Min Jeong Kim

Korea Advanced Institute of Science and Technology (KAIST)

373-1 Kusong-dong

Yuson-gu

Taejon 305-701, 130-722

SCHOLARLY PAPERS

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Scholarly Papers (2)

1.

Identifying Sparse L2-Norm Regularized Portfolios via Semi-Definite Relaxation

Posted: 01 Sep 2015
Min Jeong Kim, Yongjae Lee and Woo Chang Kim
Korea Advanced Institute of Science and Technology (KAIST), UNIST and Korea Advanced Institute of Science and Technology (KAIST)

Abstract:

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Portfolio selection, L2-norm regularization, Cardinality constraint, Semi-definite relaxation

2.

Sparse Tangent Portfolio Selection via Semi-Definite Relaxation

Posted: 01 Sep 2015
Min Jeong Kim, Yongjae Lee, Jang Ho Kim and Woo Chang Kim
Korea Advanced Institute of Science and Technology (KAIST), UNIST, Kyung-Hee University and Korea Advanced Institute of Science and Technology (KAIST)

Abstract:

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Sparse portfolio; Sharpe ratio maximization; Semi-definite relaxation