Kim Young

Young Kim

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Found 3 papers in total
The equity risk posed by the too-big-to-fail banks: a Foster‐Hart estimation
The equity risk posed by the too-big-to-fail banks: a Foster‐Hart estimation
2017
The measurement of financial risk relies on two factors: determination of riskiness by...
Periodic portfolio revision with transaction costs
Periodic portfolio revision with transaction costs
2015
In this paper we consider the impact of transaction costs on the periodic portfolio...
Measuring financial risk and portfolio optimization with a non‐Gaussian multivariate model
Measuring financial risk and portfolio optimization with a non‐Gaussian multivariate model
2012
In this paper, we propose a multivariate market model with returns assumed to follow a...
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