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

7

DOWNLOADS

445

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (7)

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 400 (92,217)

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 45 (496,311)

Abstract:

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3.

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

4.

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

5.

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)

Abstract:

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Sparse portfolio; Sharpe ratio maximization; Semi-definite relaxation

6.

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

7.

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