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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
2021-05Recent Trends and Perspectives on the Korean Asset Management IndustryKim, Jang Ho; Lee, Yongjae; Bae, Jaekyu, et alARTICLE41 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 alARTICLE161 Mean–Variance Optimization for Asset Allocation
2020-09Achieving Portfolio Diversification for Individuals with Low Financial SustainabilityLee, Yongjae; Kim, Woo Chang; Kim, Jang HoARTICLE162 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 alARTICLE498 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 alARTICLE303 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 alARTICLE246 Basic Enhancement Strategies When Using Bayesian Optimization for Hyperparameter Tuning of Deep Neural Networks
2019-10국내 인적자본을 고려한 생애주기별 자산관리유제용; 홍주환; 이용재, et alARTICLE230 국내 인적자본을 고려한 생애주기별 자산관리
2018-08Why your smart beta portfolio might not workLee, Yongjae; KIm, Woo ChangARTICLE491 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 alARTICLE390 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 alARTICLE456 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 alARTICLE358 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 alARTICLE352 Sparse tangent portfolio selection via semi-definite relaxation
2016-02A uniformly distributed random portfolioKim, Woo Chang; Lee, YongjaeARTICLE354 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 HakARTICLE370 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 ChangARTICLE422 A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures

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