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http://felab.kaist.ac.kr

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Scopus Author ID: 55479371400

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Employment (1)

Korea Advanced Institute of Science and Technology: Daejeon, KR

2009-09-01 to present | Professor (Industrial and Systems Engineering)
Employment
Source: Self-asserted source
Woo Chang Kim

Education and qualifications (3)

Princeton University: Princeton, NJ, US

2005-09 to 2009-08 | Ph.D. (Operations Research and Financial Engineering)
Education
Source: Self-asserted source
Woo Chang Kim

Seoul National University: Seoul, KR

1999-03 to 2001-02 | M.S. (Industrial and Systems Engineering)
Education
Source: Self-asserted source
Woo Chang Kim

Seoul National University: Seoul, KR

1995-03 to 1999-02 | B.S. (Industrial and Systems Engineering)
Education
Source: Self-asserted source
Woo Chang Kim

Works (50 of 53)

Items per page:
Page 1 of 2

A Transparent Single Financial Asset Trading Framework via Reinforcement Learning

2024 | Book chapter
DOI: 10.1007/978-981-97-3409-2_7
Contributors: Insu Choi; Woo Chang Kim
Source: check_circle
Crossref

Neural Marked Hawkes Process for Limit Order Book Modeling

2024 | Book chapter
DOI: 10.1007/978-981-97-2259-4_15
Contributors: Guhyuk Chung; Yongjae Lee; Woo Chang Kim
Source: check_circle
Crossref

Goal-based investing with goal postponement: multistage stochastic mixed-integer programming approach

Annals of Operations Research
2024-08-30 | Journal article
DOI: 10.1007/s10479-024-06146-7
Contributors: Sanghyeon Bae; Yongjae Lee; Woo Chang Kim; Jang Ho Kim; Frank J. Fabozzi
Source: check_circle
Crossref

Optimal intertemporal liquidation of institutional investors with cash requirements and viable loans

The European Journal of Finance
2024-04-12 | Journal article
DOI: 10.1080/1351847X.2023.2229866
Contributors: Dongyeol Lee; Woo Chang Kim
Source: check_circle
Crossref

An Explainable Prediction for Dietary-Related Diseases via Language Models

Nutrients
2024-02-28 | Journal article
DOI: 10.3390/nu16050686
Contributors: Insu Choi; Jihye Kim; Woo Chang Kim
Source: check_circle
Crossref
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Enhancing Exchange-Traded Fund Price Predictions: Insights from Information-Theoretic Networks and Node Embeddings

Entropy
2024-01-12 | Journal article
DOI: 10.3390/e26010070
Contributors: Insu Choi; Woo Chang Kim
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Elucidating Directed Statistical Dependencies: Investigating Global Financial Market Indices' Influence on Korean Short Selling Activities

Pacific Basin Finance Journal
2023 | Journal article
DOI: 10.1016/j.pacfin.2023.102018
EID:

2-s2.0-85152444194

Part of ISSN: 0927538X
Contributors: Choi, I.; Lee, M.; Kim, H.; Kim, W.C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Tracking customer risk aversion

Finance Research Letters
2023 | Journal article
DOI: 10.1016/j.frl.2023.103698
EID:

2-s2.0-85148346412

Part of ISSN: 15446123
Contributors: Kong, H.; Yun, W.; Kim, W.C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier
grade
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Value function gradient learning for large-scale multistage stochastic programming problems

European Journal of Operational Research
2023 | Journal article
DOI: 10.1016/j.ejor.2022.10.011
EID:

2-s2.0-85143534873

Part of ISSN: 03772217
Contributors: Lee, J.; Bae, S.; Kim, W.C.; Lee, Y.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier
grade
Preferred source (of 2)‎

Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products

Quantitative Finance
2023-11-02 | Journal article
DOI: 10.1080/14697688.2023.2252852
Contributors: Sanghyeon Bae; Yongjae Lee; Woo Chang Kim
Source: check_circle
Crossref

Analyzing and Utilizing Thematic Stocks based on Text Mining Techniques and Information Flow-Based Networks: An Example of the Republic of Korea’s Mask-Themed Stocks

Industrial Engineering and Management Systems
2022 | Journal article
DOI: 10.7232/iems.2022.21.2.244
EID:

