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Lee, Yongjae (이용재)

Department
Department of Industrial Engineering(산업공학과)
Website
https://felab.unist.ac.kr
Lab
Financial Engineering Lab. (금융공학 연구실)
Research Keywords
금융공학, 금융최적화, 금융데이터분석, 재무설계, Financial Engineering, Financial Optimization, Financial Data Analysis, Financial Planning
Research Interests
UNIST Financial Engineering Laboratory aim to identify various problems associated with finance industry and solve them via quantitative methods. Our research areas include:- Customized financial planning for individuals/institutions: use ML/AI techniques to analyze clients, and use mathematical optimization or reinforcement learning techniques to derive optimal financial plans- Analyzing and modeling financial markets: use probabilistic models, ML/AI techniques to analyze and model financial assets such as equities, bonds, real estates, commodities, or data.
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Issue DateTitleAuthor(s)TypeViewAltmetrics
2023-07Value Function Gradient Learning for Large-Scale Multistage Stochastic Programming ProblemsLee, Jinkyu; Bae, Sanghyeon; Kim, Woo Chang, et alARTICLE1144 Value Function Gradient Learning for Large-Scale Multistage Stochastic Programming Problems
2022-10The effects of errors in means, variances, and correlations on the mean-variance frameworkChung, Munki; Lee, Yongjae; Kim, Jang Ho, et alARTICLE817 The effects of errors in means, variances, and correlations on the mean-variance framework
2022-09Identifying household finance heterogeneity via deep clusteringHwang, Yoontae; Lee, Yongjae; Fabozzi, Frank J.ARTICLE678 Identifying household finance heterogeneity via deep clustering
2022-06Goal-based investing based on multi-stage robust portfolio optimizationKim, Jang Ho; Lee, Yongjae; Kim, Woo Chang, et alARTICLE835 Goal-based investing based on multi-stage robust portfolio optimization
2021-05Recent Trends and Perspectives on the Korean Asset Management IndustryKim, Jang Ho; Lee, Yongjae; Bae, Jaekyu, et alARTICLE479 Recent Trends and Perspectives on the Korean Asset Management Industry
2021-02Mean–Variance Optimization for Asset AllocationKim, Jang Ho; Lee, Yongjae; Kim, Woo Chang, et alARTICLE989 Mean–Variance Optimization for Asset Allocation
2020-09Achieving Portfolio Diversification for Individuals with Low Financial SustainabilityLee, Yongjae; Kim, Woo Chang; Kim, Jang HoARTICLE521 Achieving Portfolio Diversification for Individuals with Low Financial Sustainability
2020-05Sparse and robust portfolio selection via semi-definite relaxationLee, Yongjae; Kim, Min Jeong; Kim, Jang Ho, et alARTICLE914 Sparse and robust portfolio selection via semi-definite relaxation
2020-03Personalized goal-based investing via multi-stage stochastic goal programmingKim, Woo Chang; Kwon, Do-Gyun; Lee, Yongjae, et alARTICLE1097 Personalized goal-based investing via multi-stage stochastic goal programming
2020-03Basic Enhancement Strategies When Using Bayesian Optimization for Hyperparameter Tuning of Deep Neural NetworksCho, Hyunghun; Kim, Yongjin; Lee, Eunjung, et alARTICLE594 Basic Enhancement Strategies When Using Bayesian Optimization for Hyperparameter Tuning of Deep Neural Networks
2019-10국내 인적자본을 고려한 생애주기별 자산관리유제용; 홍주환; 이용재, et alARTICLE558 국내 인적자본을 고려한 생애주기별 자산관리
2018-08Why your smart beta portfolio might not workLee, Yongjae; KIm, Woo ChangARTICLE831 Why your smart beta portfolio might not work
2018-02An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel's monkeyLee, Yongjae; Kwon, Do-Gyun; Kim, Woo Chang, et alARTICLE722 An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel's monkey
2017-12A Study on the Korean ETF Market : Systemic Risk and the Optimal ETF Introduction SequenceKim, Beomhyeon; Lee, Yongjae; Kwon, Do-Gyun, et alARTICLE808 A Study on the Korean ETF Market : Systemic Risk and the Optimal ETF Introduction Sequence
2017-01Modeling the dynamics of institutional, foreign, and individual investors through price consensusKwon, Do-Gyun; Kim, Jang Ho; Lee, Yongjae, et alARTICLE694 Modeling the dynamics of institutional, foreign, and individual investors through price consensus
2016-07Sparse tangent portfolio selection via semi-definite relaxationKim, Min Jeong; Lee, Yongjae; Kim, Jang Ho, et alARTICLE719 Sparse tangent portfolio selection via semi-definite relaxation
2016-02A uniformly distributed random portfolioKim, Woo Chang; Lee, YongjaeARTICLE691 A uniformly distributed random portfolio
2014-10Cost of Asset Allocation in Equity Market: How Much Do Investors Lose Due to Bad Asset Class Design?Kim, Woo Chang; Lee, Yongjae; Lee, Yoon HakARTICLE862 Cost of Asset Allocation in Equity Market: How Much Do Investors Lose Due to Bad Asset Class Design?
2013-05A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index FuturesLee, Yongjae; Kim, Woo ChangARTICLE751 A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures

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