1 |
Black, F. and R. Litterman, "Asset allocation: Combining investor views with market equilibrium", Journal of Fixed Income, Vol1, No.2 (1991), 7-18.
DOI
|
2 |
Brinson, G. P., "Determinants of portfolio performance", Financial Analysts Journal, Vol51, No.1 (1995), 133-138.
DOI
|
3 |
Chen, T. and C. Guestrin, "XGBoost: A Scalable Tree Boosting System", 22nd ACM SIGKDD Conference on Knowledge Discovery and Data Mining(2016), 785-794.
|
4 |
Chopra, V. K. and W. T. Ziemba, "The effect of errors in means, variances, and covariances on optimal portfolio choice", Journal of Portfolio Management, Vol.19, No.2(1993), 6-11.
DOI
|
5 |
Demiguel, V., L. Garlappi and R. Uppal, "Optimal versus naive diversification: How inefficient is the 1/n portfolio strategy?", Review of Financial Studies, Vol.22, No.5(2009), 1915-1953.
DOI
|
6 |
Hah, D. W., Y. M., Kim and J. J., Ahn, "A study on KOSPI200 direction forecasting using XGBoost model", Journal of the Korean Data And Information Science Society, Vol.30, No.3(2019), 655-669.
DOI
|
7 |
Kim, S. W., "Robo-Advisor Algorithm with Intelligent View Model", Journal of Intelligence and Information Systems, Vol.25, No.2(2019), 39-55.
DOI
|
8 |
Lee, C. S. and K. B., Lee, "A Sensitivity Analysis of the effects of errors in parameter Estimation on portfolio efficiency", The Korean Journal of Financial Engineering, Vol.1, No.0(2002), 1-13.
|
9 |
Lee, S. H., "Covariance Estimation and the Effect on the Performance of the Optimal Portfolio", Journal of the Korean Operations Research and Management Science Society, Vol.39, No.4(2014), 137-152.
DOI
|
10 |
Markowitz, H. M., "Portfolio selection", Journal of Finance, Vol.7, No.1(1952), p.77-91.
DOI
|
11 |
Qian, E, "Risk parity portfolios: Efficient portfolios through true diversification, Panagora Asset Management, September(2005).
|
12 |
Roh, T. H., "Integration Model of Econometric Time Series for Volatility Forecasting", Korean Management Consulting Review, Vol.13, No.1(2013), 313-340.
|
13 |
Ru, J. P. and H. J. Shin, "An Option Hedge Strategy Using Machine Learning and Dynamic Delta Hedging", Journal of The Korea Academia-Industrial cooperation Society, Vol.12, No.2(2011), 712-717.
DOI
|
14 |
Sa, J. H., S. H., Hee and G. Y. Gim, "A study on Utilization of Robo-Advisor in Korea", Proceedings of Fall Conference on Korea Society of IT Sercvices(2016), 234-237.
|