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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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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
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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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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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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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Recent trends and perspectives on the Korean asset management industry
Kim, Jang Ho; Lee, Yongjae; Bae, Jaekyu; Kim, Woo Chang - In: The journal of portfolio management : JPM 47 (2021) 7, pp. 172-183
Persistent link: https://www.econbiz.de/10012613238
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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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Goal-based investing based on multi-stage robust portfolio optimization
Kim, Jang Ho; Lee, Yongjae; Kim, Woo Chang; Fabozzi, … - In: Risk management decisions and value under uncertainty, (pp. 1141-1158). 2022
Persistent link: https://www.econbiz.de/10013342094
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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
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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