Young Shin Kim

College of Business, Stony Brook University

Associate Professor

312 Harriman Hall

100 John S. Toll Drive

Stony Brook, NY 11794

United States

  • College of Business, Stony Brook University

SCHOLARLY PAPERS

9

DOWNLOADS

1,005

TOTAL CITATIONS

5

Scholarly Papers (9)

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1.

Foster-Hart Optimal Portfolios

Journal of Banking and Finance, Vol. 68, 2016
Number of pages: 34 Posted: 26 Mar 2016 Last Revised: 26 Apr 2023
Abhinav Anand, Tiantian Li, Tetsuo Kurosaki and Young Shin Kim
Indian Institute of Management (IIM), Kozhikode, State University of New York (SUNY) - Department of Applied Mathematics and Statistics, Bank of Japan and College of Business, Stony Brook University
Downloads 262 (243,037)
Citation 2

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ARMA-GARCH model, normal tempered stable distribution, Foster-Hart risk, value-at-risk (VaR), average value-at-risk (AVaR), reward-risk ratio

2.

Diversified Reward-Risk Parity in Portfolio Construction

Number of pages: 27 Posted: 08 Jul 2021 Last Revised: 29 Sep 2022
Jaehyung Choi, Hyangju Kim and Young Shin Kim
Goldman Sachs - Goldman Sachs, Citibank, Inc. and College of Business, Stony Brook University
Downloads 223 (284,863)
Citation 1

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portfolio construction, asset allocation, risk parity, reward-risk measures, classical tempered stable distribution

3.

The Equity Risk Posed by the Too-Big-To-Fail Banks: A Foster-Hart Estimation

Annals of Operations Research, 253 (1), 21–41, (2017).
Number of pages: 26 Posted: 26 Mar 2016 Last Revised: 23 Aug 2023
Abhinav Anand, Tiantian Li, Tetsuo Kurosaki and Young Shin Kim
Indian Institute of Management (IIM), Kozhikode, State University of New York (SUNY) - Department of Applied Mathematics and Statistics, Bank of Japan and College of Business, Stony Brook University
Downloads 190 (330,778)
Citation 1

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Financial Risk, Normal Tempered Stable Distribution, Foster-Hart risk, Value-at-Risk (VaR), Average Value-at-Risk (AVaR)

4.

Reward-Risk Momentum Strategies Using Classical Tempered Stable Distribution

Journal of Banking and Finance, Vol. 58, pp.194-213, 2015
Number of pages: 38 Posted: 25 Mar 2014 Last Revised: 12 Jul 2021
Jaehyung Choi, Young Shin Kim and Ivan Mitov
Goldman Sachs - Goldman Sachs, College of Business, Stony Brook University and Finanalytica
Downloads 188 (333,970)
Citation 1

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momentum strategy, reward-risk measure, classical tempered stable distribution

5.

Option Pricing in an Investment Risk-Return Setting

Number of pages: 25 Posted: 01 Aug 2019
Young Shin Kim, Stoyan V. Stoyanov, Svetlozar Rachev and Frank J. Fabozzi
College of Business, Stony Brook University, Charles Schwab, Texas Tech University and Johns Hopkins University - Carey Business School
Downloads 111 (514,068)

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option pricing; mean-variance portfolio; binomial pricing trees; stochastic continuous diffusions

6.

ESG-driven corporate clustering and stock market efficiency

Number of pages: 18 Posted: 06 Feb 2025
Jaehyung Choi, Young Shin Kim and Hyangju Kim
Goldman Sachs - Goldman Sachs, College of Business, Stony Brook University and Citibank, Inc.
Downloads 31 (967,807)

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ESG (environmental, social, governance) score, portfolio construction, machine learning, clustering, unsupervised learning JEL classification: G11

7.

Long and Short Memory in the Risk-Neutral Pricing Process

Journal of Derivatives, Summer 2019, DOI: https://doi.org/10.3905/jod.2019.1.077
Posted: 28 Feb 2019 Last Revised: 14 Sep 2021
Young Shin Kim, Danling Jiang and Stoyan V. Stoyanov
College of Business, Stony Brook University, College of Business, Stony Brook University and Charles Schwab

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Option Pricing, Long-Range Dependence, Fractional Levy Processes

8.

Online Appendix to: Quanto Option Pricing with Lévy Models

Posted: 10 Jul 2016 Last Revised: 02 Apr 2018
Hasan Fallahgoul, Hasan Fallahgoul, Young Shin Kim, Frank J. Fabozzi and Jiho Park
Monash UniversityMonash University, College of Business, Stony Brook University, Johns Hopkins University - Carey Business School and State University of New York, SUNY at Stony Brook University, College of Business

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Quanto option pricing, L'evy process, stable and tempered stable process, subordinator

9.

Quanto Option Pricing with Lévy Models

Posted: 20 Jun 2016 Last Revised: 02 Apr 2018
Hasan Fallahgoul, Hasan Fallahgoul, Young Shin Kim, Frank J. Fabozzi and Jiho Park
Monash UniversityMonash University, College of Business, Stony Brook University, Johns Hopkins University - Carey Business School and State University of New York, SUNY at Stony Brook University, College of Business

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Quanto option pricing, L'evy process, stable and tempered stable process, subordinator