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Home PeopleFacultyEmeritus Faculty

Emeritus Faculty

프린트페이스북

Woo Chang Kim (The department head)

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


AI for Finance 
4
Attempts to integrate machine-learning techniques to the problems in financial domain has been widely done in both the industry and the academia. Among the machine-learning technologies, we focus on deep reinforcement learning which is efficient in solving sequential decision making problems under complex states.
For the shortest time-frame of trading, we are trying to develop an optimal high-frequency trading policy by training the dynamics of the limit order books. For longer time-frame of investing, we are in progress to solve portfolio optimization under various constraints with deep reinforcement learning.
Sample paper: “Extended Framework for Deep Reinforcement Learning Applied to High-Frequency Trading”[working paper]

FinTech 
4
Due to the limited human resources in the financial sector, asset management services have been offered only to the riches in the form of private banking service. Through technology, the domain of FinTech aims to provide these expensive financial services to the public at low cost.
With this motivation in mind, we have developed a personalized life-cycle goal-based investment service. With the research as a starting point, we are currently trying to increase the scalability of our solution, which is, to solve the problem with lower computational cost in a faster manner.
Sample paper: “Personalized Goal-Based Investment via Multi-Stage Stochastic Goal Programming”

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 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”
 

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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