• The Journal of the Korea Contents Association
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• v.22 no.10
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• pp.691-702
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• 2022

This study verifies the diversification effect when non-financial asset such as fractional music royalties investment which is recently get interest from masses, is included in traditional global asset allocation portfolio. From Jan 2019 when Music Royalties index is announced to Jun 2022, compared traditional global asset allocation portfolio and the portfolio included with music royalties. To eliminate the enhancement effect from portfolio strategy itself rather than including non-financial asset, used the four basic portfolio strategy such as buy & hold, constant rebalanced, mean variance, risk parity. As a result, all the portfolios included with music royalties shows less risk with higher returns. This means the sharpe ratio has enhanced and that results the portfolio diversification effect is placed. The empirical analysis of the study found academic significance in that the portfolio included with music royalties investment has diversification effect, and show the possibilities the not only on the music royalties, other non-financial asset can be shown the portfolio diversification effect.

• Journal of Korean Society for Quality Management
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• v.51 no.4
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• pp.573-588
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• 2023

Purpose: This study presents a research approach that utilizes deep reinforcement learning to construct optimal portfolios based on the business cycle for stocks and other assets. The objective is to develop effective investment strategies that adapt to the varying returns of assets in accordance with the business cycle. Methods: In this study, a diverse set of time series data, including stocks, is collected and utilized to train a deep reinforcement learning model. The proposed approach optimizes asset allocation based on the business cycle, particularly by gathering data for different states such as prosperity, recession, depression, and recovery and constructing portfolios optimized for each phase. Results: Experimental results confirm the effectiveness of the proposed deep reinforcement learning-based approach in constructing optimal portfolios tailored to the business cycle. The utility of optimizing portfolio investment strategies for each phase of the business cycle is demonstrated. Conclusion: This paper contributes to the construction of optimal portfolios based on the business cycle using a deep reinforcement learning approach, providing investors with effective investment strategies that simultaneously seek stability and profitability. As a result, investors can adopt stable and profitable investment strategies that adapt to business cycle volatility.

• Journal of Korean Society for Quality Management
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• v.51 no.2
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• pp.171-184
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• 2023

Purpose: First, this paper suggests an alternative approach to find optimal portfolio (stocks, bonds and ESG stocks) under the maximizing utility of investors. Second, we include ESG stocks in our optimal portfolio, and compare improvement of welfares in the case with and without ESG stocks in portfolio. Methods: Our main method of analysis follows Brennan et al(2002), designed under the continuous time framework. We assume that the dynamics of stock price follow the Geometric Brownian Motion (GBM) while the short rate have the Vasicek model. For the utility function of investors, we use the Power Utility Function, which commonly used in financial studies. The optimal portfolio and welfares are derived in the partial equilibrium. The parameters are estimated by using Kalman filter and ordinary least square method. Results: During the overall analysis period, the portfolio including ESG, did not show clear welfare improvement. In 2017, it has slightly exceeded this benchmark 1, showing the possibility of improvement, but the ESG stocks we selected have not strongly shown statistically significant welfare improvement results. This paper showed that the factors affecting optimal asset allocation and welfare improvement were different each other. We also found that the proportion of optimal asset allocation was affected by factors such as asset return, volatility, and inverse correlation between stocks and bonds, similar to traditional financial theory. Conclusion: The portfolio with ESG investment did not show significant results in welfare improvement is due to that 1) the KRX ESG Leaders 150 selected in our study is an index based on ESG integrated scores, which are designed to affect stability rather than profitability. And 2) Korea has a short history of ESG investment. During the limited analysis period, the performance of stock-related assets was inferior to bond assets at the time of the interest rate drop.

• THE INTERNATIONAL COMMERCE & LAW REVIEW
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• v.66
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• pp.149-170
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• 2015

State's compensation obligation accompanied in case of indirect expropriation of foreign investor's investment asset has been established definite principle under international investment law. But the concrete and unified application criterion regarding valuation methods for measuring compensation have not been established yet. The World Bank investment guideline is adopting the Hull's Formula, which is understood as the full compensation standard with prompt adequate effective compensation and Fair Market Value method. It is a general principle that compensation should be equal to the fair market value of investment asset just before indirect expropriation date. However, there is a problem of the valuation method of fair market value of investment asset. In general, discounted cash flow, liquidation value, replacement value, book value, etc. can be the applicable standards. Arbitral tribunals determine compensation by adopting proper valuation method on a case-by-case basis according to the discretion based on the arbitration parties' experts' review on the presented opinion and by considering fact relevance of the issued dispute. This compensation includes also interest, recently it tends to award according to compound interest rather than simple interest. Beginning of the period to generate interest is the next day of the indirect expropriation occurrence date. And it should be considered that interest until the payment of compensation is also included. In addition, it should be considered that mental damages is available only when there's a basis to prove this or special case. Therefore, this study suggests to review of precedents related to indirect expropriation and concretely specify compensation valuation standard and method of indirect expropriation on investment agreements through enough consultation beforehand.

