2 papers
math.OC2021
Data-driven distributionally robust risk parity portfolio optimization
Giorgio Costa, Roy H. Kwon
We propose a distributionally robust formulation of the traditional risk parity portfolio optimization problem. Distributional robustness is introduced by targeting the discrete pr…
cs.SI2020
Market Graph Clustering Via QUBO and Digital Annealing
Seo Hong, Pierre Miasnikof, Roy Kwon +1
Our goal is to find representative nodes of a market graph that best replicate the returns of a broader market graph (index), a common task in the financial industry. We model our…