• Journal of the Korean Operations Research and Management Science Society
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• v.39 no.4
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• pp.137-152
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• 2014

In this paper, I suggest several techniques to estimate covariance matrix and compare the performance of the global minimum variance portfolio (GMVP) in terms of out of sample mean standard deviation and return. As a result, the return differences among the GMVPs are insignificant. The mean standard deviation of the GMVP using historical covariance is sensitive to the estimation window and the number of assets in the portfolio. Among the model covariance, the GMVP using constant systematic risk ratio model or using short sale restriction shows the best performance. The performance difference between the GMVPs using historical covariance and model covariance becomes insignificant as the historical covariance is estimated with longer estimation window. Lastly, the implied volatilities from ELW prices do not lead to superior performance to the historical variance.

• Water for future
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• v.19 no.2
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• pp.167-180
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• 1986

Disaggregation model has recently become a major technique in the field of synthetic generation and the model is possibly one of the most widely acepted tools in stochastic hydrology. The application of disaggregation model is evaluated with the streamflow data at the Waegwan and Hyunpung stage gaugin station on the main stem of the Nakdong River. The disaggregation process of annual streamflow data and the method of parameter estimation for the model is reviewed and the statistical analysis of the generated monthly streamflows such as a computation of moment estimation of covariance and correlogram analysis is made. The results, disaggregated monthly streamflow, obtained by Disaggregation Basic Model for single site are compared with the historical streamflow data and also with the other model, Thomas-Fiering Model. The generated monthly streamflow data by two models have been investigated and verified by comparision of mean and standard deviation between the historical and generated data.

• Water for future
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• v.25 no.4
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• pp.109-119
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• 1992

The purpose of this study is to develop real-time streamflow forecasting models in order to manage effectively the flood warning system and water resources during the storm. The stochastic system models of the rainfall-runoff process using in this study are constituted and applied the Recursive Least Square and the Instrumental Variable-Approximate Maximum Likelihood algorithm which can estimate recursively the optimal parameters of the model. Also, in order to improve the performance of streamflow forecasting, initial values of the model parameter and covariance matrix of parameter estimate errors were evaluated by using the observed historical data of the hourly rainfall-runoff, and the accuracy and applicability of the models developed in this study were examined by the analysis of the I-step ahead streamflow forecasts.

• Journal of Korean Institute of Industrial Engineers
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• v.36 no.3
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• pp.203-211
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• 2010

This study examines a cointegrated vector autoregressive (VAR) model where parameters are subject to switch across the regimes in the term structure of interest rates. To employ the regime switching framework, the Markov-switching vector error correction model (MS-VECM) is allowed to the regime shifts in the vector of intercept terms, the variance-covariance terms, the error correction terms, and the autoregressive coefficient parts. The corresponding approaches are illustrated using the term structure of interest rates in the US Treasury bonds over the period of 1958 to 2009. Throughout the modeling procedure, we find that the MS-VECM can form a statistically adequate representation of the term structure of interest rate in the US Treasury bonds. Moreover, the regime switching effects are analyzed in connection with the historical government monetary policy and with the recent global financial crisis. Finally, the results from the comparisons both in information criteria and in forecasting exercises with and without the regime switching lead us to conclude that the models in the presence of regime dependence are superior to the linear VECM model.

• Journal of Educational Research in Mathematics
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• v.27 no.4
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• pp.833-855
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• 2017

This study aims to reinvestigate the reason for introducing radian as a new unit to express the size of angles, what is the meaning of radian measures to use arc lengths as angle measures, and why is the domain of trigonometric functions expanded to real numbers for expressing general angles. For this purpose, it was conducted historical, mathematical and applied mathematical analyzes in order to research at multidisciplinary analysis of the radian concept. As a result, the following were revealed. First, radian measure is intrinsic essence in angle measure. The radian is itself, and theoretical absolute unit. The radian makes trigonometric functions as real functions. Second, radians should be aware of invariance through covariance of ratios and proportions in concentric circles. The orthogonality between cosine and sine gives a crucial inevitability to the radian. It should be aware that radian is the simplest standards for measuring the length of arcs by the length of radius. It can find the connection with sexadecimal method using the division strategy. Third, I revealed the necessity by distinction between angle and angle measure. It needs justification for omission of radians and multiplication relationship strategy between arc and radius. The didactical suggestions derived by these can reveal the usefulness and value of the radian concept and can contribute to the substantive teaching of radian measure.