• Korean Journal of Mathematics
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• v.22 no.3
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• pp.529-552
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• 2014

As we know, some indices and data are strong influence to the price movement of some assets now, but not to another assets and in future. Thus we define some asset models for several time intervals; intraday, weekly, monthly, and yearly asset models. We define these asset models by using Brownian motion with volatility and Poisson process, and several deterministic functions(index function, twitter data function and big-jump simple function etc). In our asset models, these deterministic functions are the positive or negative levels of auxiliary indices, of analyzed data, and for imminent and extreme state(for example, financial shock or the highest popularity in the market). These functions determined by indices, twitter data and shocking news are a kind of one of speciality of our asset models. For reasonableness of our asset models, we introduce several real data, figurers and tables, and simulations. Perhaps from our asset models, for short-term or long-term investment, we can classify and reference many kinds of usual auxiliary indices, information and data.

• Journal of Families and Better Life
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• v.14 no.3
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• pp.109-120
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• 1996

While theories of portfolio selection have been developed very little is known about how individuals actually go about constructing their asset potfolios. This study investigates empirically the characteristics of household's assets and which factor associated with risky and safe asset amount. Data used in this study consisted of 2,164 households and the statistics employed to analyze the data are univariate procedure Logit analysis and OLS. The results of this study were as follows: Among 2,164 households 505 housholds(23.3%) had risky assets. Average risky asset amount is 8,351,500 won and average safe asset amount is 7,086,900 won. Region education and occupation of household head home ownership transfer and other income and total expenditure had significant effects on either and other income and total expenditure had significant effects on either household having risky asset or safe asset. Financial income transfer and other income and total expenditure had significantly p sitive relation with the risky asset amount. Whereas age and the occupation of household head the sense of economic wellbeing earned financial tranfer and other income and total expenditure had significantly positive relation with safe asset amount.

• Korean Management Science Review
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• v.30 no.1
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• pp.167-181
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• 2013

We investigate the dynamic asset allocation problem under inflation risk when the wealth of an investor is constrained with minimum requirements. To capture the investor's risk preference, the CRRA utility function is considered and he maximizes his expected utility at predetermined date of the refund by participation in the financial market. The financial market is supposed to consist of three kinds of financial instruments which are a risk free asset, a risky asset, and an index bond. The role of an index bond is managing inflation risk represented by price process. The optimal wealth and the optimal asset allocation are derived explicitly by using the method to get the European call option pricing formula. From the numerical results, it is confirmed that the investments on index bond is high when the investor's wealth level is low. However, as his wealth increases, the investments on index bond decreases and he invests on risky asset more. Furthermore, the minimum wealth constraint induces lower investment on risky asset but the effect of the constraints is reduced as the wealth level increases.

• International conference on construction engineering and project management
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• 2009.05a
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• pp.380-387
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• 2009

In the past, many state Departments of Transportation (DOTs) in the U.S. managed their highway assets on a "worst first" basis and planned their highway projects in a tactical rather than strategic fashion. Due to increasingly tight highway budgets and recognition of long term benefits of asset management systems, the Federal Highway Administration (FHWA) has strongly pushed and encouraged state DOTs to implement asset management for managing their highway assets and highway projects. Currently, many DOTs have actively implemented and are in the process of applying this asset management concept for their highway infrastructure. However, different DOTs are developing different asset management systems because of their different organizational structures, data management structures, relationship with the legislature, and investment priorities. This study first identifies asset management indicators which are essential to successfully implementing asset management systems for State highway assets. The research team conducted a survey of asset management experts and reviewed the practices and policies of leading DOTs in asset management. Based on these indicators, this study develops an Asset Management Assessment Model (AM²) for different asset management systems. This model can be used by different DOTs to evaluate their current asset management systems and identify their strong areas and also their weak areas to improve in order to fully benefit from the advanced concept of asset management.

• International Journal of Human Ecology
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• v.11 no.2
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• pp.51-61
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• 2010

Using data from the 2007 SCF, this study examined the use of information source for investment decisions of elderly consumers. The results indicated that many elderly consumers (about 88%) involved savings /investment decisions. The elderly used 'Experts' (39.48%) as a major information source for their investment decisions, followed by 'Friends' (24.18%). The results of the multinomial logit analysis suggested that the perceived value, the cost for search, knowledge, risk and some of the demographic factors were significantly related to the choice of the information sources for investments by elderly consumers.

• Korean small business review
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• v.40 no.3
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• pp.1-24
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• 2018

The purpose of this study is verifying with corporate financial data that the required investment amount flow shows a similar pattern as times passed, in new product development by start-up company. In the previous paper, the same authors proposed the required investment amount flow as a 'New Product Investment Curve (NPIC)'. In this study, we have studied further in various types of companies. The samples used are accounting data of 462 companies selected from 5,873 Korean companies which were finished external audit in 2015. The results of this study are as follows; The average investment period was 3 years for the listed companies, while 6 years for the unlisted companies. The investment payback period was 6 years for listed companies, while 17 years for unlisted companies. The investment payback period of the company supported by big affiliate company (We call 'greenhouse company') was 14~15 years, while 17 years for real venture companies. When we divide all companies into 4 groups in terms of R&D cost and variable cost ratio, NPIC explanatory power of 'high R&D and high variable cost ratio group (Automobile Assembly Business) is best. Among the eight investment cost indexes proposed to estimate the investment amount, the 'cash 1' (operating cash flow+fixed asset excluding land & building+intangible asset, deferred asset change)/year-end total assets) turned out to be the most effective index to estimate the investment flow patterns. The conclusion is that NPIC explanatory power is somewhat reduced when we estimate all companies together. However, if we estimate the sample companies by characteristics such as listed, unlisted, greenhouse, and venture company, the proposed NPIC was verified to be effective by showing the required investment amount pattern.