Financial Engineering Lab

금융공학연구실

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금융공학연구실

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.

관심분야

Financial Engineering, Financial Optimization, Financial Data Analysis, Financial Planning

희망분야

Research Keywords and Topics

가구 금융건강 측정 (Household financial health examination)
기계학습을 통한 시계열 분석
데이터 경제 시대의 금융
대형 금융 최적화
Uniformly distributed random portfolio (UDRP)

Research Publications
MORE

Kim, Woo Chang; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; Lin, Changle (2020) "Personalized Goal-Based Investing via Multi-Stage Stochastic Goal Programming," Quantitative Finance, 20(3), 515-526
Lee, Yongjae; Kim, Min Jeong; Kim, Jang Ho; Jang, Ju Ri; Kim, Woo Chang (2020) “Sparse and Robust Portfolio Selection via Semi-Definite Relaxation,” Journal of the Operational Research Society, 71(5), 687-699
Lee, Yongjae; Kwon, Do-Gyun; Kim, Woo Chang; Fabozzi, Frank J. (2018) "An Alternative Approach for Portfolio Performance Evaluation: Enabling Fund Evaluation Relative to Peer Group via Malkiel’s Monkey," Applied Economics, 50(40), 4318-4327

Patents

Method and Apparatus for Asset Management (자산 운용 방법) (No. 10-1951340) / Inventors: Kim, Woo Chang; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; Lin, Changle / Country: Korea / Registered: 2019.02.18

국가과학기술표준분류

  • SC. 경제/경영
  • SC13. 재무관리
  • SC1303. 투자/위험관리

국가기술지도분류

  • 정보-지식-지능화 사회 구현
  • 011200. 전자금융기술

녹색기술분류

  • 녹색기술관련 과제 아님

6T분류

  • IT 분야
  • 정보처리 시스템 및 S/W
  • 010316. 기타 정보처리시스템 및 S/W 기술