- KAIST 공학박사
- 공학관 476-1호
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 Board, Journal of Portfolio Management, 2017-present. Advisor, Veranos, 2017-present. 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)
J. H. Kim, W. C. Kim, and F. J. Fabozzi, 2017, “Penalizing Variances for Higher Dependency on Factors,” Quantitative Finance, 17(4), 479-489. J. H. Kim, W. C. Kim, and F. J. Fabozzi, 2016, “Portfolio Selection with Conservative Short-selling,” Finance Research Letters, 18, 363-369. W. C. Kim, J. H. Kim, and F. J. Fabozzi, 2016, Robust Equity Portfolio Management + Website: Formulations, Implementations, and Properties using MATLAB, Wiley. M. J. Kim, Y. Lee, J. H. Kim, and W. C. Kim, 2016, “Sparse Tangent Portfolio Selection via Semi-definite Relaxation,” Operations Research Letters, 44(4), 540-543. W. C. Kim, J. H. Kim, J. M. Mulvey, and F. J. Fabozzi, 2015, “Focusing on the Worst State for Robust Investing,” International Review of Financial Analysis, 39, 19-31. J. H. Kim, W. C. Kim, and F. J. Fabozzi, 2014, “Recent Developments in Robust Portfolios with a Worst-Case Approach,” Journal of Optimization Theory and Applications, 161(1), 103-121. W. C. Kim, J. H. Kim, and F. J. Fabozzi, 2014, “Deciphering Robust Portfolios,” Journal of Banking and Finance, 45, 1-8. W. C. Kim, M. J. Kim, J. H. Kim, and F. J. Fabozzi, 2014, “Robust Portfolios that Do Not Tilt Factor Exposure,” European Journal of Operational Research, 234(2), 411-421. J. H. Kim, W. C. Kim, and F. J. Fabozzi, 2013, “Composition of Robust Equity Portfolios,” Finance Research Letters, 10(2), 72-81. W. C. Kim, J. H. Kim, S. H. Ahn, and F. J. Fabozzi, 2013, “What Do Robust Equity Portfolio Models Really Do?” Annals of Operations Research, 205(1), 141-168.
"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. "On the Viability of Robo-advising for Individual Investors," MSIE Spring Conference, Jeju, Korea, April 2016. "Sparse and Robust Portfolio Selection via Semi-definite Relaxaion," MSIE Spring Conference, Jeju, Korea, April 2016. "Robust Equity Portfolio Performance," Korean Institute of Industrial Engineers Conference, Yonsei University, Seoul, Korea, November 2015. "Anatomy of Robo-advisor: 적용 기술의 타당성을 중심으로," Korean Institute of Industrial Engineers Conference, Yonsei University, Seoul, Korea, November 2015. Reviewer for Journal of Portfolio Management, Finance Research Letters, International Journal of Multicriteria Decision Making, Journal of the Korean Institute of Industrial Engineers
Financial engineering, portfolio optimization, investment and risk management, automated investments, robust optimization