Roy H. Kwon

According to our database, Roy H. Kwon authored at least 19 papers between 2005 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

ChatGPT-Based Investment Portfolio Selection.

Oleksandr Romanko, Akhilesh Narayan, Roy H. Kwon

Oper. Res. Forum, December, 2023

Risk-allocation-based index tracking.

Hassan T. Anis, Giorgio Costa, Roy H. Kwon

Comput. Oper. Res., June, 2023

Efficient differentiable quadratic programming layers: an ADMM approach.

Andrew Butler, Roy H. Kwon

Comput. Optim. Appl., March, 2023

Gradient boosting for convex cone predict and optimize problems.

Andrew Butler, Roy H. Kwon

Oper. Res. Lett., January, 2023

2022

Data-driven distributionally robust risk parity portfolio optimization.

Giorgio Costa, Roy H. Kwon

Optim. Methods Softw., 2022

Cardinality-constrained risk parity portfolios.

Hassan T. Anis, Roy H. Kwon

Eur. J. Oper. Res., 2022

2021

A sparse regression and neural network approach for financial factor modeling.

Hassan T. Anis, Roy H. Kwon

Appl. Soft Comput., 2021

2020

Generalized risk parity portfolio optimization: an ADMM approach.

Giorgio Costa, Roy H. Kwon

J. Glob. Optim., 2020

2017

Optimization of covered call strategies.

Mauricio Díaz, Roy H. Kwon

Optim. Lett., 2017

2016

Optimizing the Deployment of Public Access Defibrillators.

Timothy C. Y. Chan, Derya Demirtas, Roy H. Kwon

Manag. Sci., 2016

Bounds for portfolio weights in decentralized asset allocation.

Minho Lee, Roy H. Kwon, Chi-Guhn Lee

INFOR Inf. Syst. Oper. Res., 2016

A stochastic semidefinite programming approach for bounds on option pricing under regime switching.

Roy H. Kwon, Jonathan Y. Li

Ann. Oper. Res., 2016

2013

Portfolio selection under model uncertainty: a penalized moment-based optimization approach.

Jonathan Y. Li, Roy H. Kwon

J. Glob. Optim., 2013

2012

Market price-based convex risk measures: A distribution-free optimization approach.

Jonathan Y. Li, Roy H. Kwon

Oper. Res. Lett., 2012

Robust portfolio selection for index tracking.

Chen Chen, Roy H. Kwon

Comput. Oper. Res., 2012

2011

A Stochastic-Goal Mixed-Integer Programming approach for integrated stock and bond portfolio optimization.

Stephen J. Stoyan, Roy H. Kwon

Comput. Ind. Eng., 2011

Mean-Absolute Deviation Portfolio Models with Discrete Choice Constraints.

Roy H. Kwon, Stephen J. Stoyan

Algorithmic Oper. Res., 2011

2008

On a posterior evaluation of a simple greedy method for set packing.

Roy H. Kwon, Georgios V. Dalakouras, Cheng Wang

Optim. Lett., 2008

2005

Data dependent worst case bounds for weighted set packing.

Roy H. Kwon

Eur. J. Oper. Res., 2005