Roy H. Kwon

Publication Activity (10 Years)

Years Active: 2005-2023
Publications (10 Years): 14

Top Topics

Portfolio Optimization

Quadratic Program

Publicly Accessible

Top Venues

J. Glob. Optim.

Oper. Res. Lett.

Ann. Oper. Res.

Publications

Oleksandr Romanko, Akhilesh Narayan, Roy H. Kwon
ChatGPT-based Investment Portfolio Selection. CoRR (2023)
Hassan T. Anis, Giorgio Costa, Roy H. Kwon
Risk-allocation-based index tracking. Comput. Oper. Res. 154 (2023)
Andrew Butler, Roy H. Kwon
Gradient boosting for convex cone predict and optimize problems. Oper. Res. Lett. 51 (1) (2023)
Andrew Butler, Roy H. Kwon
Efficient differentiable quadratic programming layers: an ADMM approach. Comput. Optim. Appl. 84 (2) (2023)
Oleksandr Romanko, Akhilesh Narayan, Roy H. Kwon
ChatGPT-Based Investment Portfolio Selection. Oper. Res. Forum 4 (4) (2023)
Giorgio Costa, Roy H. Kwon
Data-driven distributionally robust risk parity portfolio optimization. Optim. Methods Softw. 37 (5) (2022)
Andrew Butler, Roy H. Kwon
Gradient boosting for convex cone predict and optimize problems. CoRR (2022)
Hassan T. Anis, Roy H. Kwon
Cardinality-constrained risk parity portfolios. Eur. J. Oper. Res. 302 (1) (2022)
Hassan T. Anis, Roy H. Kwon
A sparse regression and neural network approach for financial factor modeling. Appl. Soft Comput. 113 (Part) (2021)
Giorgio Costa, Roy H. Kwon
Generalized risk parity portfolio optimization: an ADMM approach. J. Glob. Optim. 78 (1) (2020)
Mauricio Díaz, Roy H. Kwon
Optimization of covered call strategies. Optim. Lett. 11 (7) (2017)
Timothy C. Y. Chan, Derya Demirtas, Roy H. Kwon
Optimizing the Deployment of Public Access Defibrillators. Manag. Sci. 62 (12) (2016)
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) (2016)
Minho Lee, Roy H. Kwon, Chi-Guhn Lee
Bounds for portfolio weights in decentralized asset allocation. INFOR Inf. Syst. Oper. Res. 54 (4) (2016)
Jonathan Y. Li, Roy H. Kwon
Portfolio selection under model uncertainty: a penalized moment-based optimization approach. J. Glob. Optim. 56 (1) (2013)
Chen Chen, Roy H. Kwon
Robust portfolio selection for index tracking. Comput. Oper. Res. 39 (4) (2012)
Jonathan Y. Li, Roy H. Kwon
Market price-based convex risk measures: A distribution-free optimization approach. Oper. Res. Lett. 40 (2) (2012)
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) (2011)
Roy H. Kwon, Stephen J. Stoyan
Mean-Absolute Deviation Portfolio Models with Discrete Choice Constraints. Algorithmic Oper. Res. 6 (2) (2011)
Roy H. Kwon, Georgios V. Dalakouras, Cheng Wang
On a posterior evaluation of a simple greedy method for set packing. Optim. Lett. 2 (4) (2008)
Roy H. Kwon
Data dependent worst case bounds for weighted set packing. Eur. J. Oper. Res. 167 (1) (2005)