Financial Engineering Group

Investment Science

Investment Science

Risk Management

Risk Management

Computational Finance

Computational Finance

Publications

Refereed Journal Papers

  • Kim, Woo Chang, and Yongjae Lee (2015) "A Uniformly Distributed Random Portfolio," Quantitative Finance, to appear [SSRN]

  • Kim, Min Jeong, Woong Bee Choi, and Woo Chang Kim (2014) "Return of Social Investment of the National Pension Fund From the Perspective of Trust Fund," Social Welfare Policy, 42(1), 211-238

  • Kim, Woo Chang, Jang Ho Kim, John M. Mulvey, and Frank J. Fabozzi (2015) "Focusing on the Worst State for Robust Investing," International Review of Financial Analysis, 39, 19-31 [abstract] [full paper]

  • Kim, Woo Chang, Jang Ho Kim, and Frank J. Fabozzi (2014) "Deciphering Robust Portfolios," Journal of Banking and Finance, 45, 1-8 [abstract] [full paper]

  • 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 [abstract] [full paper]

  • 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 [abstract] [full paper]

  • 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 [abstract] [full paper]

  • Kim, Jang Ho, Woo Chang Kim, and Frank J. Fabozzi (2014) "Recent Developments in Robust Portfolios with a Worst-Case Approach", Journal of Optimization Theory and Applications, 161(1), 103-121 [abstract] [full paper]

  • Kim, Jang Ho, Woo Chang Kim, and Frank J. Fabozzi (2013) "Composition of Robust Equity Portfolios", Finance Research Letters, 10, 72-81 [abstract] [full paper]

  • Kim, Woo Chang, and Je-Hyuk Lee (2013) "Characteristics of Robust Portfolios in a Varied Asset Universe", Quantitative Finance Letters, 1, 18-28 [abstract] [full paper]

  • Lee, Yongjae and Woo Chang Kim (2013) "A Stochastic Model for Order Book Dynamics: An Application to Korean Stock Index Futures", Management Science and Financial Engineering, 19, 37-41 [abstract] [full paper]

  • 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 [abstract] [full paper]

  • Kwon, Do-gyun, Hee Hwan Park, Dong Hun Kang, and Min Jeong Kim (2012) "Optimal Introductive Sequence of Hedge Fund Baskets in the Korean Market", Journal of the Korean Institute of Industrial Engineers, 38, 254-257 [full paper]