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Browse "Dept. of Industrial and Systems Engineering(산업및시스템공학과)" by Author Fabozzi, Frank J.

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Showing results 1 to 16 of 16

1	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, Frank J., APPLIED ECONOMICS, v.50, no.40, pp.4318 - 4327, 2018-07
2	Composition of robust equity portfolios Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J., FINANCE RESEARCH LETTERS, v.10, no.2, pp.72 - 81, 2013-06
3	Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments Kim, Woo Chang; Fabozzi, Frank J.; Cheridito, Patrick; Fox, Charles, ECONOMICS LETTERS, v.122, no.2, pp.154 - 158, 2014-02
4	Deciphering robust portfolios Kim, Woo Chang; Kim, Jang Ho; Fabozzi, Frank J., JOURNAL OF BANKING FINANCE, v.45, pp.1 - 8, 2014-08
5	Focusing on the worst state for robust investing Kim, Woo Chang; Kim, Jang Ho; Mulvey, John M.; Fabozzi, Frank J., International Review of Financial Analysis, v.39, pp.19 - 31, 2015-05
6	Goal-based investing based on multi-stage robust portfolio optimization Kim, Jang Ho; Lee, Yongjae; Kim, Woo Chang; Fabozzi, Frank J., ANNALS OF OPERATIONS RESEARCH, v.313, no.2, pp.1141 - 1158, 2022-06
7	Mean-Variance Optimization for Asset Allocation Kim, Jang Ho; Lee, Yongjae; Kim, Woo Chang; Fabozzi, Frank J., JOURNAL OF PORTFOLIO MANAGEMENT, v.47, no.5, pp.24 - 40, 2021-05
8	Penalizing variances for higher dependency on factors Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J., QUANTITATIVE FINANCE, v.17, no.4, pp.479 - 489, 2017-04
9	Portfolio selection with conservative short-selling Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J., FINANCE RESEARCH LETTERS, v.18, pp.363 - 369, 2016-08
10	Recent advancements in robust optimization for investment management Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J., ANNALS OF OPERATIONS RESEARCH, v.266, no.1-2, pp.183 - 198, 2018-07
11	Recent Developments in Robust Portfolios with a Worst-Case Approach Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J., JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, v.161, no.1, pp.103 - 121, 2014-04
12	Robust Factor-Based Investing Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J., JOURNAL OF PORTFOLIO MANAGEMENT, v.43, no.5, pp.157 - 164, 2017
13	Robust portfolios that do not tilt factor exposure Kim, Woo Chang; Kim, Min Jeong; Kim, Jang Ho; Fabozzi, Frank J., EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, v.234, no.2, pp.411 - 421, 2014-04
14	Robustness in Portfolio Optimization Kim, Jang Ho; Kim, Woo Chang; Lee, Yongjae; Choi, Bong-Geun; Fabozzi, Frank J., JOURNAL OF PORTFOLIO MANAGEMENT, v.49, no.9, 2023
15	Sparse factor model based on trend filtering Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J., ANNALS OF OPERATIONS RESEARCH, v.306, no.1-2, pp.321 - 342, 2021-11
16	What do robust equity portfolio models really do? Kim, Woo Chang; Kim, Jang Ho; Ahn, So Hyoung; Fabozzi, Frank J., ANNALS OF OPERATIONS RESEARCH, v.205, no.1, pp.141 - 168, 2013-05

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