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Roy H. Kwon
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2020 – today
- 2025
- [j21]Hassan T. Anis
, Roy H. Kwon
End-to-end, decision-based, cardinality-constrained portfolio optimization. Eur. J. Oper. Res. 320(3): 739-753 (2025) - 2023
- [j20]Andrew Butler, Roy H. Kwon
Efficient differentiable quadratic programming layers: an ADMM approach. Comput. Optim. Appl. 84(2): 449-476 (2023) - [j19]Hassan T. Anis, Giorgio Costa
Risk-allocation-based index tracking. Comput. Oper. Res. 154: 106219 (2023) - [j18]Oleksandr Romanko, Akhilesh Narayan, Roy H. Kwon:
ChatGPT-Based Investment Portfolio Selection. Oper. Res. Forum 4(4): 91 (2023) - [j17]Andrew Butler, Roy H. Kwon:
Gradient boosting for convex cone predict and optimize problems. Oper. Res. Lett. 51(1): 79-83 (2023) - [i3]Oleksandr Romanko, Akhilesh Narayan, Roy H. Kwon:
ChatGPT-based Investment Portfolio Selection. CoRR abs/2308.06260 (2023) - 2022
- [j16]Hassan T. Anis
Cardinality-constrained risk parity portfolios. Eur. J. Oper. Res. 302(1): 392-402 (2022) - [j15]Giorgio Costa, Roy H. Kwon
Data-driven distributionally robust risk parity portfolio optimization. Optim. Methods Softw. 37(5): 1876-1911 (2022) - [i2]Andrew Butler, Roy H. Kwon:
Gradient boosting for convex cone predict and optimize problems. CoRR abs/2204.06895 (2022) - 2021
- [j14]Hassan T. Anis
A sparse regression and neural network approach for financial factor modeling. Appl. Soft Comput. 113(Part): 107983 (2021) - [i1]Andrew Butler, Roy H. Kwon:
Efficient differentiable quadratic programming layers: an ADMM approach. CoRR abs/2112.07464 (2021) - 2020
- [j13]Giorgio Costa, Roy H. Kwon
Generalized risk parity portfolio optimization: an ADMM approach. J. Glob. Optim. 78(1): 207-238 (2020)
2010 – 2019
- 2017
- [j12]Mauricio Díaz, Roy H. Kwon:
Optimization of covered call strategies. Optim. Lett. 11(7): 1303-1317 (2017) - 2016
- [j11]Roy H. Kwon, Jonathan Y. Li:
A stochastic semidefinite programming approach for bounds on option pricing under regime switching. Ann. Oper. Res. 237(1-2): 41-75 (2016) - [j10]Minho Lee, Roy H. Kwon, Chi-Guhn Lee
Bounds for portfolio weights in decentralized asset allocation. INFOR Inf. Syst. Oper. Res. 54(4): 344-354 (2016) - [j9]Timothy C. Y. Chan, Derya Demirtas
Optimizing the Deployment of Public Access Defibrillators. Manag. Sci. 62(12): 3617-3635 (2016) - 2013
- [j8]Jonathan Y. Li, Roy H. Kwon:
Portfolio selection under model uncertainty: a penalized moment-based optimization approach. J. Glob. Optim. 56(1): 131-164 (2013) - 2012
- [j7]Chen Chen
Robust portfolio selection for index tracking. Comput. Oper. Res. 39(4): 829-837 (2012) - [j6]Jonathan Y. Li, Roy H. Kwon:
Market price-based convex risk measures: A distribution-free optimization approach. Oper. Res. Lett. 40(2): 128-133 (2012) - 2011
- [j5]Roy H. Kwon, Stephen J. Stoyan:
Mean-Absolute Deviation Portfolio Models with Discrete Choice Constraints. Algorithmic Oper. Res. 6(2): 118-134 (2011) - [j4]Stephen J. Stoyan, Roy H. Kwon:
A Stochastic-Goal Mixed-Integer Programming approach for integrated stock and bond portfolio optimization. Comput. Ind. Eng. 61(4): 1285-1295 (2011)
2000 – 2009
- 2008
- [j3]Roy H. Kwon, Georgios V. Dalakouras, Cheng Wang:
On a posterior evaluation of a simple greedy method for set packing. Optim. Lett. 2(4): 587-597 (2008) - 2005
- [j2]Roy H. Kwon:
Data dependent worst case bounds for weighted set packing. Eur. J. Oper. Res. 167(1): 68-76 (2005) - [j1]Roy H. Kwon, G. Anandalingam, Lyle H. Ungar:
Iterative Combinatorial Auctions with Bidder-Determined Combinations. Manag. Sci. 51(3): 407-418 (2005)
Coauthor Index
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