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교수진 검색
김장호 교수
  • 최종학위
  • KAIST 공학박사
  • 연구분야
  • 금융공학
  • 연구실위치
  • 공학관 476-1호
  • 연구실전화
  • 031-201-2428
  • 이메일
  • janghokim@khu.ac.kr
학력
Ph.D., KAIST, Department of Industrial and Systems Engineering, Korea, 2014. M.Eng., Cornell University, Department of Computer Science, USA, 2008. B.S, Cornell University, Department of Computer Science, USA, 2007.
주요경력 및 활동
Assistant Professor, Industrial and Management Systems Engineering, Kyung Hee University, 2015-present. Adjunct Professor, Department of Software Convergence, Kyung Hee University, 2017-present. Visiting Assistant Professor, College of Business, James Madison University, 2014-2015 Editorial Advisory Board, Journal of Portfolio Management, 2017-present. Advisor, Veranos, 2017-present. Guest Editor, Special Issue on Optimization Methods in Asset Management, International Journal of Financial Engineering and Risk Management, 2017 Collaborator, KAIST Center for Wealth Management Technologies, 2016-present Director, Financial Engineering Lab, Kyung Hee University, 2016-present Researcher, DPT Capital Management, LLC, 2012. Associate, Bank of America Merrill Lynch, 2008-2010. An automated system for financial guidance, National Research Foundation of Korea, 2016.06-2018.05 (Principal researcher) Controlling long-term portfolio risk with robust optimization, Kyung Hee University, 2015.09-2016.08 (Principal researcher)
논문
Lee, Y., Kim., M. J., Kim, J. H., Jang, J. R., & Kim, W. C. (2019). Spare and robust portfolio selection via semi-definite relaxation. Journal of the Operational Research Society, forthcoming. [SCI] Kim, J. H., Kim, W. C., & Kim, J. (2019). A practical solution to improve the nutritional balance of Korean dine-out menus using linear programming. Public Health Nutrition, forthcoming. [SCIE] Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2018). Recent advancements in robust optimization for investment management. Annals of Operations Research, 266(1-2), 183-198. [SCI] Kim, J. H., Kim, W. C., Kwon, D. G., & Fabozzi, F. J. (2018). Robust equity portfolio performance. Annals of Operations Research, 266(1-2), 293-312. [SCI] Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2017). Robust factor-based investing. Journal of Portfolio Management, 43(5), 157-164. [SSCI] Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2017). Penalizing variances for higher dependency on factors. Quantitative Finance, 17(4), 479-489. [SSCI] Kwon, D. G., Kim, J. H., Lee, Y., & Kim, W. C. (2017). Modeling the dynamics of institutional, foreign, and individual investors through price consensus. International Review of Financial Analysis, 49, 166-175. [SSCI] Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2016). Portfolio selection with conservative short-selling. Finance Research Letters, 18, 363-369. [SSCI] Kim, M. J., Lee, Y., Kim, J. H., & Kim, W. C. (2016). Sparse tangent portfolio selection via semi-definite relaxation. Operations Research Letters, 44(4), 540-543. [SCI] Kim, W. C., Kim, J. H., Mulvey, J. M., & Fabozzi, F. J. (2015). Focusing on the worst state for robust investing. International Review of Financial Analysis, 39, 19-31. [SSCI] Kim, W. C., Kim, J. H., & Fabozzi, F. J. (2014). Deciphering robust portfolios. Journal of Banking and Finance, 45, 1-8. [SSCI] Kim, W. C., Kim, M. J., Kim, J. H., & Fabozzi, F. J. (2014). Robust portfolios that do not tilt factor exposure. European Journal of Operational Research, 234(2), 411-421. [SCIE] Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2014). Recent developments in robust portfolios with a worst-case approach. Journal of Optimization Theory and Applications, 161(1), 103-121. [SCI] Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2013). Composition of robust equity portfolios. Finance Research Letters, 10(2), 72-81. [SSCI] Kim, W. C., Kim, J. H., Ahn, S. H., & Fabozzi, F. J. (2013). What do robust equity portfolio models really do? Annals of Operations Research, 205(1), 141-168. [SCI]
학회활동
International Conference: "Multi-Stage Stochastic Goal Programming Explained: Holistic Approach for Goal-Based Investing," Four-University Rotating FinTech Conference, Seoul, April 2018. "Robust Portfolio Models," Four-University Rotating FinTech Conference, Princeton, US, April 2017. "Higher Factor Dependency of Robust Portfolios for Achieving Robustness," International Conference on Continuous Optimization (ICCOPT), Tokyo, Japan, August 2016. Reviewer for Journal of Portfolio Management, Quantitative Finance, Finance Research Letters, Emerging Markets Finance and Trade, IMA Journal of Management Mathematics, International Journal of Multicriteria Decision Making, Journal of the Korean Institute of Industrial Engineers
연구관심분야
Financial engineering, Portfolio optimization, Investment and risk management, Automated investments, Robust optimization