• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.22 no.1
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• pp.103-110
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• 2022

This paper deals with portfolio optimization problem that you could lower the total risk of an investment portfolio by adding risky assets to the mix than the minimum risk of single asset. Popular Markowitz's mean-variance(MV) model construct the portfolio with the point in the efficient frontier using principle of domination where the variance is minimized for a given mean return. While this paper suggest the portfolio with minimum risk asset with non-positive(negative and uncorrelated) correlation assets to it. As a result of experiments, the proposed method shows lower risk(standard deviation) than MV.

• Journal of the Korean Data and Information Science Society
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• v.28 no.6
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• pp.1481-1500
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• 2017

This study examines the stability and excellence of portfolio investment strategies based on the accounting information of the Korean stock market. In the process of constructing the portfolio, various combinations of financial ratios are used to select the stocks with high expected return and to measure their performance. We also tried to improve our investment performance by using genetic algorithm optimization. The results of this study show that portfolio strategies using accounting information are effective for investment decision making and can achieve high investment performance. We also verify that portfolio strategy using genetic algorithms can be effective for investment decision making.

• Information Systems Review
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• v.22 no.2
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• pp.201-217
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• 2020

Information security is an essential element not only to ensure the operation of the company and trust with customers but also to mitigate uncertain damage by preventing information data breach. Therefore, It is important to select appropriate information security countermeasures and determine the appropriate level of investment. This study presents a decision support model for the appropriate investment amount for each countermeasure as well as an optimal portfolio of information countermeasures within a limited budget. We analyze statistics on the types of information security breach by industry and derive an optimal portfolio of information security countermeasures by using genetic algorithms. The results of this study suggest guidelines for investing in information security countermeasures in various industries and help to support objective information security investment decisions.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.28 no.1D
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• pp.107-117
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• 2008

Private financing is playing an increasing role in public infrastructure construction projects worldwide. However, private investors/operators are exposed to the financial risk of low profitability due to the inaccurate estimation of facility demand, operation income, maintenance costs, etc. From the operator's perspective, a sound and thorough financial feasibility study is required to establish the appropriate capital structure of a project. Operators tend to reduce the equity amount to minimize the level of risk exposure, while creditors persist to raise it, in an attempt to secure a sufficient level of financial involvement from the operators. Therefore, it is important for creditors and operators to reach an agreement for a balanced capital structure that synthetically considers both profitability and repayment capacity. This paper presents an optimal capital structure model for successful private infrastructure investment. This model finds the optimized point where the profitability is balanced with the repayment capacity, with the use of the concept of utility function and multi-objective GA (Generic Algorithm)-based optimization. A case study is presented to show the validity of the model and its verification. The research conclusions provide a proper capital structure for privately-financed infrastructure projects through a proposed multi-objective model.

• Proceedings of the Korea Information Processing Society Conference
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• 2023.11a
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• pp.599-600
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• 2023

본 연구는 한국 주식 시장인 KRX 데이터에 중점을 둔 투자 전략의 최적화를 목표로 하였다. 전통적인 기술 분석 방법은 투자자들의 경험에 의존하여 파라미터를 선택하였다. 하지만 이 연구에서는 기존의 경험에 기반한 파라미터 선택 대신 유전 알고리즘을 사용하여 파라미터를 최적화했다. 결과적으로, 이 전략은 상승장과 하락장 모두에서 buy-and-hold 전략보다 더 나은 성과를 보였다. 이는 기술 분석의 파라미터 최적화의 중요성을 강조하며, 더 효과적인 투자 전략 개발의 가능성을 보여준다.

• The Korean Journal of Financial Management
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• v.16 no.2
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• pp.157-178
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• 1999

본 연구는 B/M, E/P, C/P, S/P 등이 높은 주식(가치주)을 매입하는 전락, 즉 역행투자전략 또는 가치전략의 투자성과가 B/M, E/P, C/P, S/P 등이 낮은 주식(성장주)을 매입하는 전략, 즉 성장전략의 투자성과보다 높게 나타나는지를 확인하고 그 원인을 살펴보았다. 실증분석결과에 의하면 가치주에 투자하는 역행투자전략의 투자성과는 지속적으로 크게 나타나며, 통계적으로도 유의한 것으로 나타났다. 한편, 가치주의 위험도는 성장주에 비해 상대적으로 높게 나타나고 있으나, 그 위험차이에 의해 높은 수익률차이를 설명할 수 없는 것으로 보인다. 결론적으로 가치주를 매입하는 전략, 즉 역행투자전략에 의해서 높은 투자성과를 얻을 수 있으며, 이는 위험보다는 투자자들의 비합리적인 부분최적화 행동(suboptimal behavior)에 기인한 것으로 판단된다.

