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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 View7

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 View5

A Uniformly Distributed Random Portfolio

Kim, Woo Chang , Lee, Yongjae

Conference Paper Issue Date2015-04-08 View4

A uniformly distributed random portfolio File

Kim, Woo Chang , Lee, Yongjae

Article Issue Date2016-02 View8

Achieving Portfolio Diversification for Individuals with Low Financial Sustainability File File

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

Article Issue Date2020-09 View4

Active Fund Performance: A Full-Distributional Analysis

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

Conference Paper Issue Date2015-11-01 View5

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 View4

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 View8

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 View6

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 View4

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 View11

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 View5

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 View41

Mean–Variance Optimization for Asset Allocation File

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

Article Issue Date2021-02 View12

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 View6

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 View8

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 View7

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 View6

Robustness in Portfolio Optimization File

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

Article Issue Date2023-09 View17

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 View6

Sparse tangent portfolio selection via semi-definite relaxation File

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

Article Issue Date2016-07 View6

THE COST OF ASSET ALLOCATION

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

Conference Paper Issue Date2013-05-24 View4

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 View4

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 View5

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