• The Korean Journal of Financial Management
• /
• v.8 no.1
• /
• pp.179-197
• /
• 1991

선도환의 가격을 결정하는 접근방법에는 2차자산(derivative assets)이라는 선도계약의 기본특성에 기초한 재정거래(arbitrage)에 의한 방법이 가장 많이 이용되고 있다. 재정거래방식에는 선도환과 현물외환가격간의 상호관련성에 의하여 선도환가격을 이자율평가설(covered interest rate parity : CIRP), 즉 현물가격과 양국간의 이자율차이의 합으로 표시하고 있다. 특히 현물가격과 이자율은 모두 현재시점에서 의사결정자에게 알려져 있기때문에 선도환가격은 확실성하에서 결정되어 미래에 대한 예측이나 투자자의 위험회피도와는 관계없이 결정된다는 것이 특징이다. 이자율평가설에 관한 많은 실증연구는 거래 비용을 고려한 경우 현실적으로 적절하다고 보고 있다(Frenkel and Levich ; 1975, 1977). 다른 방법으로는 선도환의 미래예측기능에만 촛점을 맞추어 가격결정을 하는 투기, 예측접근방법(speculative efficiency approach : 이하에서는 SEA라 함)이 있다. 이 방법 중에서 가장 단순한 형태로 표시된 가설, 즉 '선도환가격은 미래기대현물가격과 같다'는 가설은 대부분의 실증분석에서 기각되고 있다. 이에 따라 SEA에서는 선도환가격이 미래에 대한 기대치뿐만 아니라 위험프리미엄까지 함께 포함하고 있다는 새로운 가설을 설정하고 이에 대한 실증분석을 진행한다. 이 가설은 이론적 모형에서 출발한 것이 아니기 때문에, 특히 기대치와 위험프레미엄 모두가 측정 불가능하다는 점으로 인하여 실증분석상 많은 어려움을 겪게 된다. 이러한 어려움을 피하기 위하여 많은 연구에서는 이자율평가설을 이용하여 선도환가격에 포함된 위험프레미엄에 대해 추론 내지 그 행태를 설명하려고 한다. 이자율평가설을 이용하여 분석모형을 설정하고 실증분석을 하는 것은 몇가지 근본적인 문제점을 내포하고 있다. 먼저, 앞서 지적한 바와 같이 이자율평가설을 가정한다는 것은 SEA에서 주된 관심이 되는 미래예측이나 위험프레미엄과는 관계없이 선도가격이 결정 된다는 것을 의미한다. 따라서 이자율평가설을 가정하여 설정된 분석모형은 선도환시장의 효율성이나 균형가격결정에 대한 시사점을 제공할 수 없다는 것을 의미한다. 즉, 가정한 시장효율성을 실증분석을 통하여 다시 검증하려는 것과 같다. 이러한 개념적 차원에서의 문제점 이외에도 실증분석에서의 추정상의 문제점 또한 존재한다. 대부분의 연구들이 현물자산의 균형가격결정모형에 이자율평가설을 추가로 결합하기 때문에 이러한 방법으로 설정한 분석모형은 그 기초가 되는 현물가격모형과는 달리 자의적 조작이 가능한 형태로 나타나며 이를 이용한 모수의 추정은 불필요한 편기(bias)를 가지게 된다. 본 연구에서는 이러한 실증분석상의 편기에 관한 문제점이 명확하고 구체적으로 나타나는 Mark(1985)의 실증연구를 재분석하고 실증자료를 통하여 위험회피도의 추정치에 편기가 발생하는 근본원인이 이자율평가설을 부적절하게 사용하는데 있다는 것을 확인 하고자 한다. 실증분석결과는 본문의 <표 1>에 제시되어 있으며 그 내용을 간략하게 요약하면 다음과 같다. (A) 실증분석모형 : 본 연구에서는 다기간 자산가격결정모형중에서 대표적인 Lucas (1978)모형을 직접 사용한다. $$1={\beta}\;E_t[\frac{U'(C_{t+1})\;P_t\;s_{t+1}}{U'(C_t)\;P_{t+1}\;s_t}]$$ (2) $U'(c_t)$와 $P_t$는 t시점에서의 소비에 대한 한계효용과 소비재의 가격을, $s_t$와 $f_t$는 외환의 현물과 선도가격을, $E_t$와 ${\beta}$는 조건부 기대치와 시간할인계수를 나타낸다. Mark는 위의 식 (2)를 이자율평가설과 결합한 다음의 모형 (4)를 사용한다. $$0=E_t[\frac{U'(C_{t+1})\;P_t\;(s_{t+1}-f_t)}{U'(C_t)\;P_{t+1}\;s_t}]$$ (4) (B) 실증분석의 결과 위험회피계수 ${\gamma}$의 추정치 : Mark의 경우에는 ${\gamma}$의 추정치의 값이 0에서 50.38까지 매우 큰 폭의 변화를 보이고 있다. 특히 비내구성제품의 소비량과 선도프레미엄을 사용한 경우 ${\gamma}$의 추정치의 값은 17.51로 비정상적으로 높게 나타난다. 반면에 본 연구에서는 추정치가 1.3으로 주식시장자료를 사용한 다른 연구결과와 비슷한 수준이다. ${\gamma}$추정치의 정확도 : Mark에서는 추정치의 표준오차가 최소 15.65에서 최대 42.43으로 매우 높은 반면 본 연구에서는 0.3에서 0.5수준으로 상대적으로 매우 정확한 추정 결과를 보여주고 있다. 모형의 정확도 : 모형 (4)에 대한 적합도 검증은 시용된 도구변수(instrumental variables)의 종류에 따라 크게 차이가 난다. 시차변수(lagged variables)를 사용하지 않고 현재소비와 선도프레미엄만을 사용할 경우 모형 (4)는 2.8% 또는 2.3% 유의수준에서 기각되는 반면 모형 (2)는 5% 유의수준에서 기각되지 않는다. 위와같은 실증분석의 결과는 앞서 논의한 바와 같이 이자율평가설을 사용하여 균형자산가격 결정모형을 변형시킴으로써 불필요한 편기를 발생시킨다는 것을 명확하게 보여주는 것이다.

