Academic Position

Assistant Professor

Name

WenYi Lee

Office

Tel

E-mail

Research Field

Financial Technology, Artificial Intelligence, Machine Learning, Deep Learning, Text Mining, Portfolio Selection, Reinforcement Learning.

Education

National Yang Ming Chiao Tung University Institute of Management of Technology, PhD

Courses

Database, financial technology, web design, system construction

Honors & Experience

Shih Hsin University, Assistant Professor

National Kaohsiung University of Science and Technology, Department of Finance, Assistant Professor

Referred Paper

1. “Portfolio models with return forecasting and transaction costs” (with J.R. Yu, W.J. Chiou, and S.J. Lin) International Review of Economics and Finance, 66, 118-130, 2020. (SSCI, Impact factor: 1.42)

2. “Does Worst-case Omega robust portfolio outperform CVaR-related models?” (with J.R. Yu, W.J. Chiou, and T.Y. Chang) Computers & Operations Research, 104, 239-255, 2019. (SCI, Impact factor: 3.424)

3. “Does entropy model with return forecasting enhance portfolio performance?” (with J.R. Yu, W.J. Chiou, and K.C. Yu) Computers and Industrial Engineering 114, 175-182, 2017. (SCI, Impact factor: 4.135)

4. “A proactive technological selection model for new technology: The case of 3D IC TSV” (with C.Y. Hung) Technological Forecasting and Social Change 103, 191-202, 2016. (SSCI, Impact factor: 5.846)

Conference Paper

1. “The influence of feature scaling on the stock prediction”, INFORMS Annual Meeting, 2019, Seattle, United States of America.
2. “The portfolio construction with machine learning”, 9th International Conference on Economics, Trade and Development (ICETD), 2019, Taichung, Taiwan. (with T.S. Liu)

3. “Optimizing the Omega Ratio in Portfolio with Floating Threshold”, INFORMS Annual Conference, 2016, Nashville, Tennessee (with J.R. Yu, W.J. Chiou, and Y. Hsin).

4. “Optimizing the Omega Ratio in Portfolio with Floating Threshold”, INFORMS Annual Meeting, 2016, Nashville, Tennessee (with J.R. Yu, W.J. Chiou, and Y. Hsin).

5. “Optimizing the Omega Ratio in Portfolio with Floating Threshold”, INFORMS Annual Meeting, 2016, Nashville, Tennessee (with J.R. Yu, W.J. Chiou, and Y. Hsin).