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

• Journal of Korean Society of Forest Science
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• v.71 no.1
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• pp.14-21
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• 1985

This study was carried out in order to prevent the devaluation of wood itself and wood products causing by anisotropy, hygroscopicity, shrinkage and swelling - properties that wood itself only have, in order to improve utility of wood, by emphasizing the natural beautiful figures of wood, to develop the dimensional stabilization techniques of wood with PEG that it is a cheap, non-toxic and the impregnation treatment is not difficult, on the effects of PEG molecular weights (200, 400, 600, 1000, 1500, 2000, 4000, 6000) and species (Pinus densiflora S. et Z., Larix leptolepis Gordon., Cryptomeria japonica D. Don., Cornus controversa Hemsl., Quercus variabilis Blume., Prunus sargentii Rehder.). The results were as follows; 1) PEG loading showed the maximum value (137.22%, Pinus densiflora, in PEG 400), the others showed that relatively slow decrease. The lower specific gravity, the more polymer loading. 2) Bulking coefficient didn't particularly show the correlation with specific gravity, for the most part, indicated the maximum values in PEG 600, except that the bulking coefficient of Quercus variabilis distributed between the range of 12-18% in PEG 400-2000. In general, the bulking coefficient of hardwood was higher than that of softwood. 3) Although there was more or less an exception according to species, volumetric swelling reduction was the greatest in PEG 400. That is, its value of Cryptomeria japonica was the greatest value with 95.0%, the others indicated more than 80% except for Prunus sargentii, while volumetric swelling reduction was decreased less than 70% as the molecular weight increase more than 1000. 4) The relative effectiveness of hardwood with high specific gravity was outstandingly higher than softwood. In general, the relative effectiveness of low molecular weight PEG was superior to those of high molecular weight PEG except that Quercus variabilis showed more than 1.6 to the total molecular weight range, while it was no significant difference as the molecular weight increase more than 4000. 5) According to the analysis of the results mentioned above, the dimensional stabilization of hardwood was more effective than softwood. Although volumetric swelling reduction was the greatest at a molecular weight of 400. In the view of polymer loading, bulking coefficiency reduction of swelling and relative effectiveness, it is desirable to use the mixture of PEG of molecular weight in the range of 200-1500. To practical use, it is recommended to study about the effects on the mixed ratio on the bulking coefficient, reduction of swelling and relative effectiveness.