Robo-Advisor Algorithm with Intelligent View Model (지능형 전망모형을 결합한 로보어드바이저 알고리즘)
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- Journal of Intelligence and Information Systems
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- v.25 no.2
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- pp.39-55
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- 2019
Recently banks and large financial institutions have introduced lots of Robo-Advisor products. Robo-Advisor is a Robot to produce the optimal asset allocation portfolio for investors by using the financial engineering algorithms without any human intervention. Since the first introduction in Wall Street in 2008, the market size has grown to 60 billion dollars and is expected to expand to 2,000 billion dollars by 2020. Since Robo-Advisor algorithms suggest asset allocation output to investors, mathematical or statistical asset allocation strategies are applied. Mean variance optimization model developed by Markowitz is the typical asset allocation model. The model is a simple but quite intuitive portfolio strategy. For example, assets are allocated in order to minimize the risk on the portfolio while maximizing the expected return on the portfolio using optimization techniques. Despite its theoretical background, both academics and practitioners find that the standard mean variance optimization portfolio is very sensitive to the expected returns calculated by past price data. Corner solutions are often found to be allocated only to a few assets. The Black-Litterman Optimization model overcomes these problems by choosing a neutral Capital Asset Pricing Model equilibrium point. Implied equilibrium returns of each asset are derived from equilibrium market portfolio through reverse optimization. The Black-Litterman model uses a Bayesian approach to combine the subjective views on the price forecast of one or more assets with implied equilibrium returns, resulting a new estimates of risk and expected returns. These new estimates can produce optimal portfolio by the well-known Markowitz mean-variance optimization algorithm. If the investor does not have any views on his asset classes, the Black-Litterman optimization model produce the same portfolio as the market portfolio. What if the subjective views are incorrect? A survey on reports of stocks performance recommended by securities analysts show very poor results. Therefore the incorrect views combined with implied equilibrium returns may produce very poor portfolio output to the Black-Litterman model users. This paper suggests an objective investor views model based on Support Vector Machines(SVM), which have showed good performance results in stock price forecasting. SVM is a discriminative classifier defined by a separating hyper plane. The linear, radial basis and polynomial kernel functions are used to learn the hyper planes. Input variables for the SVM are returns, standard deviations, Stochastics %K and price parity degree for each asset class. SVM output returns expected stock price movements and their probabilities, which are used as input variables in the intelligent views model. The stock price movements are categorized by three phases; down, neutral and up. The expected stock returns make P matrix and their probability results are used in Q matrix. Implied equilibrium returns vector is combined with the intelligent views matrix, resulting the Black-Litterman optimal portfolio. For comparisons, Markowitz mean-variance optimization model and risk parity model are used. The value weighted market portfolio and equal weighted market portfolio are used as benchmark indexes. We collect the 8 KOSPI 200 sector indexes from January 2008 to December 2018 including 132 monthly index values. Training period is from 2008 to 2015 and testing period is from 2016 to 2018. Our suggested intelligent view model combined with implied equilibrium returns produced the optimal Black-Litterman portfolio. The out of sample period portfolio showed better performance compared with the well-known Markowitz mean-variance optimization portfolio, risk parity portfolio and market portfolio. The total return from 3 year-period Black-Litterman portfolio records 6.4%, which is the highest value. The maximum draw down is -20.8%, which is also the lowest value. Sharpe Ratio shows the highest value, 0.17. It measures the return to risk ratio. Overall, our suggested view model shows the possibility of replacing subjective analysts's views with objective view model for practitioners to apply the Robo-Advisor asset allocation algorithms in the real trading fields.
