• The Journal of the Korea Contents Association
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• v.18 no.10
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• pp.490-497
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• 2018

In this study, we examined whether common idiosyncratic volatility(CIV), a risk factor for idiosyncratic volatility, can be evaluated as a pricing factor. The sample is listed on the Korea Exchange. The analysis period is 288 months from July 1992 to June 2016. The main results of this study are as follows. First, in the empirical verification of the market excess returns of the testing portfolios, the difference in the return on the CIV factor sensitivity difference was statistically significant. In other words, we confirmed that there is a risk premium for CIV factors. Second, CAPM, FF3 factor model, and FF5 factor model do not explain the risk premium for CIV factors, whereas factor models that add CIV factors explain the risk premium for CIV factors. In other words, the CIV factor can be evaluated in terms of pricing factors.

• Journal of Navigation and Port Research
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• v.44 no.2
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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.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.305-329
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• 2003

This work analyzes the influence of the dollar and yen currency on the rate of return of the individual firms and its symmetries based on the data from Jan. 5 1987 to Dec. 28, 2001. GARCH and autoregressive error models were used for on the daily data, due to the heteroscedascity and autoregression of the error terms, and as for the monthly data, this paper follows the autoregressive error models. Daily data fumed out to be a better explanatory variable in detecting exchange rate exposure, and EGARCH(1, 1) and GJR-GRARCH(1, 1) have higher competence in analyzing the daily data. Also, most of the exposed firms have been exposed in the negative region, and appreciation of exchange rate does not help enhancing the asset value of the domestic value. Analysis on the asymmetries let us conclude that high proportion of domestic firms face asymmetric exchange rate exposure, and that the pricing-to-market theory carries more conviction than the real option theory. Furthermore, monthly data are more precise in analysis of asymmetries.

• The Journal of Information Systems
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• v.12 no.2
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• pp.57-72
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• 2003

The purpose of this paper is to propose the modeling of multiagent based SCM and implement the prototype in the Internet environment. SCM process follows the supply chain operations reference (SCOR) model which has been suggested by Supply Chain Counsil. SCOR model has been positioned to become the industry standard for describing and improving operational process in SCM. Five basic processes, plan, source, matte, deliver and return are defined in the SCOR model, through which a company establishes its supply chain competitive objectives. A supply chain is a world wide network of suppliers, factories, warehouses, distribution centers and retailers through which raw materials are acquired, transformed or manufactured and delivered to customers by autonomous or semiautonomous process. With the pressure from the higher standard of customer compliance, a frequent model change, product complexity and globalization, the combination of supply chain process with an advanced infrastructure in terms of multiagent systems have been highly required. Since SCM is fundamentally concerned with coherence among multiple decision makers, a multiagent framework based on explicit communication between constituent agents such as suppliers, manufacturers, and distributors is a natural choice. Multiagent framework is defined to perform different activities within a supply chain. Dynamic and changing functions of supply chain can be dealt with multi-agent by cooperating with other agents. In the areas of inventory management, remote diagnostics, communications with field workers, order fulfillment including tracking and monitoring, stock visibility, real-time shop floor data collection, asset tracking and warehousing, customer-centric supply chain can be applied and implemented utilizing multiagent. In this paper, for the order processing event between the buyer and seller relationship, multiagent were defined corresponding to the SCOR process. A prototype system was developed and implemented on the actual TCP/IP environment for the purchase order processing event. The implementation result assures that multiagent based SCM enhances the speed, visibility, proactiveness and responsiveness of activities in the supply chain.

• Strategy21
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• s.36
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• pp.5-32
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• 2015

Geopolitics or Political Geography is an essential academic field that should be studied carefully for a more comprehensive analysis of international security relations. However, because of its tarnished image as an ideology that supported the NAZI German expansion and aggression, geopolitics has not been regarded as a pure academic field and was rejected and expelled from the academic communities starting from the Cold War years in 1945. During the Cold War, ideology, rather than geography, was considered more important in conducting and analyzing international relations. However, after the end of the Cold War and with the beginning of a new era in which territorial and religious confrontations are taking place among nations - including sub national tribal political organizations such as the Al Quaeda and other terrorist organizations - geopolitical analysis again is in vogue among the scholars and analysts on international security affairs. Most of the conflicts in international relations that is occurring now in the post-Cold War years can be explained more effectively with geopolitical concepts. The post - Cold War international relations among East Asian countries are especially better explained with geopolitical concepts. Unlike Europe, where peaceful development took place after the Cold War, China, Japan, Korea, the United States, Taiwan and Vietnam are feeling more insecure in the post-Cold War years. Most of the East Asian nations' economies have burgeoned during the Cold War years under the protection of the international security structure provided by the two superpowers. However, after the Cold War years, the international security structure has not been stable in East Asia and thus most of the East Asian nations began to build up stronger military forces of their own. Because most of the East Asian nations' national security and economy depend on the oceans, these nations desire to obtain more powerful navies and try to occupy islands, islets, or even rocks that may seem like a strategic asset for their economy and security. In this regard, the western Pacific Ocean is becoming a place of confrontation among the East Asian nations. As Robert Kaplan, an eminent international analyst, mentioned, East Asia is a Seascape while Europe is a Landscape. The possibility of international conflict on the waters of East Asia is higher than in any other period in East Asia's international history.

• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.133-152
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• 2007

In this paper, we examine a portfolio selection model in which a safety-first investor maximizes expected return subject to a downside risk constraint. We use the Value-at-Risk as the downside risk measure. We exploit the fact that returns are fat-tailed, and use a semi-parametric method suggested by Jansen, Koedijk and de Vries(2000). We find a more realistic asset allocation than the one suggested by the literature based on the traditional mean-variance framework. For the robustness check, we provide empirical analyses using empirical quantiles. The results highlight that for optimal portfolio selection involving downside risks that are far in the tails of the distribution, our mean-VaR model with a fat-tailed distribution is superior.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.13 no.10
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• pp.5260-5275
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• 2019

In the process of constructing the traditional offensive and defensive game theory model, these are some shortages for considering the dynamic change of security risk problem. By analysing the critical indicators of the incomplete information game theory model, incomplete information attack and defense game theory model and the mathematical engineering method for solving Bayes-Nash equilibrium, the risk-averse income function for information assets is summarized as the problem of maximising the return of the equilibrium point. To obtain the functional relationship between the optimal strategy combination of the offense and defense and the information asset security probability and risk probability. At the same time, the offensive and defensive examples are used to visually analyse and demonstrate the incomplete information game and the Harsanyi conversion method. First, the incomplete information game and the Harsanyi conversion problem is discussed through the attack and defense examples and using the game tree. Then the strategy expression of incomplete information static game and the engineering mathematics method of Bayes-Nash equilibrium are given. After that, it focuses on the offensive and defensive game problem of unsafe information network based on risk aversion. The problem of attack and defense is obtained by the issue of maximizing utility, and then the Bayes-Nash equilibrium of offense and defense game is carried out around the security risk of assets. Finally, the application model in network security penetration and defense is analyzed by designing a simulation example of attack and defense penetration. The analysis results show that the constructed income function model is feasible and practical.

• Journal of the Korean Data and Information Science Society
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• v.26 no.6
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• pp.1479-1494
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• 2015

Since the Markowitz's mean-variance framework for portfolio analysis, the topic of portfolio optimization has been an important topic in finance. Traditional approaches focus on maximizing the expected return of the portfolio while minimizing its variance, assuming that risky asset returns are normally distributed. The normality assumption however has widely been criticized as actual stock price distributions exhibit much heavier tails as well as asymmetry. To this extent, in this paper we employ the genetic algorithm to find the optimal portfolio under the Value-at-Risk (VaR) constraint, where the tail of risky assets are modeled with the generalized Pareto distribution (GPD), the standard distribution for exceedances in extreme value theory. An empirical study using Korean stock prices shows that the performance of the proposed method is efficient and better than alternative methods.

• The Journal of the Korea Contents Association
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• v.17 no.5
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• pp.165-173
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• 2017

The purpose of this study was to analyze the correlation and volatility of Korea and neighboring East Asia stock markets. East Asian stock markets were selected for Japan, China, Hong Kong and Taiwan by economically and geographically close with Korea. If you understand the volatility and the correlation between Korea and the East Asian stock market, it may be helpful in predicting investment. And It may reduce the risk of investing of asset allocation in global portfolio level. For this using the national monthly return data for the last 163 months, I was calculating and comparison the rate and correlation, and regression analysis. Result of the correlation analysis, Korea have shown a low correlation with China. while showing a high correlation with Taiwan and Hong Kong. China has been forming its own market in East Asia and showing a low correlation with other countries exception Hong Kong. Hong Kong has been determined as the highest harmonization within the East Stock Market.

• Health Policy and Management
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• v.29 no.1
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• pp.27-39
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• 2019

Background: This study is designed to estimate the factors that affect the level of three different performance (publicity, efficiency, profitability) among regional public hospitals. Methods: The units of analysis are the regional 30 hospitals, which have the operating data during 22 years (from 1933 to 2014). The research method is used by fixed panel analysis. The publicity is measured by medicaid outpatient proportion and medicaid inpatient proportion. The efficiency is measured by two types of efficient score by DEA (data envelopment analysis). The profitability is measured by medical income to medical revenue and ROA (return on total asset). Results: At first, the increase of bed gives negative affect to the publicity but give positive effect to the efficiency and profitability. Because it means the increase of the region population, it gives more profitability compare to hospital with small number of beds. The more the operating period is the higher effect to the publicity and efficiency because of it's refutation. The debt ratio gives negative effect to publicity, but positive effect to profitability. It is the normal belief that there is inverse relationship between publicity and profitability. The turnover rate of bed gives the negative affect to the publicity, but positive affect to the efficiency and profitability. That give us the implication that type of the inpatient make different effect the hospital performance. The ratio of labor cost give negative effect to all kind of performance. That means that the higher labor cost don't mean the higher publicity and labor cost control is very important factors to hospital performance. So the region hospital have to focus the labor factors more to make higher performance. Conclusion: As the conclusion, the independent variables give similar effect to the efficiency and the profitability, but give inverse effect to the publicity. That means that if an region hospital want to make the more publicity, it loss the higher efficiency and profitability. Specially publicity is higher negative relation with the profitability.