• Proceedings of the Korean Operations and Management Science Society Conference
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• 2006.11a
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• pp.409-412
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• 2006

펀드의 성과 평가는 펀드선택 의사결정시 가장 중요한 고려요인이다. 전통적인 펀드 성과평과 지표인 샤프비율이나 트레이너 비율은 운용비용과 거래비용 등과 같은 다양한 요소들을 반영하지 못하고 있다. 펀드의 여러 수익과 비용요인들을 반영하기 위해, 본 연구에서는 DEA를 이용하여 펀드의 상대적인 효율성을 측정하였다. 분석자료는 2005년 12월 31일까지 국내에 존재하는 3년 이상 운용된 67개의 장기펀드를 대상으로 분석하였다. 입력변수는 비용과 관련된 총 보수율, 월수익률의 표준편차, 펀드 규모를 나타내기 위한 평균설정좌수를 이용하였고 출력변수는 이익과 관련된 예상 월평균수익률과 시장포트폴리오의 월수익률을 상회한 기간의 비율을 사용하였다. 본 연구결과, DEA를 통해 수익률만으로는 평가할 수 없는 펀드의 운용능력을 평가할 수 있었다.

• Proceedings of the Korean Institute Of Construction Engineering and Management
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• 2007.11a
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• pp.54-59
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• 2007

Recently, Apartment Reconstruction Projects are performing only with the basis of profitability without establishing either certain criteria or standard guideline. In addition, the profitability information contained in a disposal plan tends to be considered as a fixed value, and it is frequently changeable because reconstruction projects have such a long time to complete and many participants with respective interests. As mentioned above, the new approach needs to be developed which covers the limitation of the unvaried one. Consequently, this study focuses on the probability approach considering not only variances that affect the profit, but the relationship between profit and risk, and then is modeling. This study is anticipated to improve the reliability and accuracy of expected value as well as apply to the decision making criteria quantitively about potentially hidden risks in that projects.

• The Korean Journal of Applied Statistics
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• v.21 no.5
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• pp.717-726
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• 2008

The purpose of this paper is to assess the financial strength of general insurers by using A.M. Best's rating technique focusing on quantitative standards. A quantitative evaluation of fifteen larger general insurers' financial strength and operating performance relative to the Best's top group is carried out. The quantitative evaluation is done in 5 key areas; growth, efficiency, profitability, safety and liquidity. The results show that there is a big gap between domestic large insurers and American insures in all areas except stable growth of operations. Therefore, domestic insurers have to strive to strengthen financial soundness through profitability and should increase the capacity to retain more commercial business and reinsurance in order to become global players.

• The Korean Journal of Financial Studies
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• v.5 no.1
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• pp.19-47
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• 1999

본 연구는 기업가치 추정모형인 EVA모형과 FCFF모형의 적합성을 한국주식시장을 대상으로 검증하는데 목적을 두고 있다. 1992년$\sim$1996년의 5년간 상장기업을 대상으로 분석한 결과는 다음과 같다. 실제주가와 이론주가간에 음(-)의 괴리율을 갖는 집단의 누적평균초과수익률은 EVA 모형 기준인 경우 40일$\sim$60일간에 유의적으로 상승하고 있으며, FCFF모형의 경우 1일$\sim$20일간에 유의적으로 상승하고 있다. 그리고 실제주가와 이론주가간에 양(+)의 괴리율을 갖는 집단의 누적평균초과수익률은 EVA모형 기준인 경우 21일$\sim$40일간에 유의적으로 하락하고 있으며, FCFF모형 기준인 경우 1일$\sim$20일간에 유의적으로 하락하고 있다. 또한 EVA모형과 FCFF모형 모두에서 음(-)의 괴리율집단과 양(+)의 괴리율집단간의 누적평균초과수익률은 기준일 이후 유의적 차이를 보이고 있다. EVA모형과 FCFF모형으로 평가한 결과는 반영시점이 다소 차이가 난다는 점을 제외하고는 상대적으로 과소평가된 주식은 기준일 이후 가격이 상승하고 상대적으로 과대 평가된 주식은 기준일 이후 하락한다는 사실을 보여주고 있다. 이런 사실은 제한적이지만 절대가치평가모형이 한국주식시장에서 어느 정도 적합성을 가질 수 있는 가능성을 보여주고 있다.

• Proceedings of the Korean Institute Of Construction Engineering and Management
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• autumn
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• pp.373-378
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• 2003

Korea's overseas construction industry has been rather depressed by the weakened profitability as well as the sharp decrease of the market shares due to the lack of international competitiveness and the declined international market following the outbreak of Iraq war. There exist a lot of various risks in performing the overseas construction, and especially EPC projects, which entail complicated process from different parts, also require a sophisticated procurement and management skill. Subsequently, to survive in the competitive international market, we need to establish strategies to select potentially profitable projects at the initial stage of bidding process and to mitigate the high degree of risk exposures through contract negotiation and its adjustment. This research provides the profitability evaluation bases, with which overseas construction participants can forecast and analyze the risk more systematically, by eliciting profit-influencing factors from real overseas construction projects and structuring their cause-and-effect relationships. The profitability causal hierarchy structure describes the profitability factors' hierarchy in details and their interrelationships. It also enables us to find out critical factors directly related to profitability aggravation through a qualitative analysis. Ultimately, with this hierarchy structure as the base, the research will suggest how to develop the quantitative profitability forecasting model.

