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








Comments