Articles by Roy H. Kwon
An effective credit rating method for corporate entities using machine learning
The authors propose a new method to design credit risk rating models for corporate entities using a meta-algorithm which exploits information embedded in expert-assigned credit ratings to rank customers.
Covariance estimation for risk-based portfolio optimization: an integrated approach
This paper presents a stochastic optimization framework for integrating time-varying factor covariance models in a risk-based portfolio optimization setting.
A regime-switching factor model for mean–variance optimization
In this paper the authors formulate a novel Markov regime-switching factor model to describe the cyclical nature of asset returns in modern financial markets.
A shrinking horizon optimal liquidation framework with lower partial moments criteria
In this paper, a novel quasi-multiperiod model for optimal position liquidation in the presence of both temporary and permanent market impact is proposed. Two main features distinguish the proposed approach from its alternatives.