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~person:"Platen, Eckhard"
~person:"Kim, Woo Chang"
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21
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7901 05-05-14; 7835/0206
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Platen, Eckhard
Kim, Woo Chang
Fabozzi, Frank J.
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31
Kang, Sang Hoon
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Escobar, Marcos
26
Hammoudeh, Shawkat
22
Tiwari, Aviral Kumar
22
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21
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18
Uppal, Raman
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16
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16
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16
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15
Wang, Ruodu
15
Xuan Vinh Vo
15
Zagst, Rudi
15
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14
Bernard, Carole
14
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14
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14
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14
Yao, Haixiang
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13
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13
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13
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13
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13
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12
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12
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2
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Estimating historical downside risks of global financial market indices via inflation rate-adjusted dependence graphs
Choi, Insu
;
Kim, Woo Chang
- In:
Research in international business and finance
66
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014463360
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Dynamic asset allocation for target date funds under the benchmark approach
Sun, Jin
;
Zhu, Dan
;
Platen, Eckhard
- In:
ASTIN bulletin : the journal of the International …
51
(
2021
)
2
,
pp. 449-474
Persistent link: https://www.econbiz.de/10012523252
Saved in:
7
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
Saved in:
8
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
Saved in:
9
Approximating the growth optimal portfolio and stock price bubbles
Platen, Eckhard
;
Rendek, Renata
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012496905
Saved in:
10
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
Saved in:
11
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
Saved in:
12
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
Saved in:
13
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
Saved in:
14
The numéraire property and long-term growth optimality for drawdown-constrained investments
Kardaras, Constantinos
;
Obłój, Jan
;
Platen, Eckhard
- In:
Mathematical finance : an international journal of …
27
(
2017
)
1
,
pp. 68-95
Persistent link: https://www.econbiz.de/10011739443
Saved in:
15
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
Saved in:
16
Benchmarked risk minimization
Du, Ke
;
Platen, Eckhard
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 617-637
Persistent link: https://www.econbiz.de/10011583786
Saved in:
17
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
Saved in:
18
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
Saved in:
19
A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan
;
Fung, Man Chung
;
Ignatieva, Ekaterina
; …
- In:
Applied mathematical finance
22
(
2015
)
3/4
,
pp. 366-398
Persistent link: https://www.econbiz.de/10011436216
Saved in:
20
Credit derivative evaluation and CVA under the benchmark approach
Baldeaux, Jan
;
Platen, Eckhard
- In:
Asia-Pacific financial markets
22
(
2015
)
3
,
pp. 305-331
Persistent link: https://www.econbiz.de/10011524811
Saved in:
21
A tractable model for indices approximating the growth optimal portfolio
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10010347344
Saved in:
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