Selected Publications


  • Saejoon Kim,
    "Time-Series Residual Momentum Strategies," [pdf]
    Applied Economics, in press.
  • Hyuksoo Kim and Saejoon Kim,
    "Managing Downside Risk of Low-Risk Anomaly Portfolios," [pdf]
    Finance Research Letters, in press.
  • Saejoon Kim and Hyuksoo Kim,
    "Deep Asset Allocation for Trend Following Investing," [pdf]
    Journal of Experimental & Theoretical Artificial Intelligence, in press.
  • Saejoon Kim,
    "Tactical Factor Allocation for Multifactor Portfolios," [pdf]
    Applied Economics Letters, in press.
  • Hyuksoo Kim and Saejoon Kim,
    "Reduction of Estimation Error Impact in the Risk Parity Strategies," [pdf]
    Quantitative Finance, vol. 21, no. 8, pp. 1351-1364, 2021.
  • Saejoon Kim,
    "Enhanced Factor Investing in the Korean Stock Market," [pdf]
    Pacific-Basin Finance Journal, vol. 67, 101558, 2021.
  • Saejoon Kim,
    "Deep Time Series Forecasting for Enhanced Index Tracking," [pdf]
    Applied Economics, vol. 53, no. 17, pp. 1916-1934, 2021.
  • Saejoon Kim and Soong Kim,
    "Index Tracking through Deep Latent Representation Learning," [pdf]
    Quantitative Finance, vol. 20, no. 4, pp. 639-652, 2020.
  • Saejoon Kim,
    "Enhancing the Momentum Strategy through Deep Regression," [pdf]
    Quantitative Finance, vol. 19, no. 7, pp. 1121-1133, 2019.
  • Saejoon Kim and Soong Kim,
    "Min k-Cut for Asset Selection in Risk-based Portfolio Strategies," [pdf]
    in Artificial Intelligence - Emerging Trends and Applications, M.A. Aceves-Fernandez, Ed., IntechOpen, pp. 161-177, 2018.
  • Saejoon Kim,
    "Volatility Forecasting for Low-Volatility Portfolio Selection in the US and the Korean Equity Markets," [pdf]
    Journal of Experimental & Theoretical Artificial Intelligence, vol. 30, no. 1, pp. 71-88, 2018.
  • Saejoon Kim and Jun Heo,
    "Time Series Regression-based Pairs Trading in the Korean Equities Market," [pdf]
    Journal of Experimental & Theoretical Artificial Intelligence, vol. 29, no. 4, pp. 755-768, 2017.

Older Papers



Books


Theses



Web Analytics Made Easy -
StatCounter