• 한국경영과학회지
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• 제38권2호
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• pp.75-93
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• 2013

In applying Markowitz's portfolio selection model to the stock market, we developed a comprehensive investment decision-making framework including key inputs for portfolio theory (i.e., individual stocks' expected rate of return and covariance) and minimum required expected return. For estimating the key inputs of our decision-making framework, we utilized an exponentially weighted moving average (EWMA) which places more emphasis on recent data than the conventional simple moving average (SMA). We empirically analyzed the investment results of the decision-making framework with the same 15 stocks in Samsung Group Funds found in the Korean stock market between 2007 and 2011. This five-year investment horizon is marked by global financial crises including the U.S. subprime mortgage crisis, the collapse of Lehman Brothers, and the European sovereign-debt crisis. We measure portfolio performance in terms of rate of return, standard deviation of returns, and Sharpe ratio. Results are compared with the following benchmarks : 1) KOSPI, 2) Samsung Group Funds, 3) Talmudic portfolio based on the na$\ddot{i}$ve 1/N rule, and 4) Markowitz's model with SMA. We performed sensitivity analyses on all the input parameters that are necessary for designing an investment decision-making framework : smoothing constant for EWMA, minimum required expected return for the portfolio, and portfolio rebalancing period. In conclusion, appropriate use of the comprehensive investment decision-making framework based on the Markowitz's model integrated with EWMA proves to achieve outstanding performance compared to the benchmarks.

• 산업경영시스템학회지
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• 제32권4호
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• pp.124-127
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• 2009

When multiple rates of return occur, none of them is an accurate portrayal of project acceptability or profitability. For the simple investment situation, it was known that the IRR can serve as an appropriate index for either accepting or rejecting the investment. But, in this situation, we present that the IRR criterion is not same to DCF criterion. On the contrary we can easily show that the RRR criterion is completely consistent with the DCF criterion. Thus, the RRR is very well match for an accurate portrayal of project acceptability or profitability.

• 대한산업공학회지
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• 제42권5호
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• pp.327-336
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• 2016

Prediction of customer failure rates plays an important role for establishing appropriate management policies and improving the profitability for industries. For these reasons, many LCD (Liquid crystal display) manufacturing industries have attempted to construct prediction models for customer failure rates. However, most traditional models are based on the parametric approaches requiring the assumption that the data follow a certain probability distribution. To address the limitation posed by the distributional assumption underpinning traditional models, we propose using parameter-free data mining models for predicting customer failure rates. In addition, we use various information associated with product attributes and field return for more comprehensive analysis. The effectiveness and applicability of the proposed method were demonstrated with a real dataset from one of the leading LCD companies in South Korea.

• 재무관리연구
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• 제24권3호
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• pp.153-186
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• 2007

It is well known that the distributional properties of financial asset returns exhibit fatter-tails and skewer-mean than the assumption of normal distribution. The correct assumption of return distribution might improve the estimated performance of the Value-at-Risk(VaR) models in financial markets. In this paper, we estimate and compare the VaR performance using the RiskMetrics, GARCH and FIGARCH models based on the normal and skewed-Student-t distributions in two daily returns of the Korean Composite Stock Index(KOSPI) and Korean Won-US Dollar(KRW-USD) exchange rate. We also perform the expected shortfall to assess the size of expected loss in terms of the estimation of the empirical failure rate. From the results of empirical VaR analysis, it is found that the presence of long memory in the volatility of sample returns is not an important in estimating an accurate VaR performance. However, it is more important to consider a model with skewed-Student-t distribution innovation in determining better VaR. In short, the appropriate assumption of return distribution provides more accurate VaR models for the portfolio managers and investors.

• 한국정보시스템학회지:정보시스템연구
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• 제26권3호
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• pp.63-90
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• 2017

Purpose This study proposes a novel system trading model using case-based reasoning (CBR) based on absolute similarity threshold. The proposed model is designed to optimize the absolute similarity threshold, feature selection, and instance selection of CBR by using genetic algorithm (GA). With these mechanisms, it enables us to yield higher returns from stock market trading. Design/Methodology/Approach The proposed CBR model uses the absolute similarity threshold varying from 0 to 1, which serves as a criterion for selecting appropriate neighbors in the nearest neighbor (NN) algorithm. Since it determines the nearest neighbors on an absolute basis, it fails to select the appropriate neighbors from time to time. In system trading, it is interpreted as the signal of 'hold'. That is, the system trading model proposed in this study makes trading decisions such as 'buy' or 'sell' only if the model produces a clear signal for stock market prediction. Also, in order to improve the prediction accuracy and the rate of return, the proposed model adopts optimal feature selection and instance selection, which are known to be very effective in enhancing the performance of CBR. To validate the usefulness of the proposed model, we applied it to the index trading of KOSPI200 from 2009 to 2016. Findings Experimental results showed that the proposed model with optimal feature or instance selection could yield higher returns compared to the benchmark as well as the various comparison models (including logistic regression, multiple discriminant analysis, artificial neural network, support vector machine, and traditional CBR). In particular, the proposed model with optimal instance selection showed the best rate of return among all the models. This implies that the application of CBR with the absolute similarity threshold as well as the optimal instance selection may be effective in system trading from the perspective of returns.

