Research Area


Financial Optimization


Optimization plays a central role in financial decision making.
We study various financial optimization problems such as robust
optimization, stochastic programming, dynamic programming
from the perspective of optimal decision making under uncertainty.

Sample paper: "Deciphering Robust Portfolios" [link]

Portfolio Theory


We also conduct various researches on portfolio theory. Our main interest
is on discovering new knowledge for investment management practice by
analyzing quantitative properties of optimal portfolios.

Sample paper: "Is 1/n Really Better than Optimal Mean-Variance Portfolio?" [link]

Investment Management


Another key research area is investment management. We aim to
develop quantitative technologies that can improve investment
performance. The main efforts have been spent on modeling
uncertainties as well as obtaining optimal investment decisions
based on such uncertainty models.

Sample paper: "Dynamic Asset Allocation for Varied Financial
Markets under Regime Switching Framework" [link]

Financial Markets


We tackle issues of financial markets from the perspective of money
management, and try to propose alternative approaches in designing
financial market structure.

Sample paper: "Cost of Asset Allocation in Equity Market – How Much Do
Investors Lose Due to Bad Asset Class Design?" [link]


Publications



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