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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
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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
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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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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
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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
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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
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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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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