• 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.

• Journal of Korea Society of Industrial Information Systems
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• v.19 no.2
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• pp.93-103
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• 2014

This paper establishes the empirical model based on Hall's(1990) and Basu' s(1996) models, estimates the five types of productivity in the medical service industry over the period 1975:1-2010:4, and analyzes the cyclicality of measured productivities and their correlations with the industrial real wage. The empirical results are summarized as the followings. First, there proved to be substantial market power in pricing and returns to scale in production for the medical service industry. Second, the three types of productivity among 5 types showed to be procyclical. Third, the average labor productivity, the original Solow residual, and the cost-based Solow residual are expected to provide reasonable indexes in analyzing the relationship between productivity and real wage.

• 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.

• KIEAE Journal
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• v.10 no.5
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• pp.165-170
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• 2010

Super high-rise mixed use buildings require a longer period for construction. Especially finishing work takes up about 40% of the whole construction period. Thus, finishing work is becoming an important factor in determining the construction period along with earth work and frame work. As the expected returns added by the reduction of the period and cost in constructing super high-rise mixed use buildings are huge, the expectations are now increasing for the possible gains. In this respect, as the period of finishing work is easier to be shortened than that of frame work, the efforts to acquire the technical knowledge to reduce the finishing work period are now being required. Accordingly, in this study, we aimed at suggesting the basic data for designing an economic plan for finishing-work procedure by analyzing the productivity of each work type of finishing work procedure on the basis of the execution and results of a construction method as a time-flexible finishing work plan. For this, we categorized the work types of finishing work procedure into each work unit and provided a work-system for each of them. Also, with case studies, we calculated the detailed amounts of the work-loads, required materials, productivity, and productivity index of the main work types of finishing work procedure and each of their separate work units as well as analyzed the relationship between the value results to suggest a better way to improve its productivity.

• Journal of the Korean Data and Information Science Society
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• v.25 no.6
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• pp.1449-1466
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• 2014

In this paper, we consider a hedge portfolio based on futures of underlying asset. A classical way to estimate a hedge ratio for a hedge portfolio of a spot and futures is a regression analysis. However, a regression analysis is not capable of reflecting long-run equilibrium between a spot and futures and volatility clustering in the conditional variance of financial time series. In order to overcome such defects, we analyzed KOSPI200 index and futures using VECM-CC-GARCH model and computed a hedge ratio from the estimated conditional covariance-variance matrix. In real data analysis, we compared a regression and VECM-CC-GARCH models in terms of hedge effectiveness based on variance, value at risk and expected shortfall of log-returns of hedge portfolio. The empirical results show that the multivariate GARCH models significantly outperform a regression analysis and improve hedging effectiveness in the period of high volatility.

• Korean Journal of Remote Sensing
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• v.25 no.6
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• pp.547-557
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• 2009

LIDAR (LIght Detection And Ranging) is an active remote sensing technology which provides 3D coordinates of the Earth's surface by performing range measurements from the sensor. Early small footprint LIDAR systems recorded multiple discrete returns from the back-scattered energy. Recent advances in LIDAR hardware now make it possible to record full digital waveforms of the returned energy. LIDAR waveform decomposition involves separating the return waveform into a mixture of components which are then used to characterize the original data. The most common statistical mixture model used for this process is the Gaussian mixture. Waveform decomposition plays an important role in LIDAR waveform processing, since the resulting components are expected to represent reflection surfaces within waveform footprints. Hence the decomposition results ultimately affect the interpretation of LIDAR waveform data. Computational requirements in the waveform decomposition process result from two factors; (1) estimation of the number of components in a mixture and the resulting parameter estimates, which are inter-related and cannot be solved separately, and (2) parameter optimization does not have a closed form solution, and thus needs to be solved iteratively. The current state-of-the-art airborne LIDAR system acquires more than 50,000 waveforms per second, so decomposing the enormous number of waveforms is challenging using traditional single processor architecture. To tackle this issue, four parallel LIDAR waveform decomposition algorithms with different work load balancing schemes - (1) no weighting, (2) a decomposition results-based linear weighting, (3) a decomposition results-based squared weighting, and (4) a decomposition time-based linear weighting - were developed and tested with varying number of processors (8-256). The results were compared in terms of efficiency. Overall, the decomposition time-based linear weighting work load balancing approach yielded the best performance among four approaches.

