Roy H. Kwon

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
ChatGPT-based investment portfolio selection	2024-02-20	Paper
Risk-allocation-based index tracking	2023-07-04	Paper
Gradient boosting for convex cone predict and optimize problems	2023-06-27	Paper
Integrating prediction in mean-variance portfolio optimization	2023-06-20	Paper
Efficient differentiable quadratic programming layers: an ADMM approach	2023-04-17	Paper
Data-driven distributionally robust risk parity portfolio optimization	2022-12-20	Paper
Cardinality-constrained risk parity portfolios	2022-05-20	Paper
Efficient differentiable quadratic programming layers: an ADMM approach	2021-12-14	Paper
Optimization of covered calls under uncertainty	2021-01-18	Paper
Generalized risk parity portfolio optimization: an ADMM approach	2020-09-15	Paper
Risk parity portfolio optimization under a Markov regime-switching framework	2019-09-26	Paper
Optimization of covered call strategies	2017-11-09	Paper
Factor-based robust index tracking	2017-09-08	Paper
A stochastic semidefinite programming approach for bounds on option pricing under regime switching	2016-05-19	Paper
Mean-absolute deviation portfolio models with discrete choice constraints	2013-12-11	Paper
A two-stage stochastic mixed-integer programming approach to the index tracking problem	2013-10-24	Paper
Portfolio selection under model uncertainty: a penalized moment-based optimization approach	2013-06-14	Paper
A moment approach to bounding exotic options under regime switching	2012-12-13	Paper
Robust portfolio selection for index tracking	2012-11-15	Paper
Introduction to linear optimization and extensions with MATLAB	2012-08-16	Paper
Market price-based convex risk measures: a distribution-free optimization approach	2012-07-12	Paper
Iterative Combinatorial Auctions with Bidder-Determined Combinations	2012-02-21	Paper
Semidefinite programming approaches for bounding Asian option prices	2008-09-09	Paper
On a posterior evaluation of a simple greedy method for set packing	2008-09-04	Paper
Stochastic programming models for replication of electricity forward contracts for industry	2007-02-20	Paper
Data dependent worst case bounds for weighted set packing	2005-08-01	Paper

Research outcomes over time

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