Roy H. Kwon

29 papers Journal 29
YearRankTypeTitle / Venue / Authors
2025 J jnl
A novel regime-switching commodity pricing model with stochastic convenience yield.
Comput. Manag. Sci.
Zhushun Yuan, Roy H. Kwon
2025 J jnl
Contextual Scenario Generation for Two-Stage Stochastic Programming.
CoRR
David Islip, Roy H. Kwon, Sanghyeon Bae, Woo Chang Kim
2025 J jnl
End-to-end, decision-based, cardinality-constrained portfolio optimization.
Eur. J. Oper. Res.
Hassan T. Anis, Roy H. Kwon
2025 J jnl
Generative AI-enhanced Sector-based Investment Portfolio Construction.
CoRR
Alina Voronina, Oleksandr Romanko, Ruiwen Cao, Roy H. Kwon, Rafael Mendoza-Arriaga
2025 J jnl
Integration of support vector machines and mean-variance optimization for capital allocation.
Eur. J. Oper. Res.
David Islip, Roy H. Kwon, Seongmoon Kim
2025 J jnl
Stochastic red-blue set covering: a decomposition approach.
J. Glob. Optim.
David Islip, Roy H. Kwon
2023 J jnl
ChatGPT-Based Investment Portfolio Selection.
Oper. Res. Forum
Oleksandr Romanko, Akhilesh Narayan, Roy H. Kwon
2023 J jnl
ChatGPT-based Investment Portfolio Selection.
CoRR
Oleksandr Romanko, Akhilesh Narayan, Roy H. Kwon
2023 J jnl
Efficient differentiable quadratic programming layers: an ADMM approach.
Comput. Optim. Appl.
Andrew Butler, Roy H. Kwon
2023 J jnl
Gradient boosting for convex cone predict and optimize problems.
Oper. Res. Lett.
Andrew Butler, Roy H. Kwon
2023 J jnl
Risk-allocation-based index tracking.
Comput. Oper. Res.
Hassan T. Anis, Giorgio Costa, Roy H. Kwon
2022 J jnl
Cardinality-constrained risk parity portfolios.
Eur. J. Oper. Res.
Hassan T. Anis, Roy H. Kwon
2022 J jnl
Data-driven distributionally robust risk parity portfolio optimization.
Optim. Methods Softw.
Giorgio Costa, Roy H. Kwon
2022 J jnl
Gradient boosting for convex cone predict and optimize problems.
CoRR
Andrew Butler, Roy H. Kwon
2021 J jnl
A sparse regression and neural network approach for financial factor modeling.
Appl. Soft Comput.
Hassan T. Anis, Roy H. Kwon
2021 J jnl
Efficient differentiable quadratic programming layers: an ADMM approach.
CoRR
Andrew Butler, Roy H. Kwon
2020 J jnl
Generalized risk parity portfolio optimization: an ADMM approach.
J. Glob. Optim.
Giorgio Costa, Roy H. Kwon
2017 J jnl
Optimization of covered call strategies.
Optim. Lett.
Mauricio Díaz, Roy H. Kwon
2016 J jnl
A stochastic semidefinite programming approach for bounds on option pricing under regime switching.
Ann. Oper. Res.
Roy H. Kwon, Jonathan Y. Li
2016 J jnl
Bounds for portfolio weights in decentralized asset allocation.
INFOR Inf. Syst. Oper. Res.
Minho Lee, Roy H. Kwon, Chi-Guhn Lee
2016 J jnl
Optimizing the Deployment of Public Access Defibrillators.
Manag. Sci.
Timothy C. Y. Chan, Derya Demirtas, Roy H. Kwon
2013 J jnl
Portfolio selection under model uncertainty: a penalized moment-based optimization approach.
J. Glob. Optim.
Jonathan Y. Li, Roy H. Kwon
2012 J jnl
Market price-based convex risk measures: A distribution-free optimization approach.
Oper. Res. Lett.
Jonathan Y. Li, Roy H. Kwon
2012 J jnl
Robust portfolio selection for index tracking.
Comput. Oper. Res.
Chen Chen, Roy H. Kwon
2011 J jnl
A Stochastic-Goal Mixed-Integer Programming approach for integrated stock and bond portfolio optimization.
Comput. Ind. Eng.
Stephen J. Stoyan, Roy H. Kwon
2011 J jnl
Mean-Absolute Deviation Portfolio Models with Discrete Choice Constraints.
Algorithmic Oper. Res.
Roy H. Kwon, Stephen J. Stoyan
2008 J jnl
On a posterior evaluation of a simple greedy method for set packing.
Optim. Lett.
Roy H. Kwon, Georgios V. Dalakouras, Cheng Wang
2005 J jnl
Data dependent worst case bounds for weighted set packing.
Eur. J. Oper. Res.
Roy H. Kwon
2005 J jnl
Iterative Combinatorial Auctions with Bidder-Determined Combinations.
Manag. Sci.
Roy H. Kwon, G. Anandalingam, Lyle H. Ungar