1 citations · 2 across the 4 of their papers we have counts for
4 papers
Deeply Equal-Weighted Subset Portfolios
Sang Il Lee
The high sensitivity of optimized portfolios to estimation errors has prevented their practical application. To mitigate this sensitivity, we propose a new portfolio model called a…
Hyperparameter Optimization for Forecasting Stock Returns
Sang Il Lee
In recent years, hyperparameter optimization (HPO) has become an increasingly important issue in the field of machine learning for the development of more accurate forecasting mode…
Multimodal Deep Learning for Finance: Integrating and Forecasting International Stock Markets
Sang Il Lee, Seong Joon Yoo
In today's increasingly international economy, return and volatility spillover effects across international equity markets are major macroeconomic drivers of stock dynamics. Thus,…
Threshold-Based Portfolio: The Role of the Threshold and Its Applications
Sang Il Lee, Seong Joon Yoo
This paper aims at developing a new method by which to build a data-driven portfolio featuring a target risk-return. We first present a comparative study of recurrent neural networ…