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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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Robust portfolios that do not tilt factor exposure
Kim, Woo Chang; Kim, Min Jeong; Kim, Jang Ho; Fabozzi, … - In: European journal of operational research : EJOR 234 (2014) 2, pp. 411-421
Persistent link: https://www.econbiz.de/10010356742
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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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Composition of robust equity portfolios
Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. - In: Finance research letters 10 (2013) 2, pp. 72-81
Persistent link: https://www.econbiz.de/10009774437
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What do robust equity portfolio models really do?
Kim, Woo Chang; Kim, Jang Ho; Ahn, So Hyoung; Fabozzi, … - In: Operations research models in banking management, (pp. 141-168). 2013
Persistent link: https://www.econbiz.de/10009739301
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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
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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
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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 factor-based investing
Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 43 (2017) 5, pp. 157-164
Persistent link: https://www.econbiz.de/10011686353