• Korean Management Science Review
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• v.26 no.2
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• pp.19-35
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• 2009

This paper investigated performance of the Markowitz's portfolio selection model with applications to Korean stock market. We chose Samsung-Group-Funds and KOSPI index for performance comparison with the Markowitz's portfolio selection model. For the most recent one and a half year period between March 2007 and September 2008, KOSPI index almost remained the same with only 0.1% change, Samsung-Group-Funds showed 20.54% return, and Markowitz's model, which is composed of the same 17 Samsung group stocks, achieved 52% return. We performed sensitivity analysis on the duration of financial data and the frequency of portfolio change in order to maximize the return of portfolio. In conclusion, according to our empirical research results with Samsung-Group-Funds, investment by Markowitz's model, which periodically changes portfolio by using nonlinear programming with only financial data, outperformed investment by the fund managers who possess rich experiences on stock trading and actively change portfolio by the minute-by-minute market news and business information.

• International Area Studies Review
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• v.15 no.3
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• pp.369-392
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• 2011

A pure project finance is exposed to high default risk because it is made solely based on the business value of the project. Project finance with sinking funds can reduce the high default risk, in that it uses sinking funds to ensure the principal without requiring collaterals or guarantees. In view of economic efficiency, this paper analytically compares project finance with sinking funds to usual project finance and derives the condition for its superiority in corporate tax saving. Because sinking funds generate the repayments for the principal with compounding interest rates, in terms of effectiveness, project finance with sinking funds is suitable for long-term projects whose period is longer than 10 years. Pension funds can be good sources for project finance with sinking funds, since they should be managed to ensure stable investment returns for long periods.

• Korean Management Science Review
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• v.30 no.3
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• pp.1-16
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• 2013

In this paper, we deal with an enhanced index fund strategy by implementing the exchange trade funds (ETFs) within the context of the Black-Litterman approach. The KOSPI200 index ETF is used to build risk-controlled portfolio that tracks the benchmark index, while the proposed Black-Litterman model mitigates estimation errors in incorporating both active investment views and equilibrium views. First, we construct a Black-Litterman model portfolio with the active market perspective based on the momentum strategy. Then, we update the portfolio with the KOSPI200 index ETF by using the equilibrium return ratio and weighted averages, while devising optimization modeling for improving the information ratio (IR) of the portfolio. Finally, we demonstrate the empirical viability of the proposed enhanced index strategies with KOSPI 200 data.

• Journal of Convergence for Information Technology
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• v.8 no.1
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• pp.301-312
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• 2018

The purpose of this study is to propose strategies for enhancing competitiveness through the utilization of policy funds, especially in the start-up companies supported by the Korea Credit Guarantee Fund. And then, the Korea Credit Guarantee Fund should develop 'user-centered policy funding model' in order to increase start-up's utilization of policy fund and support start-ups that are supported in the long run. The competitiveness of domestic start-up companies has been strengthened by 'user-centered policy funding model' and new innovations have been introduced through 'Living Lab', an open innovation. But, in order to overcome the limitation of reaching the stage of commercialization, the 'user-centered policy funding model' proposed in this study enables start-ups to be the subject of actual policy funding, and also allows users to freely apply for necessary funding at any time. Therefore, the Korea Credit Guarantee Fund has a significance in suggesting 'user-centered policy funding model' as a support model to be customized. However, since SMEs recognize the actual situation and limit acceptance of all the difficulties, the systematic analysis of the actual situation of the policy funds of the start-up by the credit guarantee fund and the related support institutions for the scientific approach of the user-oriented policy funding model need.

• Journal of applied mathematics & informatics
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• v.38 no.5_6
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• pp.439-461
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• 2020

A step-up option is a newly developed financial instrument that simultaneously provides higher security and profitability. This paper introduces two step-up options: step-up type1 and step-up type2 options, and derives the option pricing formulas using the Laplace transform. We assume that the underlying equity price follows a regime-switching model that reflects the long-term maturity of these options. The option prices are calculated for the two types of funds, a pure stock fund composed of risky assets only and a mixed fund composed of stocks and bonds, to reflect possible variety in the fund underlying asset mix. The impact of changes in the model parameters on the option prices is analyzed. This paper provides information crucial to product developments.