• Journal of the Korea Society for Simulation
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• v.26 no.3
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• pp.105-113
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• 2017

This study considers an optimal investment planning for improving survivability from an air threat in the layered air defense system. To establish an optimization model, we first represent the layered air defense system as a network model, and then, present two optimization models minimizing the failure probability of counteracting an air threat subject to budget limitation, in which one deals with whether to invest and the other enables continuous investment on the subset of nodes. Nonlinear objective functions are linearized using log function, and we suggest dynamic programming algorithm and linear programing for solving the proposed models. After designing a layered air defense system based on a virtual scenario, we solve the two optimization problems and analyze the corresponding optimal solutions. This provides necessity and an approach for an effective investment planning of the layered air defense system.

• The Korean Journal of Financial Management
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• v.15 no.1
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• pp.245-261
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• 1998

본 논문은 다기간 대리모형에서 나타날 수 있는 대리비용 중에서 대리인과 위임자의 의사 결정고려기간(decision-making horizon)의 차이로 인해서 발생할 수 있는 과소투자유인을 연구 대상으로 하고 있다. 대리인인 경영자는 자신의 명성을 고려해서 투자효과가 자신의 임기내에 나타나는 투자안에 높은 관심을 가질 것이다. 그런데 계속기업을 전제로 하면 대리인인 경영자는 위임자인 주주보다 투자의사결정시 고려하는 기간이 짧아서 과소투자의 가능성이 존재한다. 동적최적화 기법을 이용한 이론적 모형의 결과도 대리계약기간이 짧을수록 투자수준이 낮을 것으로 나타났다. 이러한 내용을 한국상장기업들을 대상으로 임원근속기간과 설비투자수준의 관계에 대해서 실증분석한 결과, 이론적 기대와 일치하지만 통계적 유의성은 낮은 편이었다. 이같은 결과는 전문경영체제가 확립되어 있지 않은 한국기업환경의 특성에 기인한다고 생각된다.

• Information Systems Review
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• v.25 no.4
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• pp.27-45
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• 2023

The importance of information security has grown alongside the development of information and communication technology. However, companies struggle to select suitable countermeasures within their limited budgets. Sönmez and Kılıç (2021) proposed a model using AHP and mixed integer programming to determine the optimal investment combination for mitigating information security breaches. However, their model had limitations: 1) a lack of objective measurement for countermeasure efficacy against security threats, 2) unrealistic scenarios where risk reduction surpassed pre-investment levels, and 3) cost duplication when using a single countermeasure for multiple threats. This paper enhances the model by objectively quantifying countermeasure efficacy using the beta probability distribution. It also resolves unrealistic scenarios and the issue of duplicating investments for a single countermeasure. An empirical analysis was conducted on domestic SMEs to determine investment budgets and risk levels. The improved model outperformed Sönmez and Kılıç's (2021) optimization model. By employing the proposed effectiveness measurement approach, difficulty to evaluate countermeasures can be quantified. Utilizing the improved optimization model allows for deriving an optimal investment portfolio for each countermeasure within a fixed budget, considering information security costs, quantities, and effectiveness. This aids in securing the information security budget and effectively addressing information security threats.

• Environmental and Resource Economics Review
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• v.5 no.2
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• pp.253-278
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• 1996

본 연구는 전력사업에서 공급설비가 다양할 때 계절 시간대별 요금에서 최적투자 및 가격정책을 도출하기 위한 동태적 분석방법을 제공하는 데 있다. 이를 위하여 수요의 교차 가격탄력성을 고려한 동태적 모형을 설정하여 최대원리법(Maximum Principle)을 적용하였으며, 최적해 도출시 해석적 방법을 이용하여 모형의 수리적 해석에 대한 방법론을 제시하였다. 특히 순 사회편익을 목적함수로하고 이를 최대화하는 제어변수를 설비투자로하여 각 시간경로 (Time Path)에 따른 최적 가격이 단기 및 장기 한계비용과 어떻게 연관되는지를 보여주었다. 또한 제어변수인 설비투자가 계속적인 수요증가가 발생하는 시간경로에 따라 최적값이 어떻게 변하는지도 보여 주었다.