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A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures File

Lee, Yongjae , Kim, Woo Chang

Article Issue Date2013-05 View224

A Study on the Korean ETF Market : Systemic Risk and the Optimal ETF Introduction Sequence File

Kim, Beomhyeon , Lee, Yongjae , Kwon, Do-Gyun , Kim, Woo Chang

Article Issue Date2017-12 View106

A Uniformly Distributed Random Portfolio

Kim, Woo Chang , Lee, Yongjae

Conference Paper Issue Date2015-04-08 View52

A uniformly distributed random portfolio File

Kim, Woo Chang , Lee, Yongjae

Article Issue Date2016-02 View165

Achieving Portfolio Diversification for Individuals with Low Financial Sustainability File File

Lee, Yongjae , Kim, Woo Chang , Kim, Jang Ho

Article Issue Date2020-09 View108

Active Fund Performance: A Full-Distributional Analysis

Lee, Yongjae , Kim, Woo Chang , Ziemba, William T.

Conference Paper Issue Date2015-11-01 View50

An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel's monkey File

Lee, Yongjae , Kwon, Do-Gyun , Kim, Woo Chang , Fabozzi, Frank J.

Article Issue Date2018-02 View95

An Overview of Machine Learning for Asset Management File

Lee, Yongjae , Thompson, John R. J. , Kim, Jang Ho , Kim, Woo Chang , Fabozzi, Francesco A.

Article Issue Date2023-09 View163

An Overview of Machine Learning for Portfolio Optimization File

Lee, Yongjae , Kim, Jang Ho , Kim, Woo Chang , Fabozzi, Frank J.

Article Issue Date2024-12 View188

An Overview of Optimization Models for Portfolio Management File

Kim, Jang Ho , Lee, Yongjae , Kim, Woo Chang , Kang, Taehyeon , Fabozzi, Frank J.

Article Issue Date2024-12 View144

Cost of Asset Allocation in Equity Market: How Much Do Investors Lose Due to Bad Asset Class Design? File

Kim, Woo Chang , Lee, Yongjae , Lee, Yoon Hak

Article Issue Date2014-10 View102

Deep Learning in Asset Management: Architectures, Applications, and Challenges File

Hwang, Yoontae , Lee, Youngbin , Lee, Junhyeong , Zohren, Stefan , Kim, Jang Ho , Kim, Woo Chang , Lee, Yongjae , Fabozzi, Frank J.

Article Issue Date2025-11 View29

Deep Value Function Networks for Large-Scale Multistage Stochastic Programs

Bae, Hyunglip , Lee, Jinkyu , Kim, Woo Chang , Lee, Yongjae

Conference Paper Issue Date2023-04-26 View63

Enhancing mean-variance portfolio optimization through GANs-based anomaly detection File

Kim, Jang Ho , Kim, Seyoung , Lee, Yongjae , Kim, Woo Chang , Fabozzi, Frank J.

Article Issue Date2025-03 View140

From Constituents to Index: Interpretable Price Movement Prediction via Cross-Asset Order Flow File

Lee, Sungho , Hwang, Sukmin , Kim, Chanyeong , Yang, Mingyu , Lee, Yongjae , Kim, Woo Chang

Conference Paper Issue Date2025-11-14 View18

Goal-based investing based on multi-stage robust portfolio optimization File

Kim, Jang Ho , Lee, Yongjae , Kim, Woo Chang , Fabozzi, Frank J.

Article Issue Date2022-06 View140

Goal-based investing with goal postponement: multistage stochastic mixed-integer programming approach File

Bae, Sanghyeon , Lee, Yongjae , Kim, Woo Chang , Kim, Jang Ho , Fabozzi, Frank J.

Article Issue Date2024-08 View142

Large-scale financial planning via a partially observable stochastic dual dynamic programming framework File

Lee, Jinkyu , Kwon, Do-Gyun , Lee, Yongjae , Kim, Jang Ho , Kim, Woo Chang

Article Issue Date2023-09 View98

Market Making under Order Stacking Framework: A Deep Reinforcement Learning Approach File

Chung, Guhyuk , Chung, Munki , Lee, Yongjae , Kim, Woo Chang

Conference Paper Issue Date2022-11-02 View178

Mean Variance Efficient Collaborative Filtering for Stock Recommendations File

Chung, Munki , Lee, Junhyeong , Lee, Yongjae , Kim, Woo Chang

Conference Paper Issue Date2025-11-14 View60

Mean–Variance Optimization for Asset Allocation File

Kim, Jang Ho , Lee, Yongjae , Kim, Woo Chang , Fabozzi, Frank J.

Article Issue Date2021-02 View116

Modeling the dynamics of institutional, foreign, and individual investors through price consensus File

Kwon, Do-Gyun , Kim, Jang Ho , Lee, Yongjae , Kim, Woo Chang

Article Issue Date2017-01 View102

Neural Marked Hawkes Process for Limit Order Book Modeling File

Chung, Guhyuk , Lee, Yongjae , Kim, Woo Chang

Conference Paper Issue Date2024-04-25 View126

Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products File

Bae, Sanghyeon , Lee, Yongjae , Kim, Woo Chang

Article Issue Date2023-11 View145

Personalized goal-based investing via multi-stage stochastic goal programming File

Kim, Woo Chang , Kwon, Do-Gyun , Lee, Yongjae , Kim, Jang Ho , Lin, Changle

Article Issue Date2020-03 View103

Random Forests for Feature Selection: Concepts and Applications in Asset Management File

Kim, Jang Ho , Lee, Yongjae , Kim, Woo Chang , Song, Jae Wook , Fabozzi, Frank J

Article Issue Date2025-11 View18

Recent Trends and Perspectives on the Korean Asset Management Industry File

Kim, Jang Ho , Lee, Yongjae , Bae, Jaekyu , Kim, Woo Chang

Article Issue Date2021-05 View117

Robustness in Portfolio Optimization File

Kim, Jang Ho , Kim, Woo Chang , Lee, Yongjae , Choi, Bong-Geun , Fabozzi, Frank J.

Article Issue Date2023-09 View193

Shock-Biased Attention: Enhancing Transformer Hawkes Processes with Amplitude-Driven Temporal Kernels File

Hwang, Sukmin , Lee, Sungho , Kim, Chanyeong , Lee, Yongjae , Kim, Woo Chang

Conference Paper Issue Date2025-11-14 View14

Sparse and robust portfolio selection via semi-definite relaxation File

Lee, Yongjae , Kim, Min Jeong , Kim, Jang Ho , Jang, Ju Ri , Kim, Woo Chang

Article Issue Date2020-05 View123

Sparse tangent portfolio selection via semi-definite relaxation File

Kim, Min Jeong , Lee, Yongjae , Kim, Jang Ho , Kim, Woo Chang

Article Issue Date2016-07 View149

THE COST OF ASSET ALLOCATION

Kim, Woo Chang , Lee, Yongjae , Lee, Yoon Hak

Conference Paper Issue Date2013-05-24 View52

The effects of errors in means, variances, and correlations on the mean-variance framework File

Chung, Munki , Lee, Yongjae , Kim, Jang Ho , Kim, Woo Chang , Fabozzi, Frank J.

Article Issue Date2022-10 View138

Value Function Gradient Learning for Large-Scale Multistage Stochastic Programming Problems File

Lee, Jinkyu , Bae, Sanghyeon , Kim, Woo Chang , Lee, Yongjae

Article Issue Date2023-07 View150

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