Researcher Page

사진

Kim, Woo Chang (김우창) C-2066-2011

Department
Department of Industrial & Systems Engineering(산업및시스템공학과)
Co-author
Collaboration Network Collaboration Network
Website
http://felab.kaist.ac.kr/HomePage
Research Area
Financial engineering, Pension plan management, Investment management; Portfolio management

Keyword Cloud

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1

Recent advancements in robust optimization for investment management

Kim, Jang Ho; Kim, Woo Changresearcher; Fabozzi, Frank J.SPRINGERANNALS OF OPERATIONS RESEARCH, v.266, no.1-2, pp.183 - 198, 2018-07

2

An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel's monkey

Lee, Yongjae; Kwon, Do-Gyun; Kim, Woo Changresearcher; Fabozzi, Frank J.ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTDAPPLIED ECONOMICS, v.50, no.40, pp.4318 - 4327, 2018-07

3

Penalizing variances for higher dependency on factors

Kim, Jang Ho; Kim, Woo Changresearcher; Fabozzi, Frank J.ROUTLEDGE JOURNALSQUANTITATIVE FINANCE, v.17, no.4, pp.479 - 489, 2017-04

4

Modeling the dynamics of institutional, foreign, and individual investors through price consensus

Kwon, Do-Gyun; Kim, Jang Ho; Lee, Yongjae; Kim, Woo ChangresearcherELSEVIER SCIENCE INCINTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, v.49, pp.166 - 175, 2017-01

5

한국 ETF 시장의 시스템적 리스크 분석 및 최적의 ETF 도입 순서에 대한 연구

김범현; 이용재; 권도균; 김우창researcher대한산업공학회대한산업공학회지, v.43, no.6, pp.482 - 491, 2017

6

Robust Factor-Based Investing

Kim, Jang Ho; Kim, Woo Changresearcher; Fabozzi, Frank J.INST INVESTOR INCJOURNAL OF PORTFOLIO MANAGEMENT, v.43, no.5, pp.157 - 164, 2017

7

Portfolio selection with conservative short-selling

Kim, Jang Ho; Kim, Woo Changresearcher; Fabozzi, Frank J.ACADEMIC PRESS INC ELSEVIER SCIENCEFINANCE RESEARCH LETTERS, v.18, pp.363 - 369, 2016-08

8

국민연금의 세대내 세후 소득재분배 효과 분석

이동열; 김우창researcher; 최웅비한국사회보장학회사회보장연구, v.32, no.3, pp.159 - 174, 2016-08

9

Sparse tangent portfolio selection via semi-definite relaxation

Kim, Min Jeong; Lee, Yongjae; Kim, Jang Ho; Kim, Woo ChangresearcherELSEVIER SCIENCE BVOPERATIONS RESEARCH LETTERS, v.44, no.4, pp.540 - 543, 2016-07

10

A uniformly distributed random portfolio

Kim, Woo Changresearcher; Lee, YongjaeROUTLEDGE JOURNALSQUANTITATIVE FINANCE, v.16, no.2, pp.297 - 307, 2016

11

Focusing on the worst state for robust investing

Kim, Woo Changresearcher; Kim, Jang Ho; Mulvey, John M.; Fabozzi, Frank J.ELSEVIER SCIENCE INCInternational Review of Financial Analysis, v.39, pp.19 - 31, 2015-05

12

신탁기금 운용의 관점에서 평가한 국민연금기금의 사회적 투자 수익률

김민정; 최웅비; 김우창researcher한국사회복지정책학회사회복지정책, v.42, no.1, pp.211 - 237, 2015-03

13

Deciphering robust portfolios

Kim, Woo Changresearcher; Kim, Jang Ho; Fabozzi, Frank J.ELSEVIER SCIENCE BVJOURNAL OF BANKING FINANCE, v.45, pp.1 - 8, 2014-08

14

Recent Developments in Robust Portfolios with a Worst-Case Approach

Kim, Jang Ho; Kim, Woo Changresearcher; Fabozzi, Frank J.SPRINGER/PLENUM PUBLISHERSJOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, v.161, no.1, pp.103 - 121, 2014-04

15

Dynamic asset allocation for varied financial markets under regime switching framework

Bae, Geum Il; Kim, Woo Changresearcher; Mulvey, John M.ELSEVIER SCIENCE BVEUROPEAN JOURNAL OF OPERATIONAL RESEARCH, v.234, no.2, pp.450 - 458, 2014-04

16

Robust portfolios that do not tilt factor exposure

Kim, Woo Changresearcher; Kim, Min Jeong; Kim, Jang Ho; Fabozzi, Frank J.ELSEVIER SCIENCE BVEUROPEAN JOURNAL OF OPERATIONAL RESEARCH, v.234, no.2, pp.411 - 421, 2014-04

17

Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments

Kim, Woo Changresearcher; Fabozzi, Frank J.; Cheridito, Patrick; Fox, CharlesELSEVIER SCIENCE SAECONOMICS LETTERS, v.122, no.2, pp.154 - 158, 2014-02

18

Cost of Asset Allocation in Equity Market: How Much Do Investors Lose Due to Bad Asset Class Design?

Kim, Woo Changresearcher; Lee, Yongjae; Lee, YoonhakINST INVESTOR INCJOURNAL OF PORTFOLIO MANAGEMENT, v.41, no.1, pp.34 - 44, 2014

19

Composition of robust equity portfolios

Kim, Jang Ho; Kim, Woo Changresearcher; Fabozzi, Frank J.ACADEMIC PRESS INC ELSEVIER SCIENCEFINANCE RESEARCH LETTERS, v.10, no.2, pp.72 - 81, 2013-06

20

What do robust equity portfolio models really do?

Kim, Woo Changresearcher; Kim, Jang Ho; Ahn, So Hyoung; Fabozzi, Frank J.SPRINGERANNALS OF OPERATIONS RESEARCH, v.205, no.1, pp.141 - 168, 2013-05

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