Referred Papers
- Portfolio Selection under Model Uncertainty: a Penalized Moment-Based Optimization Approach. (with Roy H. Kwon) Journal of Global Optimization, August 2012. link [ 1st Place in the CORS Paper Competition ]
- A Moment Approach to Bounding Exotic Options under Regime Switching (with Michael J. Kim and Roy H. Kwon) Optimization, May 2012. link
- Market Price-Based Convex Risk Measures:a Distribution-Free Optimization Approach(with Roy H. Kwon) Operations Research Letters, v. 40 (2), 128-133, 2012. link
Submitted Papers- A Stochastic Semidefinite Programming Approach for Bounds on Option Pricing under Regime Switching. (with Roy H. Kwon)
Working Reports
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