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Home PeopleFacultyFaculty

Faculty

프린트페이스북

Woo Chang Kim

Ph.D. in Operations Research & Financial Engineering,
Princeton University, 2009

Education

  • 1999 Seoul National University. Industrial Engineering B.S
  • 2001 Seoul National University. Industrial Engineering M.S
  • 2007 Princeton University. Operations Research & Financial Engineering M.A
  • 2009 Princeton University. Operations Research & Financial Engineering Ph.D

Research experience

  • 2001 ~ 2004 : Instructor Officer (Retired as Lieutenant Jr. Grade), Republic of Korea Navy
  • 2010 ~ Current : Executive Advisor (Cofounder), DPT Capital Management, LLC, Princeton, NJ
  • 2009 ~ 2014 : Assistant Professor, Dept of Industrial & Systems Engineering, KAIST
  • 2014 ~ Current : Associate Professor, Dept of Industrial & Systems Engineering, KAIST

Research area


Financial Optimization
1
Optimization plays a central role in financial decision making. We study various financial optimization problems such as robust optimization, stochastic programming, dynamic programming from the perspective of optimal decision making under uncertainty.
Sample paper: “Deciphering Robust Portfolios”

Portfolio Theory 
2
We also conduct various researches on portfolio theory. Our main interest is on discovering new knowledge for investment management practice by analyzing quantitative properties of optimal portfolios.
Sample paper: “Is 1/n Really Better than Optimal Mean-Variance Portfolio?”

Investment Management 
3
Another key research area is investment management. We aim to develop quantitative technologies that can improve investment performance. The main efforts have been spent on modeling uncertainties as well as obtaining optimal investment decisions based on such uncertainty models.
Sample paper: “Dynamic Asset Allocation for Varied Financial Markets under Regime Switching Framework”

Financial Markets 
4
We tackle issues of financial markets from the perspective of money management, and try to propose alternative approaches in designing financial market structure.
Sample paper: “Cost of Asset Allocation in Equity Market – How Much Do Investors Lose Due to Bad Asset Class Design?”
 

Selected publications

  • Kim, Woo Chang, Jang Ho Kim, and Frank J. Fabozzi (2014) "Deciphering Robust Portfolios," Journal of Banking and Finance, 45, 1-8
  • Kim, Woo Chang, Yongjae Lee, and Yoon Hak Lee (2014) "Cost of Asset Allocation in Equity Market - How Much Do Investors Lose Due to Bad Asset Class Design?," Journal of Portfolio Management, 41(1), 34-44
  • Bae, Geum Il, Woo Chang Kim, and John M. Mulvey (2014) "Dynamic Asset Allocation for Varied Financial Markets under Regime Switching Framework," European Journal of Operational Research, 234(2), 450-458
  • Kim, Woo Chang, Min Jeong Kim, Jang Ho Kim, and Frank J. Fabozzi (2014) "Robust Portfolios That Do Not Tilt Factor Exposure," European Journal of Operational Research, 234(2), 411-421
  • Kim, Woo Chang, Jang Ho Kim, So Hyoung Ahn, and Frank J. Fabozzi (2013) "What Do Robust Equity Portfolio Models Really Do?," Annals of Operations Research, 205, 141-168

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