The wall shear stress in the vicinity of end-to end anastomoses under steady flow conditions was measured using a flush-mounted hot-film anemometer(FMHFA) probe. The experimental measurements were in good agreement with numerical results except in flow with low Reynolds numbers. The wall shear stress increased proximal to the anastomosis in flow from the Penrose tubing (simulating an artery) to the PTFE: graft. In flow from the PTFE graft to the Penrose tubing, low wall shear stress was observed distal to the anastomosis. Abnormal distributions of wall shear stress in the vicinity of the anastomosis, resulting from the compliance mismatch between the graft and the host artery, might be an important factor of ANFH formation and the graft failure. The present study suggests a correlation between regions of the low wall shear stress and the development of anastomotic neointimal fibrous hyperplasia(ANPH) in end-to-end anastomoses. 30523 T00401030523 ^x Air pressure decay(APD) rate and ultrafiltration rate(UFR) tests were performed on new and saline rinsed dialyzers as well as those roused in patients several times. C-DAK 4000 (Cordis Dow) and CF IS-11 (Baxter Travenol) reused dialyzers obtained from the dialysis clinic were used in the present study. The new dialyzers exhibited a relatively flat APD, whereas saline rinsed and reused dialyzers showed considerable amount of decay. C-DAH dialyzers had a larger APD(11.70
Background: The best dose-fractionation regimen of the definitive radiotherapy for cervix cancer remains to be clearly determined. It seems to be partially attributed to the complexity of the affecting factors and the lack of detailed information on external and intra-cavitary fractionation. To find optimal practice guidelines, our experiences of the combination of external beam radiotherapy (EBRT) and high-dose-rate intracavitary brachytherapy (HDR-ICBT) were reviewed with detailed information of the various treatment parameters obtained from a large cohort of women treated homogeneously at a single institute. Materials and Methods: The subjects were 743 cervical cancer patients (Stage IB 198, IIA 77, IIB 364, IIIA 7, IIIB 89 and IVA 8) treated by radiotherapy alone, between 1990 and 1996. A total external beam radiotherapy (EBRT) dose of
To discover significant social issues such as unemployment, economy crisis, social welfare etc. that are urgent issues to be solved in a modern society, in the existing approach, researchers usually collect opinions from professional experts and scholars through either online or offline surveys. However, such a method does not seem to be effective from time to time. As usual, due to the problem of expense, a large number of survey replies are seldom gathered. In some cases, it is also hard to find out professional persons dealing with specific social issues. Thus, the sample set is often small and may have some bias. Furthermore, regarding a social issue, several experts may make totally different conclusions because each expert has his subjective point of view and different background. In this case, it is considerably hard to figure out what current social issues are and which social issues are really important. To surmount the shortcomings of the current approach, in this paper, we develop a prototype system that semi-automatically detects social issue keywords representing social issues and problems from about 1.3 million news articles issued by about 10 major domestic presses in Korea from June 2009 until July 2012. Our proposed system consists of (1) collecting and extracting texts from the collected news articles, (2) identifying only news articles related to social issues, (3) analyzing the lexical items of Korean sentences, (4) finding a set of topics regarding social keywords over time based on probabilistic topic modeling, (5) matching relevant paragraphs to a given topic, and (6) visualizing social keywords for easy understanding. In particular, we propose a novel matching algorithm relying on generative models. The goal of our proposed matching algorithm is to best match paragraphs to each topic. Technically, using a topic model such as Latent Dirichlet Allocation (LDA), we can obtain a set of topics, each of which has relevant terms and their probability values. In our problem, given a set of text documents (e.g., news articles), LDA shows a set of topic clusters, and then each topic cluster is labeled by human annotators, where each topic label stands for a social keyword. For example, suppose there is a topic (e.g., Topic1 = {(unemployment, 0.4), (layoff, 0.3), (business, 0.3)}) and then a human annotator labels "Unemployment Problem" on Topic1. In this example, it is non-trivial to understand what happened to the unemployment problem in our society. In other words, taking a look at only social keywords, we have no idea of the detailed events occurring in our society. To tackle this matter, we develop the matching algorithm that computes the probability value of a paragraph given a topic, relying on (i) topic terms and (ii) their probability values. For instance, given a set of text documents, we segment each text document to paragraphs. In the meantime, using LDA, we can extract a set of topics from the text documents. Based on our matching process, each paragraph is assigned to a topic, indicating that the paragraph best matches the topic. Finally, each topic has several best matched paragraphs. Furthermore, assuming there are a topic (e.g., Unemployment Problem) and the best matched paragraph (e.g., Up to 300 workers lost their jobs in XXX company at Seoul). In this case, we can grasp the detailed information of the social keyword such as "300 workers", "unemployment", "XXX company", and "Seoul". In addition, our system visualizes social keywords over time. Therefore, through our matching process and keyword visualization, most researchers will be able to detect social issues easily and quickly. Through this prototype system, we have detected various social issues appearing in our society and also showed effectiveness of our proposed methods according to our experimental results. Note that you can also use our proof-of-concept system in http://dslab.snu.ac.kr/demo.html.