• The Journal of the Korea Contents Association
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• v.19 no.8
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• pp.172-183
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• 2019

Modern society has a tendency to raise fewer children. As a result, parents became more interested in their children's creative ways of thinking and began to look for new ways of teaching. The child care support center expects a positive effect by lending various toys and books to improve the physical, emotional and social characteristics of children and to help reduce household burden on parents. In this paper, we design and implement a rental return system to effectively utilize a toy library operated by the child care support center. The proposed system makes it easy for any user to search for items in any branch operated by the Child Care Support Center and to manage loan return records. The administrator can manage data such as loans, returns, and past due from the rental return processing system, and effectively operate the child care support center through statistics of data generated. Children are expected to be given a variety of entertainment cultures and cultural benefits to their families to ease the burden of parenting.

• Journal of Information Science Theory and Practice
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• v.7 no.1
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• pp.39-51
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• 2019

Open access is a paradigm whereby the electronic versions of scholarly publications are made freely accessible without any restrictions. It is actively promoted globally and is also promoted domestically in accordance with this global trend. However, there is a growing need to evaluate existing activities and to seek policies for the steady spread of open access. This study examines the necessity of switching to a national repository from existing institutional repositories through policy direction analysis of open repositories. We examined domestic open access policies by analysing various overseas cases and the situation in South Korea. Finally, we determined the validity of investment in a national repository by analysing its social and economic impacts using the modified Solow-Swan model. The main parameters for applying the modified Solow-Swan model were estimated, and the domestic research and development expenditure was predicted via a regression method. Then, we applied a range of rate of returns to research and development (10% to 50%) to various scenarios and examined the effects of increasing accessibility and efficiency by 1% to 10%. We found that the implementation of a national open access repository in South Korea would have a substantial impact (to the tune of 147 billion won), without considering the potential costs of such a repository. Based on the estimates of the social and economic impact of a national repository, the implementation of a national open access repository in South Korea is economically viable. Besides having beneficial social and economic impacts, a national repository is expected to enhance awareness of open access among Korean researchers and institutions.

• Journal of Digital Convergence
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• v.19 no.3
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• pp.127-135
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• 2021

We analyze the information asymmetry in the capital market by examining the long-term performance by the insider's trading behavior in the companies that made investment announcements for the construction of the new office building. The results are summarized as follows. On average, the long-term abnormal returns on share prices of sample firms represent a significant positive value. The regression analysis confirmed that there is a statistically significant positive correlation between the factor of the change in equity of large shareholders and the long-term performance. On the other hand, negative correlation was observed between change in equity of small individual investors and long-term performance. These results mean that an insider can determine the authenticity of a manager's private intention. In other words, it supports that the insider is in a position of information superiority. In addition, it is expected to provide practical usefulness to investors in that the change in equity can be used as a predictor of long-term performance.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.42 no.1
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• pp.75-81
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• 2022

Public bicycles are a representative eco-friendly transportation means that can reduce carbon emissions and play an important role in first/last mile mobility and that can be linked to public transportation in the future MaaS era. In 2008, Changwon City started operating donor bicycles for the first time in Korea. However, as the infrastructure of public bicycles has expanded without a theoretical basis for over 10 years, operating costs are increasing due to a decrease in operational efficiency, which makes it difficult to quantitatively expand the service. In this study, a method for calculating the number of stands suitable for the use of public bicycles was presented, and an efficiency index was developed to evaluate the efficiency of public bicycle infrastructure. The method presented in this study was found by examining the relationship between numbers of rentals and returns of public bicycles and the number of bicycle holders. It is expected that the results can be used by other local governments.