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Roy H. Kwon, Ph.D.

Affiliations: 
2002 University of Pennsylvania, Philadelphia, PA, United States 
Area:
Intelligent Systems: Machine Learning, Information Systems: Computational Biology and Bioinformatics
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Parents

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G Anandalingam grad student 2002 Penn (E-Tree)
 (Approximate mechanisms and algorithms for combinatorial auctions.)
Lyle H. Ungar grad student 2002 Penn
 (Approximate mechanisms and algorithms for combinatorial auctions.)

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Publications

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Costa G, Kwon RH. (2020) A regime-switching factor model for mean–variance optimization Journal of Risk. 22: 31-59
Anis H, Kwon RH. (2020) A shrinking horizon optimal liquidation framework with lower partial moments criteria Journal of Computational Finance. 8
Costa G, Kwon R. (2020) A robust framework for risk parity portfolios Journal of Asset Management. 21: 447-466
Diaz M, Kwon RH. (2020) Optimization of covered calls under uncertainty Optimization and Engineering. 1-29
Costa G, Kwon RH. (2020) Generalized risk parity portfolio optimization: an ADMM approach Journal of Global Optimization. 78: 207-238
Costa G, Kwon RH. (2019) Risk parity portfolio optimization under a Markov regime-switching framework Quantitative Finance. 19: 453-471
Diaz M, Kwon RH. (2019) Portfolio optimization with covered calls Journal of Asset Management. 20: 38-53
Sharifi M, Kwon RH. (2018) Performance-based contract design under cost uncertainty: A scenario-based bilevel programming approach The Engineering Economist. 63: 291-318
Lee M, Kwon RH, Lee C, et al. (2018) Decentralized strategic asset allocation with global constraints Journal of Asset Management. 19: 13-26
Wu D, Kwon RH, Costa G. (2017) A constrained cluster-based approach for tracking the S&P 500 index International Journal of Production Economics. 193: 222-243
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