• Journal of The Korean Society of Agricultural Engineers
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• v.63 no.6
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• pp.1-16
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• 2021

Global warming due to climate change is expected to significantly affect the hydrological cycle of agriculture. Therefore, in order to predict the magnitude of climate impact on agricultural water resources in the future, it is necessary to estimate the water demand for irrigation as the climate change. This study aimed at evaluating the future changes in water demand for irrigation under two Shared Socioeconomic Pathways (SSPs) (SSP2-4.5 and SSP5-8.5) scenarios for paddy rice in Gimje, South Korea. The APEX-Paddy model developed for the simulation of paddy environment was used. The model was calibrated and validated using the H₂O flux observation data by the eddy covariance system installed at the field. Sixteen General Circulation Models (GCMs) collected from the Climate Model Intercomparison Project phase 6 (CMIP6) and downscaled using Simple Quantile Mapping (SQM) were used. The future climate data obtained were subjected to APEX-Paddy model simulation to evaluate the future water demand for irrigation at the paddy field. Changes in water demand for irrigation were evaluated for Near-future-NF (2011-2040), Mid-future-MF (2041-2070), and Far-future-FF (2071-2100) by comparing with historical data (1981-2010). The result revealed that, water demand for irrigation would increase by 2.3%, 4.8%, and 7.5% for NF, MF and FF respectively under SSP2-4.5 as compared to the historical demand. Under SSP5-8.5, the water demand for irrigation will worsen by 1.6%, 5.7%, 9.7%, for NF, MF and FF respectively. The increasing water demand for irrigating paddy field into the future is due to increasing evapotranspiration resulting from rising daily mean temperatures and solar radiation under the changing climate.

• Journal of Intelligence and Information Systems
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• v.26 no.1
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• pp.135-149
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• 2020

Artificial intelligences are changing world. Financial market is also not an exception. Robo-Advisor is actively being developed, making up the weakness of traditional asset allocation methods and replacing the parts that are difficult for the traditional methods. It makes automated investment decisions with artificial intelligence algorithms and is used with various asset allocation models such as mean-variance model, Black-Litterman model and risk parity model. Risk parity model is a typical risk-based asset allocation model which is focused on the volatility of assets. It avoids investment risk structurally. So it has stability in the management of large size fund and it has been widely used in financial field. XGBoost model is a parallel tree-boosting method. It is an optimized gradient boosting model designed to be highly efficient and flexible. It not only makes billions of examples in limited memory environments but is also very fast to learn compared to traditional boosting methods. It is frequently used in various fields of data analysis and has a lot of advantages. So in this study, we propose a new asset allocation model that combines risk parity model and XGBoost machine learning model. This model uses XGBoost to predict the risk of assets and applies the predictive risk to the process of covariance estimation. There are estimated errors between the estimation period and the actual investment period because the optimized asset allocation model estimates the proportion of investments based on historical data. these estimated errors adversely affect the optimized portfolio performance. This study aims to improve the stability and portfolio performance of the model by predicting the volatility of the next investment period and reducing estimated errors of optimized asset allocation model. As a result, it narrows the gap between theory and practice and proposes a more advanced asset allocation model. In this study, we used the Korean stock market price data for a total of 17 years from 2003 to 2019 for the empirical test of the suggested model. The data sets are specifically composed of energy, finance, IT, industrial, material, telecommunication, utility, consumer, health care and staple sectors. We accumulated the value of prediction using moving-window method by 1,000 in-sample and 20 out-of-sample, so we produced a total of 154 rebalancing back-testing results. We analyzed portfolio performance in terms of cumulative rate of return and got a lot of sample data because of long period results. Comparing with traditional risk parity model, this experiment recorded improvements in both cumulative yield and reduction of estimated errors. The total cumulative return is 45.748%, about 5% higher than that of risk parity model and also the estimated errors are reduced in 9 out of 10 industry sectors. The reduction of estimated errors increases stability of the model and makes it easy to apply in practical investment. The results of the experiment showed improvement of portfolio performance by reducing the estimated errors of the optimized asset allocation model. Many financial models and asset allocation models are limited in practical investment because of the most fundamental question of whether the past characteristics of assets will continue into the future in the changing financial market. However, this study not only takes advantage of traditional asset allocation models, but also supplements the limitations of traditional methods and increases stability by predicting the risks of assets with the latest algorithm. There are various studies on parametric estimation methods to reduce the estimated errors in the portfolio optimization. We also suggested a new method to reduce estimated errors in optimized asset allocation model using machine learning. So this study is meaningful in that it proposes an advanced artificial intelligence asset allocation model for the fast-developing financial markets.