• (The) Korean Journal of Educational Psychology
• /
• v.23 no.3
• /
• pp.645-663
• /
• 2009

The purpose of this study is to develop and verify a Korean Diagnostic Scale of Multiple Intelligence(MI), which will be an alternative test to avoid problems with former Shearer's MI test and to adopt H. Gardner's suggestions to develop MI assessment. The test is developed 5 types; kindergartner, elementary lower grader, elementary upper grader, middle schooler, high schooler test. A form of test is diversified with 3 types; multiple-choice items for accomplishment, true or false items for ability, and self-reported items with likert scale for interest and ability. According to H. Gardner's suggestions, we have tried to reanalyze key component of MI, analyze an overlapping or hierarchical relationship between intelligences, develop intelligences-fair items, diversify form of item. We have developed a final standardized test through a primary, secondary preliminary-test analysis, and sampled 5,585 students by age, gender, and regional groups. As a result of this sampling test, we can get a norm score and compare individuals with other's score relatively. To verify this test, we analyzed behavior observation, mean, standard deviation, a percentage of correct answers, reliability of each test type, correlation between intelligence scales, Kruskal-Wallis test of mean rank of career choice by intelligences. As a result of correlation analysis between sub-intelligence scales, we can conclude that this MI test is satisfied with intelligence independent assumption. Besides, as non-parametric statistics test(Kruskal-Wallis) of career choice by intelligences, we can identify that MI is related with domain of career choice. This test is not a linguistic and logical-mathematical biased test but a intelligences-fair test. It makes us compare individual's potential with a norm score. Besides, it could be useful as a means of educational prescription or counsel in comparison with ability, interest, and accomplishment of individual. But this test is limited to do factor or correlation analysis between types of sub-test, because items are minimized for a time-constraint and a heavy burden of test receiver. But if it could be tested with increased items by two sessions, further research could be expected to get over this constraints and do a further validation analysis.

