1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.PM2023
Portfolio Optimization with Relative Tail Risk
Young Shin Kim
This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect t…
q-fin.MF2023★ 1 cited
Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models
Young Shin Kim, Hyangju Kim, Jaehyung Choi
This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration algorithm of option pricing models. We construct ANNs to calibrate parameters for two…
q-fin.PM2014
Reward-risk momentum strategies using classical tempered stable distribution
Jaehyung Choi, Young Shin Kim, Ivan Mitov
We implement momentum strategies using reward-risk measures as ranking criteria based on classical tempered stable distribution. Performances and risk characteristics for the alter…