2-s2.0-85134729794

Part of ISSN: 22346473 15987248
Contributors: Choi, I.; Kim, W.C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Constructing a personalized recommender system for life insurance products with machine-learning techniques

Intelligent Systems in Accounting, Finance and Management
2022 | Journal article
DOI: 10.1002/isaf.1523
EID:

2-s2.0-85142870787

Part of ISSN: 21600074 15501949
Contributors: Kong, H.; Yun, W.; Joo, W.; Kim, J.-H.; Kim, K.-K.; Moon, I.-C.; Kim, W.C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier
grade
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Dietary Pattern Extraction Using Natural Language Processing Techniques

Frontiers in Nutrition
2022 | Journal article
DOI: 10.3389/fnut.2022.765794
EID:

2-s2.0-85127306725

Part of ISSN: 2296861X
Contributors: Choi, I.; Kim, J.; Kim, W.C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Goal-based investing based on multi-stage robust portfolio optimization

Annals of Operations Research
2022 | Journal article
DOI: 10.1007/s10479-021-04473-7
EID:

2-s2.0-85125544208

Part of ISSN: 15729338 02545330
Contributors: Kim, J.H.; Lee, Y.; Kim, W.C.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Improving data efficiency for analyzing global exchange rate fluctuations based on nonlinear causal network-based clustering

Annals of Operations Research
2022 | Journal article
DOI: 10.1007/s10479-022-05101-8
EID:

2-s2.0-85143913903

Part of ISSN: 15729338 02545330
Contributors: Choi, I.; Yun, W.; Kim, W.C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier
grade
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Market Making under Order Stacking Framework: A Deep Reinforcement Learning Approach

Proceedings of the 3rd ACM International Conference on AI in Finance, ICAIF 2022
2022 | Conference paper
DOI: 10.1145/3533271.3561789
EID:

2-s2.0-85142529974
Contributors: Chung, G.; Chung, M.; Lee, Y.; Kim, W.C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

The effects of errors in means, variances, and correlations on the mean-variance framework

Quantitative Finance
2022 | Journal article
DOI: 10.1080/14697688.2022.2083009
EID:

2-s2.0-85134163865

Part of ISSN: 14697696 14697688
Contributors: Chung, M.; Lee, Y.; Kim, J.H.; Kim, W.C.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier
grade
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Cost of shareholder engagement by institutional investors under short-swing profit rule

Finance Research Letters
2021 | Journal article
DOI: 10.1016/j.frl.2020.101700
EID:

2-s2.0-85089676953

Part of ISSN: 15446123
Contributors: Lee, D.; Kim, W.C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Mean-variance optimization for asset allocation

Journal of Portfolio Management
2021 | Journal article
DOI: 10.3905/JPM.2021.1.219
EID:

2-s2.0-85104713287

Part of ISSN: 00954918
Contributors: Kim, J.H.; Lee, Y.; Kim, W.C.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Recent trends and perspectives on the korean asset management industry

Journal of Portfolio Management
2021 | Journal article
DOI: 10.3905/JPM.2021.1.248
EID:

2-s2.0-85110260390

Part of ISSN: 00954918
Contributors: Kim, J.H.; Lee, Y.; Bae, J.; Kim, W.C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Sparse factor model based on trend filtering

Annals of Operations Research
2021 | Journal article
DOI: 10.1007/s10479-021-04029-9
EID:

2-s2.0-85102865295

Part of ISSN: 15729338 02545330
Contributors: Kim, J.H.; Kim, W.C.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Detecting and Analyzing Politically-Themed Stocks Using Text Mining Techniques and Transfer Entropy—Focus on the Republic of Korea’s Case

Entropy
2021-06 | Journal article | Author
DOI: 10.3390/e23060734
Contributors: Insu Choi; Woo Chang Kim
Source: check_circle
Multidisciplinary Digital Publishing Institute
grade
Preferred source (of 3)‎

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

Sustainability
2021-01 | Journal article | Author
DOI: 10.3390/su13010401
Contributors: Woong Bee Choi; Dongyeol Lee; Woo Chang Kim
Source: check_circle
Multidisciplinary Digital Publishing Institute
grade
Preferred source (of 3)‎

Personalized goal-based investing via multi-stage stochastic goal programming

Quantitative Finance
2020 | Journal article
DOI: 10.1080/14697688.2019.1662079
EID:

