Woo Chang Kim

Korea Advanced Institute of Science and Technology (KAIST)

Associate Professor

373-1 Kusong-dong

Yuson-gu

Taejon 305-701, 130-722

Korea, Republic of (South Korea)

SCHOLARLY PAPERS

9

DOWNLOADS

445

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

Is 1/n Really Better than Optimal Mean-Variance Portfolio?

Number of pages: 23 Posted: 25 Nov 2014
Woo Chang Kim, Yongjae Lee and William T. Ziemba
Korea Advanced Institute of Science and Technology (KAIST), UNIST and University of British Columbia (UBC) - Sauder School of Business
Downloads 351 (93,165)

Abstract:

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Equally-Weighted Portfolio, Optimal Mean-Variance Portfolio, Portfolio Performance Evaluation

2.

Levered Exchange-Traded Products: Theory and Practice

Journal of Financial Perspectives, Vol. 1, No. 2, 2013
Number of pages: 19 Posted: 29 Nov 2017
John M. Mulvey, Thomas Nadbielny and Woo Chang Kim
Princeton University - Bendheim Center for Finance, Benchmark Advisory Partners and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 37 (474,481)

Abstract:

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3.

The Effect of Social Investment on the Sustainability of Korea National Pension Fund

Number of pages: 27 Posted: 27 May 2018
WoongBee Choi, Jinkyu Lee and Woo Chang Kim
Korea Advanced Institute of Science and Technology (KAIST), Department of Industrial and Systems Engineering, Students, Korea Advanced Institute of Science and Technology (KAIST), Department of Industrial and Systems Engineering, Students and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 29 (513,296)

Abstract:

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National Pension Plan, Asset-Liability Management, Social Investment, Sustainability, Population Growth

4.

Extending the Scope of ALM to Social Investment – Investing in Population Growth to Enhance Sustainability of the Korean National Pension Service

Number of pages: 27 Posted: 27 May 2018
WoongBee Choi and Woo Chang Kim
Korea Advanced Institute of Science and Technology (KAIST), Department of Industrial and Systems Engineering, Students and Korea Advanced Institute of Science and Technology (KAIST)
Downloads 28 (518,730)

Abstract:

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National Pension Service, Asset-Liability Management, Social Investment, Sustainability, Population Growth, Multi-stage Stochastic Programming

5.

On the Viability of Robo-Advising for Individual Investors

Posted: 24 Oct 2015
Yongjae Lee, Jang Ho Kim and Woo Chang Kim
UNIST, Kyung-Hee University and Korea Advanced Institute of Science and Technology (KAIST)

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Robo-Advising; Portfolio Size; Portfolio Diversification

6.

Identifying Sparse L2-Norm Regularized Portfolios via Semi-Definite Relaxation

Posted: 01 Sep 2015
Min Jeong Kim, Yongjae Lee and Woo Chang Kim
Korea Advanced Institute of Science and Technology (KAIST), UNIST and Korea Advanced Institute of Science and Technology (KAIST)

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Portfolio selection, L2-norm regularization, Cardinality constraint, Semi-definite relaxation

7.

Sparse Tangent Portfolio Selection via Semi-Definite Relaxation

Posted: 01 Sep 2015
Min Jeong Kim, Yongjae Lee, Jang Ho Kim and Woo Chang Kim
Korea Advanced Institute of Science and Technology (KAIST), UNIST, Kyung-Hee University and Korea Advanced Institute of Science and Technology (KAIST)

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Sparse portfolio; Sharpe ratio maximization; Semi-definite relaxation

8.

The Importance of Asset Allocation: A Mathematical Proof

Posted: 25 Nov 2014 Last Revised: 04 Nov 2015
Yongjae Lee and Woo Chang Kim
UNIST and Korea Advanced Institute of Science and Technology (KAIST)

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Asset Allocation, Security Selection, Portfolio Performance Evaluation

9.

A Uniformly Distributed Random Portfolio

Posted: 12 Sep 2014 Last Revised: 04 Nov 2015
Woo Chang Kim and Yongjae Lee
Korea Advanced Institute of Science and Technology (KAIST) and UNIST

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Portfolio performance evaluation, Random portfolio, Active investment