Kum-Hwan Roh

Publication Activity (10 Years)

Years Active: 2011-2021
Publications (10 Years): 2

Top Topics

Optimal Portfolio

Dynamic Programming

Top Venues

Math. Methods Oper. Res.

Math. Model. Anal.

Publications

Hyeng Keun Koo, Kum-Hwan Roh, Yong Hyun Shin
Optimal consumption/investment and retirement with necessities and luxuries. Math. Methods Oper. Res. 94 (2) (2021)
Yong Hyun Shin, Jung Lim Koo, Kum-Hwan Roh
An Optimal Consumption and Investment Problem with quadratic Utility and subsistence Consumption Constraints: a Dynamic Programming Approach. Math. Model. Anal. 23 (4) (2018)
Ji Hee Yoon, Bong-Gyu Jang, Kum-Hwan Roh
An analytic valuation method for multivariate contingent claims with regime-switching volatilities. Oper. Res. Lett. 39 (3) (2011)