WooChang Kim

WooChang Kim

Korea Advanced Institute of Science and Technology

Associate Professor

Department of Industrial and Systems Engineering

Research Area

  • #Economics
  • #Portfolio
  • #Portfolio optimization
  • #Econometrics
  • #Actuarial science
  • #Computer science
  • #Financial economics
  • #Equity (finance)
  • #Asset allocation
  • #Mathematical optimization

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Related papers to
‘ Portfolio ‘ : 12

  • Robust portfolios that do not tilt factor exposure

    2014/04

    2.4 Impact Factor

    19 citations

    Woo Chang Kim, Min Jeong Kim, Jang Ho Kim, Frank J. Fabozzi

    DOI : 10.1016/J.EJOR.2013.03.029

    • #Economics
    • #Actuarial science
    • #Portfolio
    • #Investment analysis
    • #Portfolio optimization
    • #Asset allocation
    • #Portfolio risk
    • #Convex optimization
    • #Efficient frontier
    • #Post-modern portfolio theory

All papers authored by
‘ WooChang Kim ’ : 19

  • Dynamic asset allocation for varied financial markets under regime switching framework

    2014/04
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

    2.4 Impact Factor

    86 citations

    Geum Il Bae, Woo Chang Kim, John M. Mulvey

    DOI : 10.1016/J.EJOR.2013.03.032

    • #Economics
    • #Microeconomics
    • #Optimization problem
    • #Financial market
    • #Stochastic programming
    • #Optimal decision
    • #Unobservable
    • #Portfolio optimization
    • #Asset allocation
    • #Dynamic asset allocation

Related papers to
‘ Portfolio ‘ : 12

  • Robust portfolios that do not tilt factor exposure

    2014/04
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

    2.4 Impact Factor

    19 citations

    Woo Chang Kim, Min Jeong Kim, Jang Ho Kim, Frank J. Fabozzi

    DOI : 10.1016/J.EJOR.2013.03.029

    • #Economics
    • #Actuarial science
    • #Portfolio
    • #Investment analysis
    • #Portfolio optimization
    • #Asset allocation
    • #Portfolio risk
    • #Convex optimization
    • #Efficient frontier
    • #Post-modern portfolio theory
  • Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments

    2014/02
    ECONOMICS LETTERS

    0.5 Impact Factor

    14 citations

    Woo Chang Kim, Frank J. Fabozzi, Patrick Cheridito, Charles Fox

    DOI : 10.1016/J.ECONLET.2013.11.024

    • #Economics
    • #Econometrics
    • #Portfolio
    • #Spite
    • #Skewness
    • #Kurtosis
    • #Portfolio optimization
    • #Post-modern portfolio theory
    • #Portfolio construction

Get access to
Contact information

Log in

All papers authored by
‘ WooChang Kim ’ : 19

  • Dynamic asset allocation for varied financial markets under regime switching framework

    2014/04
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

    2.4 Impact Factor

    86 citations

    Geum Il Bae, Woo Chang Kim, John M. Mulvey

    DOI : 10.1016/J.EJOR.2013.03.032

    • #Economics
    • #Microeconomics
    • #Optimization problem
    • #Financial market
    • #Stochastic programming
    • #Optimal decision
    • #Unobservable
    • #Portfolio optimization
    • #Asset allocation
    • #Dynamic asset allocation
  • Recent Developments in Robust Portfolios with a Worst-Case Approach

    2014/04
    JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS

    1.5 Impact Factor

    65 citations

    Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi

    DOI : 10.1007/S10957-013-0329-1

    • #Mathematics
    • #Mathematical optimization
    • #Theory of computation
    • #Factor analysis
    • #Portfolio optimization
    • #Robust optimization
    • #Worst case optimization

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