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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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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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Value function gradient learning for large-scale multistage stochastic programming problems
Lee, Jinkyu; Bae, Sanghyeon; Kim, Woo Chang; Lee, Yongjae - In: European journal of operational research : EJOR 308 (2023) 1, pp. 321-335
Persistent link: https://www.econbiz.de/10014283043
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Dynamic asset allocation for varied financial markets under regime switching framework
Bae, Geum Il; Kim, Woo Chang; Mulvey, John M. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 450-458
Persistent link: https://www.econbiz.de/10010356729
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Multistage financial planning models : integrating stochastic programs and policy stimulators
Mulvey, John M.; Kim, Woo Chang - In: Stochastic programming : the state of the art ; in …, (pp. 257-275). 2011
Persistent link: https://www.econbiz.de/10008798653