The wall shear stress in the vicinity of end-to end anastomoses under steady flow conditions was measured using a flush-mounted hot-film anemometer(FMHFA) probe. The experimental measurements were in good agreement with numerical results except in flow with low Reynolds numbers. The wall shear stress increased proximal to the anastomosis in flow from the Penrose tubing (simulating an artery) to the PTFE: graft. In flow from the PTFE graft to the Penrose tubing, low wall shear stress was observed distal to the anastomosis. Abnormal distributions of wall shear stress in the vicinity of the anastomosis, resulting from the compliance mismatch between the graft and the host artery, might be an important factor of ANFH formation and the graft failure. The present study suggests a correlation between regions of the low wall shear stress and the development of anastomotic neointimal fibrous hyperplasia(ANPH) in end-to-end anastomoses. 30523 T00401030523 ^x Air pressure decay(APD) rate and ultrafiltration rate(UFR) tests were performed on new and saline rinsed dialyzers as well as those roused in patients several times. C-DAK 4000 (Cordis Dow) and CF IS-11 (Baxter Travenol) reused dialyzers obtained from the dialysis clinic were used in the present study. The new dialyzers exhibited a relatively flat APD, whereas saline rinsed and reused dialyzers showed considerable amount of decay. C-DAH dialyzers had a larger APD(11.70
Background : Endobronchial tuberculosis(ET) is still relatively common disease in Korea. We intended to evaluate the length of endobronchial lesion, peribronchial thickness, luminal irregularity and associated mediastinal lymph node enlargement with Chest CT to get information for such aggressive treatment as electrocautery, laser therapy and so on of bronchial stricture in ET, and also to compare the change of Chest CT finding with that of bronchoscopic finding after one month of anti-tuberculosis treatment. Method : We performed CT in 26 patients who were diagnosed as ET by bronchoscopy at Boramae Hospital from November 1991 to March 1996. After classifying ET into seven subtypes according to bronchoscopic finding, we analyzed the CT finding of each subtype. And we followed up the bronchoscopy, CT, and PIT after one month of anti-tuberculosis treatment, and compared the change of CT findings with those of bronchoscopic findings in nine patients. Results : Age of the patients was from 17 to 73 years old, and the ratio of male to female was 1 : 25 with absolute female predominance. The site(s) of bronchial involvement by tuberculosis is one in 14 cases, two in nine cases and three in one case, respectively, and the left main bronchus was the most frequently involved site (13 cases for multiple involvements and 7 cases for single involvement among 26 cases). The length of bronchial involvement by tuberculosis which was measured by CT was from 10 to 55 mm, and there was a tendency that the length of involved lesion in fibrostenotic type was shorter than that of actively caseating type. Bronchial stricture on CT was noticed in 25 (96%) cases and the range of severity was from total occlusion to near-normal and also showed wide variation even though the subtype of ET was same. The increase of peribronchial thickness which was measured by CT, was noticed in 21 cases (91%) among 23 cases (in which the measurement was possible), and there was no improvement of peribronchial thickness in those cases which showed little improvement in bronchial stricture despite anti-tuberculosis treatment. There was no difference in the luminal irregularity of involved bronchi on CT in relation to bronchoscopic subtypes. The mediastinal lymph node enlargement, defined as the diameter of lymph node was larger than 1cm on CT, was detected in 20 cases (77%), and right side was more frequently involved (L : R = 1 : 5.2). The CT finding usually showed extrinsic bronchial compression but showed direct invasion in two cases which were bronchoscopically classified as tumorous type. When follow-up bronchoscopy and CT was performed after one month of anti-tuberculosis treatment in nine patients, CT showed significant improvement in peribronchial thickness and mediastinal lymph node enlargement. Bronchial stricture was also improved in 6 cases but aggravated in 3 cases despite anti-tuberculosis therapy. In two cases which were classified as fibrostenotic type by bronchoscopy, CT showed significant improvement in bronchial stricture, interestingly. Conclusion : We concluded that the role of Chest CT was complimentary to bronchoscopy in ET, since CT was useful in evaluating the length of bronchial involvement, peribronchial thickness, and mediastinal lymph node enlargement.
