Jang Ho Kim

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Most of previous work on robust equity portfolio optimization has focused on its formulation and performance. In contrast, in this paper we analyze the behavior of robust equity portfolios to determine whether reducing the sensitivity to input estimation errors is all robust models do and investigate any side-effects of robust formulations. Therefore, our(More)
Article history: Available online xxxx Keywords: Investment analysis Robust portfolio model Robustness analysis Fundamental factors a b s t r a c t Robust portfolios reduce the uncertainty in portfolio performance. In particular, the worst-case optimization approach is based on the Markowitz model and form portfolios that are more robust compared to(More)
  • Jang Ho Kim, Chang Kim, Frank J Fabozzi, J H Kim, W C Kim, F J Fabozzi +2 others
  • 2013
This is a PDF file of an unedited manuscript that has been accepted for publication. As a service to our customers we are providing this early version of the manuscript. The manuscript will undergo copyediting, typesetting, and review of the resulting proof before it is published in its final form. Please note that during the production process errors may(More)
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