• Journal of Korean Academy of Dental Administration
• /
• v.5 no.1
• /
• pp.31-37
• /
• 2017

Recently interest in infection control is increasing in hospitalsnfection control has become more important in the overall health care practiceental hospital also requires thorough infection control. There are various kinds of vectormedical clothing. Contaminated clothing of a hospital staff can be a vector of nosocomial infecton. actual case of nosocomial infecton caused by contaminated medical clothing, nursing students were measuring contamination levels of uniforms and pathogenic microorganism wdetected in front of the uniform and pocket. There is also a high risk of exposure to contamination in the dental hospital. We conducted a study to enhance awareness about infection and proper clothing management by comparing before and after contamination of clothing caused by aerosols produced during scaling. Subjects were scaling operators' uniforms in the department of dental hygiene, K University located in Daejeon. Before scaling, the uniform was sterilized by autoclavecaling was performed times in the same place (an average of 60 minutes per person, a total of 180 minutes). ive parts of the uniform (sleeves, chest, belly, thigh, edge of pants) contracted Rodak-plate for 15 seconds. After incubating the contacted Rodak-plate at 37℃ incubator, contamination levels by measuring the number of colonies. As a result, all parts increased number of colonies. ontamination order chestedge of pants thigh belly sleeves. Increase rate of colonies was also high in the order chest edge of pants thigh belly sleeves. This study showed seriousness of clothing contaminationcaused by aerol produced during scalingcontamination of clothing can be a path to nosocomial infecton. According to th study, infection control for clothing as well as dental instruments should be implemented and thorough infection control training needed for dental staff. In further researches, practical infection prevention supplementing clothing management method.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
• /
• v.2 no.4
• /
• pp.71-102
• /
• 2007

There were many comprehensive analyses conducted within the existing research activities wherein factors affecting technology progress including investment in R&D vis-${\Box}$-vis their influences act as the determinants of TFP. Note, however, that there were few comprehensive analysis in the industrial research performed regarding the impact of the economy of scale as it affects TFP; most of these research studies dealt with the analysis of the non -parametric Malmquist productivity index or used the stochastic frontier production function models. No comprehensive analysis on the impacts of individual independent variables affecting TFP was performed. Therefore, this study obtained the TFP increase rate of each industry by analyzing the factors of the existing growth accounting equation and comprehensively analyzed the TFP determinants by constructing a comprehensive analysis model considering the investment in R&D and economy of scale (smallness by industry) as the influencers of TFP by industry. First, for the TFP increase rate of the 15 industries as a whole, the annual average increase rate for 1993${\sim}$ 1997 was approximately 3.8% only; during 1999${\sim}$ 2000 following the foreign exchange crisis, however, the annual increase rate rose to approximately 7.8%. By industry, the annual average increase rate of TFP between 1993 and 2000 stood at 11.6%, the highest in the electrical and electronic equipment manufacturing business and IT manufacturing sector. In contrast, a -0.4% increase rate was recorded in the furniture and other product manufacturing sectors. In the case of the service industry, the TFP increase rate was 7.3% in the transportation, warehousing, and communication sectors. This is much higher than the 2.9% posted in the electricity, water, and gas sectors and -3.7% recorded in the wholesale, food, and hotel businesses. The results of the comprehensive analysis conducted on the determinants of TFP showed that the correlations between R&D and TFP in general were positive (+) correlations whose significance has yet to be validated; in the model where the self-employed and unpaid family workers were used as proxy variables indicating the smallness of industry out of the total number of workers, however, significant negative (-) correlations were noted. On the other hand, the estimation factors of variables surrogating the smallness of scale in each industry showed that a consistently high "smallness of scale" in an industry means a decrease in the increase rate of TFP in the same industry.

• The Korean Journal of Nuclear Medicine Technology
• /
• v.16 no.1
• /
• pp.17-26
• /
• 2012

