Seungkyu Lee

Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering

Dep. Industrial and Management Engineering POSTECH

San 31 Hyoja-dong Nam-gu

Pohang, Kyung-buk 790-783

Korea

SCHOLARLY PAPERS

5

DOWNLOADS

435

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Robust Consumption and Portfolio Rules with Time-Varying Model Confidence

Finance Research Letters, Forthcoming
Number of pages: 31 Posted: 18 Jul 2012 Last Revised: 06 Jun 2016
Bong-Gyu Jang, Seungkyu Lee and Byung Hwa Lim
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering and The University of Suwon - Department of Economics and Finance
Downloads 126 (240,295)

Abstract:

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robust portfolio, optimal consumption, optimal investment, entropy, robust control

2.

Liquidation Shocks and Transaction Costs

Number of pages: 34 Posted: 14 Feb 2015
Bong-Gyu Jang, Hyeng Keun Koo and Seungkyu Lee
Pohang University of Science and Technology (POSTECH), Ajou University - Department of Business Administration and Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering
Downloads 113 (260,319)
Citation 2

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recursive utility, transaction cost, elasticity of intertemporal substitution, wealth shock, liquidation shock

3.

Liquidity Premia, Transaction Costs, and Model Misspecification

Number of pages: 43 Posted: 10 Mar 2014 Last Revised: 11 Jun 2015
Bong-Gyu Jang, Seungkyu Lee and Seyoung Park
Pohang University of Science and Technology (POSTECH), Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering and Nottingham University Business School
Downloads 101 (281,525)

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liquidity, robust portfolio, ambiguitiy, fund manager, transaction cost

4.

How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints

Number of pages: 28 Posted: 19 Sep 2015 Last Revised: 11 Apr 2016
Pohang University of Science and Technology (POSTECH), Morningstar Associates Korea, Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering and Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering
Downloads 95 (292,963)

Abstract:

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asset allocation, portfolio selection, consumption, subsistence level, portfolio constraint, defined contribution

5.

Psychological Barriers and Option Pricing

Journal of Futures Markets, Forthcoming
Posted: 23 Jul 2012 Last Revised: 24 Oct 2013
Pohang University of Science and Technology (POSTECH), Korea University Business School (KUBS), POSTECH, Pohang University of Science and Technology (POSTECH) - Dept. of Industrial and Management Engineering and Korea University

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psychological barrier, option pricing, complete market, threshold model, regime switch, delta hedge