Jang Ho Kim

Sparse factor model based on trend filtering

Frank J. Fabozzi, Woo Chang Kim, Jang Ho Kim, 2021, Annals of Operations Research.

Portfolio selection with conservative short-selling

Frank J. Fabozzi, Woo Chang Kim, Jang Ho Kim, 2016 .

Robust Equity Portfolio Management, + Website: Formulations, Implementations, and Properties Using MATLAB

Frank J. Fabozzi, Woo Chang Kim, Jang Ho Kim, 2015 .

Penalizing variances for higher dependency on factors

Frank J. Fabozzi, Woo Chang Kim, Jang Ho Kim, 2017 .

Focusing on the worst state for robust investing

Frank J. Fabozzi, John M. Mulvey, Woo Chang Kim, 2015 .