Background : In diagnosis or monitor of the airway obstruction in bronchial asthma, the measurement of
Background : Immunotherapy is another treatment modality for various cancers. There is little information on the antitumor effects of immunotherapy on implanted lung cancer mouse models. Toxoplasma gondii is able to potently induce a nonspecific stimulation of the host immune system. Therefore, this study evaluated the antitumor and antimetastatic effect of nonspecific immune stimulation by T. gondii in a Lewis lung cancer mouse model. Methods : Female C57BL/6 mice were injected with either Lewis lung cancer cells (
Background : Previous studies have suggested that a B-type natriuretic peptide(BNP) test can provide important information on diagnosis, as well as predicting the severity and prognosis of heart failure. Myocardial dysfunction is often observed in critically ill noncardiac patients admitted to the Intensive Care Unit, and the prognosis of the myocardial dysfunction needs to be determined. This study evaluated the predictability of BNP on the prognosis of critically ill noncardiac patients. Methods : 32 ICU patients, who were hospitalized from June to October 2002 and in whom the BNP test was evaluated, were enrolled in this study. The exclusion criteria included the conditions that could increase the BNP levels irrespective of the severity, such as congestive heart failure, atrial fibrillation, ischemic heart disease, and renal insufficiencies. A triage B-Type Natriuretic Peptide test with a RIA-kit was used for the fluorescence immunoassay of BNP test. In addition, the acute physiology and the chronic health evaluation (APACHE) II score and mortality were recorded. Results : There were 16 males and 16 females enrolled in this study. The mean age was 59 years old. The mean BNP levels between the ICU patients and control were significantly different (
Background : Non-small cell lung cancer (NSCLC) is a common cause of cancer-related death in North America and Korea, with an overall 5-year survival rate of between 4 and 14%. The TNM staging system is the best prognostic index for operable NSCLC . However, epidermal growth factor receptor (EGFR), matrix metalloproteinase-9(MMP-9), and C-erbB-2 have all been implicated in the pathogenesis of NSCLC and might provide prognostic information. Methods : Immunohistochemical staining of 81 specimens from a resected primary non-small cell lung cancer was evaluated in order to determine the role of the biological markers on NSCLC . Immunohistochemical staining for EGFR, MMP-9, and C-erbB-2 was performed on paraffin-embedded tissue sections to observe the expression pattern according to the pathologic type and surgical staging. The correlations between the expression of each biological marker and the survival time was determined. Results : When positive immunohistochemical staining was defined as the extent area>20%(more than Grade 2), the positive rates for EGFR, MMP-9, and C-erbB-2 staining were 71.6%, 44.3%, and 24.1% of the 81 patients, respectively. The positive rates of EGFR and MMP-9 stain for NSCLC according to the surgical stages I, II, and IIIa were 75.0% and 41.7%, 66.7% and 47.6%, and 76.9% and 46.2%, respectively. The median survival time of the EGFR(-) group, 71.8 months, was significantly longer than that of the EGFR(+) group, 33.5 months.(p=0.018, Kaplan-Meier Method, log-rank test).. The MMP-9(+) group had a shorter median survival time than the MMP-9(-) group, 35.0 and 65.3 months, respectively (p=0.2). The co-expression of EGFR and MMP-9 was associated with a worse prognosis with a median survival time of 26.9 months, when compared with the 77 months for both negative-expression groups (p=0.0023). There were no significant differences between the C-erbB-2(+) and C-erbB-2 (-) groups. Conclusion : In NSCLC, the expression of EGFR might be a prognostic factor, and the co-expression of EGFR and MMP-9 was found to be associated with a poor prognosis. However, C-erbB-2 expression had no prognostic significance.