• Journal of Korea Technology Innovation Society
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• v.13 no.3
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• pp.538-557
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• 2010

Korean Government has supplied small-medium enterprises with various technology financing programs such as R&D grant." loans, equities, guarantees since 1980's. The purpose of this study is to render policy suggestions for policy makers by analysing problems with regard to regulations. The suggestions of this study are such as the following. First, the current three months of the fund formation period should be extended within six months for general partners to have enough time to raise funds in the current tough capital market situation. Second, the government's non priority loss devotion system should keep going to prevent general partner's moral hazard. Third, in order to fulfill the policy purpose that is to create globally well-known companies, the government investment ratio should scale up from the current 20% to 30% of the total fund size in that the stable capital supply for core technology commercialization, industrialization and globalization of companies is achieved. Finally, general partners of the New Growth Engine Fund should showoff their investment abilities to the potential investors such as institutional investors by accumulating all track records and know-hows that prove their specialities and implementing action plans to achieve the best result of their investment. This study provides general considerations of the selection procedure, the government investment ratio, the government priority loss devotion system and so on when formating the public funds.

• Journal of Multimedia Information System
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• v.8 no.1
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• pp.69-74
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• 2021

This paper accumulates the product structure data such as bond obligation ratio and investment ratio for variable insurance using crawling from the insurance company's API, also accumulates variable insurance income and project expenses for variable insurance using crawling from the API of life insurance association. From these accumulated data, the correlation coefficient between fund product and customer preference is calculated with an investment algorithm, and variable insurance funds by customer investment preference and product structure are recommended according to market conditions. From the simulation results, it is shown that the proposed variable insurance management system properly recommends and manages variable insurance according to customer preferences.

• Journal of Korea Society of Industrial Information Systems
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• v.18 no.5
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• pp.107-117
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• 2013

In order to enhance the performance of National R&D program, it is required not only the R&D funds and human resources, but also the composition of the research environment in which the researchers could fully concentrate on study. Particularly in Korea, executive burdens that arise in the course of the administration of research fund are frequently causing difficulties in concentrating on study. To remove this burden on financial management and maximize the efficiency of research funding, the government has implemented the central management system of the R&D fund. This study analyzed the moderating effects of the centralized management system of the R&D fund on the relationship between government fund and performance of the university research. Based on the analyzed result, this study concluded that the higher level of centralized management system of the R&D fund is implemented, the more influence on research outcomes grow. This study is significant to extend previous research point of view, as well as analyze the practical effect of government policies.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.11
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• pp.147-156
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• 2020

This study aims to analyze the effect of public spending, macroeconomic variables, and BPK opinion on economic growth. This study is motivated by the inequality of fiscal policy effectiveness between regions in Indonesia in influencing the economic growth of different regions, the ability of local governments to attract foreign investors, and the transparency of regional financial management in designing development programs to encourage regional economic growth. The analytical tool in this study is a dynamic panel regression model with data from 2008 to 2017. The results of this study show that, in the short term, the population affects regional economic growth, while in the long term, the economic growth is affected by the number of people, the poor, General Allocation Fund, health budget, foreign investment and BPK opinion. The findings of this study are that in the long term the General Allocation Fund becomes an obstacle to economic growth, this is because the general allocation funds is widely used to cover the lack of funds for routine regional activities, thereby reducing activities for development programs. Another research finding is that fiscal policies carried out by local governments make a small and ineffective contribution to promoting economic growth.

• The Korean Journal of Financial Management
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• v.26 no.2
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• pp.93-112
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• 2009

The purpose of this study is to examine market timing and volatility timing abilities in Korean equity funds by distinguishing 'skill' and 'luck' for individual funds. In this study, we use the funds, which exist more than consecutive 24 month non-overlapping periods. This procedure leaves 545 funds among total 1,904 funds during sample priod January 2001 to December 2007. To derive the 'luck' distribution, the cross-sectional bootrap approach is adopted. From our results, it is found that when the traditional regression approach is adopted, only few Korean equity funds possess market timing and volatility timing abilities. However, based on the 'luck' distributions, which are derived from cross-sectional bootstrap approach, it is found that market timing and volatility timing abilities of Korean equity funds are merely from 'luck' rather than 'skill'.