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type_genre:"Article in journal"
~subject:"Mathematical programming"
~person:"Kwon, Roy H."
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Mathematical programming
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Kwon, Roy H.
Li, Duan
9
Post, Thierry
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8
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7
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Computers & operations research : and their applications to problems of world concern ; an international journal
2
Journal of risk
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European journal of operational research : EJOR
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International journal of production economics
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Quantitative finance
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The journal of asset management
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1
Integrating prediction in mean-variance portfolio optimization
Butler, Andrew
;
Kwon, Roy H.
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 429-452
Persistent link: https://www.econbiz.de/10014232664
Saved in:
2
Risk-allocation-based index tracking
Anis, Hassan T.
;
Costa, Giorgio
;
Kwon, Roy H.
- In:
Computers & operations research : and their …
154
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014308262
Saved in:
3
Cardinality-constrained risk parity portfolios
Anis, Hassan T.
;
Kwon, Roy H.
- In:
European journal of operational research : EJOR
302
(
2022
)
1
,
pp. 392-402
Persistent link: https://www.econbiz.de/10013269764
Saved in:
4
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
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5
A regime-switching factor model for mean-variance optimization
Costa, Giorgio
;
Kwon, Roy H.
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 31-59
Persistent link: https://www.econbiz.de/10012297507
Saved in:
6
Portfolio optimization with covered calls
Diaz, Mauricio
;
Kwon, Roy H.
- In:
The journal of asset management
20
(
2019
)
1
,
pp. 38-53
Persistent link: https://www.econbiz.de/10012059744
Saved in:
7
A constrained cluster-based approach for tracking the S&P 500 index
Wu, Dexiang
;
Kwon, Roy H.
;
Costa, Giorgio
- In:
International journal of production economics
193
(
2017
),
pp. 222-243
Persistent link: https://www.econbiz.de/10011758344
Saved in:
8
Robust portfolio selection for index tracking
Chen, Chen
;
Kwon, Roy H.
- In:
Computers & operations research : and their …
39
(
2012
)
4
,
pp. 829-837
Persistent link: https://www.econbiz.de/10010217456
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