Zobrazeno 1 - 10
of 44
pro vyhledávání: '"Seongmoon Kim"'
Publikováno v:
Mathematics, Vol 11, Iss 1, p 221 (2023)
We propose a novel portfolio evaluation method, a distance-based approach, which directly evaluates the portfolio composition rather than portfolio returns. In this approach, we consider a portfolio as an estimator for an in-sample tangency portfolio
Externí odkaz:
https://doaj.org/article/bb88672cbd5e4ebf90ca2779d617a2e4
Publikováno v:
Journal of Financial Research. 45:941-959
Autor:
Sunghyun Kim, Seongmoon Kim
Publikováno v:
KOREAN MANAGEMENT SCIENCE REVIEW. 39:15-28
Publikováno v:
Journal of the Korean Operations Research and Management Science Society. 46:23-43
Autor:
Jongbin Jung, Seongmoon Kim
Publikováno v:
Journal of the Operational Research Society. 68:766-779
In this paper, we propose a comprehensive investment strategy for not only selecting but also maintaining an investment portfolio that takes into account changing market conditions. First, we implement a dynamic portfolio selection model (DPSM) that
Publikováno v:
Korean Management Science Review. 33:51-64
Publikováno v:
Journal of the Korean Operations Research and Management Science Society. 41:1-21
Autor:
Seongmoon Kim, Jongbin Jung
Publikováno v:
Journal of the Operational Research Society. 66:1115-1131
In this paper, we propose an adaptive investment strategy (AIS) based on a dynamic portfolio selection model (DPSM) that uses a time-varying investment target according to the market forecast. The DPSM allows for flexible investments, setting relativ
Publikováno v:
Journal of the Korean Operations Research and Management Science Society. 40:1-17
Publikováno v:
Korean Management Science Review. 32:15-33