• The Journal of Society for e-Business Studies
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• v.19 no.1
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• pp.43-61
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• 2014

This research is an application of game theory to developing the supplier selection and demand allocation mechanism, which are the essential and major research areas of supply chain planning and operation. In this research, the most popular and widely accepted mechanism, the progressive reverse auction is analyzed and compared with the other game theoretic approach, Kalai-Smorodinsky Bargaining Solution in the viewpoint of holistic efficiency of supply chain operation. To logically and exquisitely compare the efficiencies, a heuristic algorithm based on Genetic Algorithm is devised to find the other optimal demand allocation plan. A well known metric, profit-cost ratio, as well as profit functions for both suppliers and buyer has been designed for evaluating the overall profitability of supply chain. The experimental results with synthesis data and supply chain model which were made to mimic practical supply chain are illustrated and analyzed to show how the proposed approach can enhance the profitability of supply chain planning. Based on the result, it can be said that the proposed mechanism using bargainging solution mayguarantee the better profitability for the whole supply chin including both suppliers and buyer, even though quite small portion of buyer's profitability should be sacrified.

• Korea Real Estate Review
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• v.24 no.1
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• pp.53-62
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• 2014

A test on the significance of style factors which were revealed to be significant in U.S. and U.K. literature is conducted in this study using appraisal-based returns of offices in Korea. Region, size (appraisal value), value-growth propensity (yield gain gap) and leasing conditions (the number of tenants, the length of average leased period and the proportion of key tenant) are included in the analysis model as style factors. The empirical result suggests that firstly core region and large size are significant but they increase risk as well as return contrary to general belief, secondly value propensity significantly decreases risk as well as return as it does in U.S. and U.K., finally the number of tenants among leasing conditions decreases risk as well as return but the length of average leased period and the proportion of key tenant are not significant.

• Journal of Digital Convergence
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• v.13 no.11
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• pp.267-276
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• 2015

This study divided hospital management performance as surplus and deficit, Liquidity, Growth, Turnover Ratios, Productivity, Operating Expense, Patient Care Performance and evaluate the relationship between profitability. In addition to providing a useful basis for seeking profitability and effective management measures based on the findings of the hospital has its purpose. The study period was 2013 to identify the hospital's financial performance as evaluation criteria, were selected for a total of 147 hospitals surveyed. In conclusion, the more profitable medical and hospital financial performance, results showed a higher rate. In addition to the factors affecting the profitability of the Salaries, Administrative Expenses, Material Costs was a major factor. To to enhance the future profitability of hospital care it is also important to increase revenue, but Salaries, the cost reduction-effective strategy for reducing Administrative Expenses may be required.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2006.05a
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• pp.1777-1783
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• 2006

일반적으로 펀드평가는 절대수익률이나 위험을 조정한 샤프지수 또는 트레이너 지수를 이용하고 있는데, 이러한 방법은 벤치마크 지수를 기준으로 평가하여 펀드규모, 비용 등을 고려한 펀드간의 상대적 성과는 측정하지 못하고 있다. 펀드간의 상대적 성과평가는 펀드의 실질적인 효율성을 측정할 수 있다는 측면에서 펀드평가의 유용한 수단이 될 수 있다. 본 연구에서는 샤프의 스타일 분석을 이용하여 펀드의 유형을 분류하고, DEA를 이용하여 펀드간의 상대적인 성과를 측정한다. 분석자료는 2000년 1월부터 2005년 12월 31일까지의 주식형 펀드의 월간수익률, 수익률 표준편차, 펀드비용, 펀드규모, 운용기간, 샤프지수 등을 이용한다.

• Journal of Teachers' Pension
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• v.5
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• pp.97-133
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• 2020

전략적 자산배분에서 가장 중요한 것은 목표를 결정하는 것이다. 여기서 목표는 자산운용에서 발생하는 향후 포트폴리오의 예상되는 분포와 이에 영향을 받는 조직의 기대효용을 극대화하는 것으로 정의하는 것이 과학적이고 학술적인 방식이다. 실무는 대체로 이러한 방식과 다르다. 예를 들어 기금운용평가의 가이드라인에서는 목표 수익률에 초점을 두고 있다. 특히 기금운용평가에서는 ALM 기반의 목표 수익률 산출을 제안한다. 하지만, 비현실적인 목표 수익률의 산출과 그 의미의 모호성으로 많은 기금들은 이를 적용하지 않고 있다. 본 연구는 이러한 ALM 기반의 목표수익률 설정 및 자산배분의 문제점을 확인하고, ALM 기반 자산배분에 대한 두 가지 대안을 제시한다. 첫 번째, 기금 자산운용의 목표 설정에 대해서는 Doran(1981)의 SMART (Specific, Measurable, Achievable, Relevant, Time-limited) 기준에 따른 목표수립을 제안한다. 두 번째, 목표 수익률 산출에서는 목표기반투자 (Goal based Investing, GBI) 에 따른 목표 수익률 산출 방법을 제시한다.