, Woo Chang; Kim, Jang Ho; Fabozzi, Frank J. - In: Journal of banking & finance 45 (2014), pp. 1-8

Persistent link: https://www.econbiz.de/10010466688

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

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

Robust equity portfolio performance

Kim, Jang Ho; Kim, Woo Chang; Kwon, Do-Gyun; Fabozzi, … - In: Analytical models for financial modeling and risk management, (pp. 293-312). 2018

Persistent link: https://www.econbiz.de/10011897181