• 한국항해항만학회지
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• 제44권2호
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• pp.119-127
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• 2020

In this study, the current state of management efficiency of ocean carriers in Korea and the factors affecting them were analyzed. The purpose of this research is to enhance global competitiveness of ocean carriers by presenting suggestions that can improve management efficiency based on the analysis results. The measurement of management efficiency was made using the DEA model. The results of testing the adequacy of the input and output variables used are as follows. Appropriate inputs are total assets, cost of goods sold, charter expenses, sales and general management expenses, and interest expenses. Appropriate variables are sales, operating income, and operating cash flow. According to the analysis results of the DEA model by these variables, inefficient carriers (78%) are nearly four times more than efficient carriers(22%). However, container carriers have the most improved management efficiency compared to 2016 and 2017. According to the panel regression analysis, the charter rate has the greatest negative impact on efficiency (CRS), and the debt rate has a significant negative impact. Thus, it appears that reducing the charter size and the debt-to-sale rate facilitate improvement of the management efficiency of ocean carriers. Additionally, the pre-sales tax return rate, value added rate, total asset turnover rate, and the scale variable and interest coverage rate have a positive (+) effect. Thus ocean carriers should restore their global competitiveness by improving management efficiency by securing stable cargoes increasing sales profitability from the cost management perspective, increasing productivity, and enhancing the efficiency of their total assets through efficient fleet management.

• 설비공학논문집
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• 제22권7호
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• pp.460-467
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• 2010

In housing units constructed recently in Korea, the length of ondol coil is different in each room, so the flow rate of hot water is adjusted by setting valve opening. If the flow rate is not appropriate for heating load, the room temperature seriously deviates from the set temperature range for comfort. In particular, too small valve opening can induce a noise by cavitation. In order to adjust the valve opening, two methods by zone area and a new method by return temperature rise were modelled and simulated using TRNSYS and EES. As a result, heating energy consumption during one week was the same on three methods, but the room temperature of the new method minimally deviated from the range of set temperature with a low possibility of noise.

• The Korean Journal of Physiology
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• 제30권2호
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• pp.237-247
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• 1996

This study was carried out to determine the effect of $-6^{\circ}$ head-down bedrest on the cardiovascular and hormonal responses to orthostasis and to evaluate the mechanism of orthostatic intolerance. Ten healthy young men were changed the body position from $-6^{\circ}$ head-down or supine bedrest for 2 hr to $70^{\circ}$ head-up tilt for 20 min. During the bedrest, there were no differences in hemodynamic and hormonal changes between the head-down and the supine positions. However, the tendency of decreased end-diastolic volume and increased cardiac contractility during the later period of 2 hr showed that the cardiovascular adaptation could be accelerated within a relatively short period in the head-down bedrest. During the head-up tilt, presyncopal signs were developed in five subjects of the supine bedrest, and one of the same subjects of the head-down bedrest. In the tolerant subjects, the increase in cardiac contractility and plasma epinephrine level during the bend-up tilt was greater following the head-down bedrest than that following the supine bedrest to compensate for reduced venous return. The intolerant subjects showed the greater decrease in end-diastolic and stroke volume, and the greater increase in heart rate during the head-up tilt than the tolerant subjects. Cardiac contractility and plasma epinephrine level were remarkably increased. However, arterial pressure was not maintained at the level for the appropriate compensation of the reduced venous return. It seems that the tolerance to orthostasis is more effective after the short-term head-down bedrest than after the supine bedrest, and the secretion of epinephrine induces the higher cardiac performance as a compensatory mechanism fur the reduced venous return during the orthostasis following the head-down bedrest than the supine bedrest.

• 수산경영론집
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• 제25권2호
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• pp.115-145
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• 1994

The objetives of this study are to find the economic feasibility of the polyculture and to give the economic information of the polyculture for aquaculture fishermen. The polyculture is defined as the rearing of several species together to make more efficient use of the growing space and the total ground environment. The economic feasibility analysis in the polyculture involves the profitability, the productivity, and the risk reduction effect. The results of the economic feasibility analysis in the polyculture are as follows; First, in the profitability analysis, the solid utilization of ground in the polyculture is more profitable than the monoculture. The profitability owing to the plane utilization of the ground in the polyculture is positioned between those of the monoculture of each speices. Second, in the productivity analysis, oyster and sea squirt are diminishing returns to scale. Third, the variation on the average rate of return in the polyculture products is smaller than that of the monoculture. Finally, the result of comparison between the polyculture and the monoculture shows that the polyculture in coastal area is more profitable and more efficient than the monoculture. Most of cultivating species are selective in their diet Thus, stocking different kinds of cultivating species will efficiently utilize space and food It seems that polyculture is more appropriate for those species that live in different ecological niches. We think that the production per unit of ground can be increased, and the fixed cost per unit of output be reduced, so the polyculture is more profitable than the monoculture. Based on the above results, we concludes that the polyculture is economically feasible when profitability and productivity are increased and simultaneously the variation of average rate of return in the polyculture is smaller than that of the monoculture.

• 플랜트 저널
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• 제11권1호
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• pp.30-38
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• 2015

본 연구는 최근 도입된 단기사채를 통해 한국수출입은행의 대외채무보증과 연계하여 자산유동화 구조에 접목한 자산담보부 단기사채의 금리를 추정하고 해외 투자개발형 민자발전사업의 수주 확대를 위한 프로젝트파이낸스의 한 방안으로 이용할 수 있는지에 대한 것이다. 회사채 신용등급 AA-부터 BBB+까지 건설사 자산담보부 단기사채와 비교한 결과, 자산 유동화 구조와 접목한 한국수출입은행의 대외채무보증부 자산담보부 단기사채는 금리 경쟁력이 있고, 프로젝트의 자기자본수익률이 개선됨을 확인할 수 있었다. 특히, 본 금융구조는 회사채 등급이 낮은 시공사에 적용할수록 더 높은 자기자본수익률 확보가 가능함을 알 수 있었다. 이를 통해, 경쟁력 있는 자산담보부 단기사채 금융조건은 수요 창출 및 수익성 확보는 물론 우리기업의 해외 투자개발형 민자발전사업 수주확대에 기여할 것으로 기대된다.