Purpose: This study mainly focuses on the patients treated with chemically stable radiopharmaceutical product $^{99m}Tc$-HMPAO (d,l-hexamethylpropylene amine oxime) which yielded reduced image quality due to a decreased brain extraction rate. $^{99m}Tc$-HMPAO will be examined further to determine whether this product may be accounted as a factor for this cause. Material and Methods: From January 2010 until December 2010, out of 272 patients who were all subjected to $^{99m}Tc$-HMPAO brain blood flow SPECT scans resulting from Cerebral Infarction; 23 patients(ages $55.3{\pm}9$, 21 males, 3 females) with decreased tissue extraction rate were examined in detail. The radiopharmaceutical product $^{99m}Tc$-HMPAO was used on patients with normal brain tissue exchange rate as well as those with reduced rate in order to prove its' chemical stability. The patients' age, sex, blood pressure, existence of diabetes, drug use, current health status, known side effects from CT/MRI, examination of the patients' past SPECT before/after images were accounted to determine the factors and correlations affecting the rate of blood tissue extractions. Result: After multiple linear regression analysis, there were no unusual correlations between the 6 factors excluding sex, and before/after examination images. Male subjects showed reduced brain tissue extraction rate than the females ($p$ > 0.05) 91.3% male, 8.7% female. Wilcoxon Matched-Pairs Signed-Ranks Test was used on the before/after images which yielded a value of 0.06, which did not indicate a significant amount of difference on the 2 tests ($p$ > 0.05). As a result, the before/after images indicated similar brain tissue extraction rates, and there were variations depending on the individual patient. Conclusion: The effects of the chemically stable radiopharmaceutical product $^{99m}Tc$-HMPAO depended on the patient's personal characteristics and status, therefore was considered to be a factor in reducing brain tissue extraction rate. The related articles of $^{99m}Tc$-HMPAO cerebral blood flow SPECT speculates a cerebrovascular disease and factors resulting from portal veins, and it was not possible to pin point the exact cause of decreasing brain tissue extraction rate. However, the $^{99m}Tc$-HMPAO cerebral blood flow SPECT scan proved to be extremely useful in tracking and inspecting brain diseases, as well as offering accurate results from patients suffering from reduced brain tissue extraction rates.

• Journal of Intelligence and Information Systems
• /
• v.26 no.1
• /
• pp.135-149
• /
• 2020

Artificial intelligences are changing world. Financial market is also not an exception. Robo-Advisor is actively being developed, making up the weakness of traditional asset allocation methods and replacing the parts that are difficult for the traditional methods. It makes automated investment decisions with artificial intelligence algorithms and is used with various asset allocation models such as mean-variance model, Black-Litterman model and risk parity model. Risk parity model is a typical risk-based asset allocation model which is focused on the volatility of assets. It avoids investment risk structurally. So it has stability in the management of large size fund and it has been widely used in financial field. XGBoost model is a parallel tree-boosting method. It is an optimized gradient boosting model designed to be highly efficient and flexible. It not only makes billions of examples in limited memory environments but is also very fast to learn compared to traditional boosting methods. It is frequently used in various fields of data analysis and has a lot of advantages. So in this study, we propose a new asset allocation model that combines risk parity model and XGBoost machine learning model. This model uses XGBoost to predict the risk of assets and applies the predictive risk to the process of covariance estimation. There are estimated errors between the estimation period and the actual investment period because the optimized asset allocation model estimates the proportion of investments based on historical data. these estimated errors adversely affect the optimized portfolio performance. This study aims to improve the stability and portfolio performance of the model by predicting the volatility of the next investment period and reducing estimated errors of optimized asset allocation model. As a result, it narrows the gap between theory and practice and proposes a more advanced asset allocation model. In this study, we used the Korean stock market price data for a total of 17 years from 2003 to 2019 for the empirical test of the suggested model. The data sets are specifically composed of energy, finance, IT, industrial, material, telecommunication, utility, consumer, health care and staple sectors. We accumulated the value of prediction using moving-window method by 1,000 in-sample and 20 out-of-sample, so we produced a total of 154 rebalancing back-testing results. We analyzed portfolio performance in terms of cumulative rate of return and got a lot of sample data because of long period results. Comparing with traditional risk parity model, this experiment recorded improvements in both cumulative yield and reduction of estimated errors. The total cumulative return is 45.748%, about 5% higher than that of risk parity model and also the estimated errors are reduced in 9 out of 10 industry sectors. The reduction of estimated errors increases stability of the model and makes it easy to apply in practical investment. The results of the experiment showed improvement of portfolio performance by reducing the estimated errors of the optimized asset allocation model. Many financial models and asset allocation models are limited in practical investment because of the most fundamental question of whether the past characteristics of assets will continue into the future in the changing financial market. However, this study not only takes advantage of traditional asset allocation models, but also supplements the limitations of traditional methods and increases stability by predicting the risks of assets with the latest algorithm. There are various studies on parametric estimation methods to reduce the estimated errors in the portfolio optimization. We also suggested a new method to reduce estimated errors in optimized asset allocation model using machine learning. So this study is meaningful in that it proposes an advanced artificial intelligence asset allocation model for the fast-developing financial markets.