Professor Dr. Lee has expertise in optimization and risk modeling for evaluation and quantification of uncertainty — the key factors in the decision making processes. His research has been focused on modeling decision making problems, evaluating their uncertainty using risk measures, and finding optimal solutions. His work has been published in European Journal of Operational Research, Operations Research Letters, Annals of Operations Research, Discrete Applied Mathematics and Computational Management Science, where one can find useful real-life applications of financial risk modeling, portfolio optimization, probability theory and related modeling, risk measures, corporate M&A deals evaluation, etc. Currently he works on reliability type inventory control problem, projection of distribution in an ordered vector space and bond portfolio optimization problem for insurance company.
Risk Tomography (forthcoming) in European Journal of Operational Research presents how to measure risk and to find the best decision in complex multidimensional situations – “portfolio optimization” and “asset management” applications are investigated using recent real world datasets, demonstrating the new effective risk management tools. In Lee (2017) and Lee and Prékopa (2106) in Operations Research Letters, it is the connection between probability and geometry that enables us to efficiently solve many complicated problems on partially ordered data sets in a high dimensional space, together with recursive projections and a new counting measure. Lee et al. (2017) in Discrete Applied Mathematics, studies for sharp estimation of the future volatility levels of stock portfolios in terms of lower and upper bounds — any function of random variables can be systematically handled by the new methods. The new methods are proven more effective than simulation studies for the same purpose. Lee and Prékopa (2015) in Computational Management Science is one of the first articles presented quantitative evaluation of corporate M&As strategy. The new method provides decision makers with an evidence to support or reconsider their existing plan on the future M&As before taking action based on comparison of risks of before and after the event using the proposed techniques. In Lee and Prékopa (2013) in Annals of Operations Research one can find both theoretical and practical properties of the multivariate Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). This paper also presents algorithms to numerically obtain them, and their useful meaning in various financial applications.
Areas of Expertise
- Decision Models
- Mathematical Programming
- Risk Assessment
- Stochastic Optimization
- Stochastic Processes
Prekopa, Andras, and Lee, Jinwook, Risk Tomography. European Journal of Operational Research 265 (Feb 2018): 149-168.
Lee, Jinwook, Computing the probability of union in the n-dimensional Euclidean space for application of the multivariate quantile: p-level efficient points. Operations Research Letters 45 (May 2017): 242-247.
Lee, Jinwook, Kim, Jongpil, and Prekopa, Andras, Extreme value estimation for a function of a random sample using binomial moments scheme and Boolean functions of events. Discrete Applied Mathematics 219 (Mar 2017): 210-218.
Lee, Jinwook, and Prekopa, Andras, On the probability of union in the n-space. Operations Research Letters 45 (Jan 2017): 19-24.
Lee, Jinwook, and Prekopa, Andras, Decision-Making from a Risk Assessment Perspective for Corporate Mergers and Acquisitions. Computational Management Science 12 (Apr 2015): 243-266.
Lee, Jinwook, and Prekopa, Andras, Properties and Calculation of Multivariate Risk Measures: MVaR and MCVaR. Annals of Operations Research 211 (Dec 2013): 225-254.
Lee, Jinwook, Lee, Joonhee, and Prekopa, Andras, Price Bands: A Technical Tool for Stock Trading. RRR (RUTCOR RESEARCH REPORT) (Sep 2013):
Lee, Jinwook, On the probability of union in the n-space, International Symposium on Artificial Intelligence and Mathematics: Fort Lauderdale, FL, (Jan 2018):
Lee, Jinwook, Partially ordered data sets and a new efficient method for calculating multivariate conditional value-at-risk, IFORS 2017: Quebec, CN, (Jul 2017):
Lee, Jinwook, Risk Tomography, OR 2015: Vienna, (Sep 2015):
Lee, Jinwook, Price Bands: A Technical Tool for Stock Trading, INFORMS: Minneapolis, MN, (Oct 2013):
Lee, Jinwook, Simultaneous Confidence Intervals for Future Stochastic Processes, INFORMS: Phoenix, AZ, (Oct 2012):
Lee, Jinwook, Properties and Calculation of Multivariate Risk…, EURO: Vilnius, Lithuania, (Jul 2012):
Lee, Jinwook, Properties and Calculation of Multivariate Risk…, INFORMS: Charlotte, NC, (Nov 2011):
BBA Business Administration - Yonsei University Korea 2003
BS Mathematics - Stony Brook University Stony Brook, NY USA 2008
PhD Operations Research - Rutgers University New Brunswick, NJ USA 2014
Corporate-Shinhan Bank Corporate Banker Seoul Aug 2003 - Feb 2006
Academic-Rutgers Business School Instructor New Brunswick NJ Sep 2013 - May 2014