Woo Chang Kim

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	All	Since 2020
Citations	1235	815
h-index	20	16
i10-index	37	30

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Co-authors

Jang Ho KimGraduate School of Management of Technology, Korea UniversityVerified email at korea.ac.kr
Yongjae LeeAssociate Professor, UNIST IE & AIGSVerified email at unist.ac.kr
John MulveyPrinceton UniversityVerified email at princeton.edu
Koray D. SimsekProfessor of Finance, Rollins CollegeVerified email at rollins.edu
Jinkyu LeePhD, Industrial and Systems Engineering, KAISTVerified email at kaist.ac.kr
Kwangwon AhnVerified email at yonsei.ac.kr
Woosung KohYonsei UniversityVerified email at yonsei.ac.kr
Hyunglip BaeDoctoral student, Industrial and Systems Engineering, KAISTVerified email at kaist.ac.kr
Wonje YunVerified email at uchicago.edu
Joohwan KoUniversity of Massachusetts AmherstVerified email at umass.edu
Patrick CheriditoETH ZurichVerified email at math.ethz.ch
Sanghyeon BaeKorea Advanced Institute of Science and Technology (KAIST)Verified email at kaist.ac.kr
Munki ChungKorea Advanced Institute of Science and Technology (KAIST)Verified email at kaist.ac.kr
Eojin Yi | MD, PhDSeoul AI School / Seoul Business School, aSSIST UniversityVerified email at assist.ac.kr
Francesco A. FabozziData Science Doctoral Candidate, Stevens Institute of TechnologyVerified email at stevens.edu
Guhyuk ChungPh.D. Candidate, Industrial and Systems Engineering, KAISTVerified email at kaist.ac.kr
Jinkyoo ParkDepartment of Industrial and Systems Engineering, KAISTVerified email at kaist.ac.kr
Yoshua BengioProfessor of computer science, University of Montreal, Mila, IVADO, CIFARVerified email at umontreal.ca
Jihye KimKyung Hee UniversityVerified email at khu.ac.kr
Weonyoung JooAssistant Professor, EWHA Womans UniversityVerified email at ewha.ac.kr

Woo Chang Kim

Professor, Industrial and Systems Engineering, KAIST

Verified email at kaist.ac.kr

Financial Engineering Portfolio Selection Machine Learning Alternative Investment


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Dynamic asset allocation for varied financial markets under regime switching framework GI Bae, WC Kim, JM Mulvey European Journal of Operational Research 234 (2), 450-458, 2014	129	2014
Recent developments in robust portfolios with a worst-case approach JH Kim, WC Kim, FJ Fabozzi Journal of Optimization Theory and Applications 161, 103-121, 2014	97	2014
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments WC Kim, FJ Fabozzi, P Cheridito, C Fox Economics Letters 122 (2), 154-158, 2014	55	2014
Deciphering robust portfolios WC Kim, JH Kim, FJ Fabozzi Journal of Banking & Finance 45, 1-8, 2014	44	2014
Robust equity portfolio management: Formulations, implementations, and properties using MATLAB WC Kim, JH Kim, FJ Fabozzi John Wiley & Sons, 2015	43*	2015
What do robust equity portfolio models really do? WC Kim, JH Kim, SH Ahn, FJ Fabozzi Annals of Operations Research 205, 141-168, 2013	43	2013
Recent advancements in robust optimization for investment management JH Kim, WC Kim, FJ Fabozzi Annals of Operations Research 266, 183-198, 2018	41	2018
Information flow between bitcoin and other investment assets SM Jang, E Yi, WC Kim, K Ahn Entropy 21 (11), 1116, 2019	39	2019
Concise formulas for the surface area of the intersection of two hyperspherical caps Y Lee, WC Kim KAIST Technical Report, 2014	38	2014
Mean-variance optimization for asset allocation JH Kim, Y Lee, WC Kim, FJ Fabozzi Journal of Portfolio Management 47 (5), 24-40, 2021	37	2021
Personalized goal-based investing via multi-stage stochastic goal programming WC Kim, DG Kwon, Y Lee, JH Kim, C Lin Quantitative Finance 20 (3), 515-526, 2020	35	2020
Robust equity portfolio performance JH Kim, WC Kim, DG Kwon, FJ Fabozzi Annals of Operations Research 266, 293-312, 2018	35	2018
Active equity managers in the US: Do the best follow momentum strategies? JM Mulvey, WC Kim The Journal of Portfolio Management 34 (2), 126-134, 2008	28	2008
Robust portfolios that do not tilt factor exposure WC Kim, MJ Kim, JH Kim, FJ Fabozzi European Journal of Operational Research 234 (2), 411-421, 2014	27	2014
Composition of robust equity portfolios JH Kim, WC Kim, FJ Fabozzi Finance Research Letters 10 (2), 72-81, 2013	26	2013
Focusing on the worst state for robust investing WC Kim, JH Kim, JM Mulvey, FJ Fabozzi International Review of Financial Analysis 39, 19-31, 2015	23	2015
Robust factor-based investing JH Kim, WC Kim, FJ Fabozzi The Journal of Portfolio Management 43 (5), 157-164, 2017	22	2017
Sparse and robust portfolio selection via semi-definite relaxation Y Lee, MJ Kim, JH Kim, JR Jang, W Chang Kim Journal of the Operational Research Society 71 (5), 687-699, 2020	21	2020
Goal-based investing based on multi-stage robust portfolio optimization JH Kim, Y Lee, WC Kim, FJ Fabozzi Annals of Operations Research 313 (2), 1141-1158, 2022	20	2022
Sparse tangent portfolio selection via semi-definite relaxation MJ Kim, Y Lee, JH Kim, WC Kim Operations Research Letters 44 (4), 540-543, 2016	20	2016

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