2-s2.0-85075017913

Part of ISSN: 14697696 14697688
Contributors: Kim, W.C.; Kwon, D.-G.; Lee, Y.; Kim, J.H.; Lin, C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Sparse and robust portfolio selection via semi-definite relaxation

Journal of the Operational Research Society
2020 | Journal article
DOI: 10.1080/01605682.2019.1581408
EID:

2-s2.0-85069039754

Part of ISSN: 14769360 01605682
Contributors: Lee, Y.; Kim, M.J.; Kim, J.H.; Jang, J.R.; Chang Kim, W.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Stochastic volatility and early warning indicator

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
2020 | Book
DOI: 10.1007/978-3-030-50371-0_30
EID:

2-s2.0-85087529350

Part of ISSN: 16113349 03029743
Contributors: Ji, G.; Kong, H.; Kim, W.C.; Ahn, K.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier
grade
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Achieving Portfolio Diversification for Individuals with Low Financial Sustainability

Sustainability
2020-08 | Journal article | Author
DOI: 10.3390/su12177073
Contributors: Yongjae Lee; Woo Chang Kim; Jang Ho Kim
Source: check_circle
Multidisciplinary Digital Publishing Institute
grade
Preferred source (of 3)‎

A practical solution to improve the nutritional balance of Korean dine-out menus using linear programming

Public Health Nutrition
2019 | Journal article
DOI: 10.1017/S1368980018004032
EID:

2-s2.0-85061622612

Part of ISSN: 14752727 13689800
Contributors: Kim, J.H.; Kim, W.C.; Kim, J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Information flow between bitcoin and other investment assets

Entropy
2019 | Journal article
DOI: 10.3390/e21111116
EID:

2-s2.0-85075482986

Part of ISSN: 10994300
Contributors: Jang, S.M.; Yi, E.; Kim, W.C.; Ahn, K.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey

Applied Economics
2018 | Journal article
DOI: 10.1080/00036846.2018.1444263
EID:

2-s2.0-85042913435

Part of ISSN: 14664283 00036846
Contributors: Lee, Y.; Kwon, D.-G.; Kim, W.C.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Optimal longevity risk management in the retirement stage of the life cycle

Journal of Retirement
2018 | Journal article
DOI: 10.3905/jor.2018.5.3.073
EID:

2-s2.0-85090654352

Part of ISSN: 23266902 23266899
Contributors: Simsek, K.D.; Kim, M.J.; Kim, W.C.; Mulvey, J.M.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier
grade
Preferred source (of 3)‎

Recent advancements in robust optimization for investment management

Annals of Operations Research
2018 | Journal article
DOI: 10.1007/s10479-017-2573-5
EID:

2-s2.0-85027835297

Part of ISSN: 15729338 02545330
Contributors: Kim, J.H.; Kim, W.C.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Robust equity portfolio performance

Annals of Operations Research
2018 | Journal article
DOI: 10.1007/s10479-017-2739-1
EID:

2-s2.0-85038832648

Part of ISSN: 15729338 02545330
Contributors: Kim, J.H.; Kim, W.C.; Kwon, D.-G.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Modeling the dynamics of institutional, foreign, and individual investors through price consensus

International Review of Financial Analysis
2017 | Journal article
DOI: 10.1016/j.irfa.2016.10.011
EID:

2-s2.0-85006516154

Part of ISSN: 10575219
Contributors: Kwon, D.-G.; Kim, J.H.; Lee, Y.; Kim, W.C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Optimizing a portfolio of liquid and illiquid assets

International Series in Operations Research and Management Science
2017 | Book chapter
DOI: 10.1007/978-3-319-41613-7_7
EID:

2-s2.0-84992157091

Part of ISSN: 08848289
Contributors: Mulvey, J.M.; Kim, W.C.; Lin, C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Penalizing variances for higher dependency on factors

Quantitative Finance
2017 | Journal article
DOI: 10.1080/14697688.2016.1220677
EID:

2-s2.0-84988632633

Part of ISSN: 14697696 14697688
Contributors: Kim, J.H.; Kim, W.C.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Robust factor-based investing

Journal of Portfolio Management
2017 | Journal article
DOI: 10.3905/jpm.2017.43.5.157
EID:

