Researcher Page

사진
Kim, Woo Chang (김우창)
부교수, Department of Industrial & Systems Engineering(산업및시스템공학과)
Research Area
Financial engineering, Pension plan management, Investment management; Portfolio management
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    NO Title, Author(s) (Publication Title, Volume Issue, Page, Issue Date) Altmetrics
    1
    Article
    Sparse and robust portfolio selection via semi-definite relaxation

    Lee, Yongjae; Kim, Min Jeong; Kim, Jang Ho; et al, JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 2019-08

    2
    Article
    A practical solution to improve the nutritional balance of Korean dine-out menus using linear programming

    Kim, Jang Ho; Kim, Woo Changresearcher; Kim, Jihye, PUBLIC HEALTH NUTRITION, v.22, no.6, pp.957 - 966, 2019-04

    3
    Article
    Optimal Longevity Risk Management in the Retirement Stage of the Life Cycle

    Simsek, Koray D.; Kim, Min Jeong; Kim, Woo Changresearcher; et al, JOURNAL OF INVESTING, v.27, pp.38 - 57, 2018-12

    4
    Article
    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; et al, APPLIED ECONOMICS, v.50, no.40, pp.4318 - 4327, 2018-07

    5
    Article
    Recent advancements in robust optimization for investment management

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

    6
    Article
    Penalizing variances for higher dependency on factors

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

    7
    Article
    Modeling the dynamics of institutional, foreign, and individual investors through price consensus

    Kwon, Do-Gyun; Kim, Jang Ho; Lee, Yongjae; et al, INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, v.49, pp.166 - 175, 2017-01

    8
    Article
    한국 ETF 시장의 시스템적 리스크 분석 및 최적의 ETF 도입 순서에 대한 연구

    김범현; 이용재; 권도균; et al, 대한산업공학회지, v.43, no.6, pp.482 - 491, 2017

    9
    Article
    Robust Factor-Based Investing

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

    10
    Article
    국민연금의 세대내 세후 소득재분배 효과 분석

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

    11
    Article
    Portfolio selection with conservative short-selling

    Kim, Jang Ho; Kim, Woo Changresearcher; Fabozzi, Frank J., FINANCE RESEARCH LETTERS, v.18, pp.363 - 369, 2016-08

    12
    Article
    Sparse tangent portfolio selection via semi-definite relaxation

    Kim, Min Jeong; Lee, Yongjae; Kim, Jang Ho; et al, OPERATIONS RESEARCH LETTERS, v.44, no.4, pp.540 - 543, 2016-07

    13
    Article
    A uniformly distributed random portfolio

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

    14
    Article
    Focusing on the worst state for robust investing

    Kim, Woo Changresearcher; Kim, Jang Ho; Mulvey, John M.; et al, International Review of Financial Analysis, v.39, pp.19 - 31, 2015-05

    15
    Article
    신탁기금 운용의 관점에서 평가한 국민연금기금의 사회적 투자 수익률

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

    16
    Article
    Deciphering robust portfolios

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

    17
    Article
    Recent Developments in Robust Portfolios with a Worst-Case Approach

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

    18
    Article
    Robust portfolios that do not tilt factor exposure

    Kim, Woo Changresearcher; Kim, Min Jeong; Kim, Jang Ho; et al, EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, v.234, no.2, pp.411 - 421, 2014-04

    19
    Article
    Dynamic asset allocation for varied financial markets under regime switching framework

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

    20
    Article
    Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments

    Kim, Woo Changresearcher; Fabozzi, Frank J.; Cheridito, Patrick; et al, ECONOMICS LETTERS, v.122, no.2, pp.154 - 158, 2014-02

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