2-s2.0-85029450750

Part of ISSN: 00954918
Contributors: Kim, J.H.; Kim, W.C.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

A uniformly distributed random portfolio

Quantitative Finance
2016 | Journal article
DOI: 10.1080/14697688.2015.1114360
EID:

2-s2.0-84956953180

Part of ISSN: 14697696 14697688
Contributors: Kim, W.C.; Lee, Y.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Portfolio selection with conservative short-selling

Finance Research Letters
2016 | Journal article
DOI: 10.1016/j.frl.2016.05.015
EID:

2-s2.0-84994888480

Part of ISSN: 15446123
Contributors: Kim, J.H.; Kim, W.C.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Sparse tangent portfolio selection via semi-definite relaxation

Operations Research Letters
2016 | Journal article
DOI: 10.1016/j.orl.2016.05.012
EID:

2-s2.0-84975726030

Part of ISSN: 01676377
Contributors: Kim, M.J.; Lee, Y.; Kim, J.H.; Kim, W.C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Focusing on the worst state for robust investing

International Review of Financial Analysis
2015 | Journal article
DOI: 10.1016/j.irfa.2015.02.001
EID:

2-s2.0-84923168003

Part of ISSN: 10575219
Contributors: Kim, W.C.; Kim, J.H.; Mulvey, J.M.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments

Economics Letters
2014 | Journal article
DOI: 10.1016/j.econlet.2013.11.024
EID:

2-s2.0-84889645264

Part of ISSN: 01651765
Contributors: Kim, W.C.; Fabozzi, F.J.; Cheridito, P.; Fox, C.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Cost of asset allocation in equity market: How much do investors lose due to bad asset class design?

Journal of Portfolio Management
2014 | Journal article
DOI: 10.3905/jpm.2014.41.1.034
EID:

2-s2.0-84975847400

Part of ISSN: 00954918
Contributors: Kim, W.C.; Lee, Y.; Lee, Y.H.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Deciphering robust portfolios

Journal of Banking and Finance
2014 | Journal article
DOI: 10.1016/j.jbankfin.2014.04.021
EID:

2-s2.0-84901657231

Part of ISSN: 03784266
Contributors: Kim, W.C.; Kim, J.H.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Dynamic asset allocation for varied financial markets under regime switching framework

European Journal of Operational Research
2014 | Journal article
DOI: 10.1016/j.ejor.2013.03.032
EID:

2-s2.0-84890859315

Part of ISSN: 03772217
Contributors: Bae, G.I.; Kim, W.C.; Mulvey, J.M.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Recent Developments in Robust Portfolios with a Worst-Case Approach

Journal of Optimization Theory and Applications
2014 | Journal article
DOI: 10.1007/s10957-013-0329-1
EID:

2-s2.0-84898540474

Part of ISSN: 15732878 00223239
Contributors: Kim, J.H.; Kim, W.C.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Robust portfolios that do not tilt factor exposure

European Journal of Operational Research
2014 | Journal article
DOI: 10.1016/j.ejor.2013.03.029
EID:

2-s2.0-84890858130

Part of ISSN: 03772217
Contributors: Kim, W.C.; Kim, M.J.; Kim, J.H.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Composition of robust equity portfolios

Finance Research Letters
2013 | Journal article
DOI: 10.1016/j.frl.2013.02.001
EID:

2-s2.0-84881242280

Part of ISSN: 15446123
Contributors: Kim, J.H.; Kim, W.C.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

What do robust equity portfolio models really do?

Annals of Operations Research
2013 | Journal article
DOI: 10.1007/s10479-012-1247-6
EID:

2-s2.0-84876172369

Part of ISSN: 15729338 02545330
Contributors: Kim, W.C.; Kim, J.H.; Ahn, S.H.; Fabozzi, F.J.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier

Duration-enhancing overlay strategies for defined benefit pension plans

Asset and Liability Management Handbook
2011 | Book chapter
Part of DOI: 10.1057/9780230307230
EID:

2-s2.0-85015566913
Contributors: Mulvey, J.M.; Kim, W.C.; Ma, Y.
Source: Self-asserted source
Woo Chang Kim via Scopus - Elsevier
grade
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Items per page:
Page 1 of 2

Peer review (3 reviews for 2 publications/grants)

Review activity for Annals of operation research. (1)
Review activity for OR-Spektrum. (2)
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