A Study on Risk Parity Asset Allocation Model with XGBoos (XGBoost를 활용한 리스크패리티 자산배분 모형에 관한 연구)
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- 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.
To prepare for the complicated international relationship regarding Korean Peninsula after reunification, this thesis started off with the awareness that Unified Korea should build its international posture and national security at an early stage by determining its appropriate military strength for independent defense and military strategies that Unified Korea should aim. The main theme of this thesis is 'The research on appropriate military strength of the Unified Korean military'. To derive appropriate military strength of Unified Korea, this research focuses on conflict scenario and relative balance strategy based on potential threats posed by neighboring countries, and this is the part that differentiates this research from other researches. First of all, the main objective of the research is to decide appropriate military strength for Unified Korea to secure defense sufficiency. For this, this research will decide efficient military strategy that Unified Korea should aim. Than by presuming the most possible military conflict scenario, this research will judge the most appropriate military strength for Unified Korea to overcome the dispute. Second, after deciding appropriate military strength, this research will suggest how to operate presumed military strength in each armed force. The result of this thesis is as in the following. First, Unified Korea should aim 'relative balance strategy'. 'Relative balance strategy' is a military strategy which Unified Korea can independently secure defense sufficiency by maintaining relative balance when conflicts occur between neighboring countries. This strategy deters conflicts in advance by relative balance of power in certain time and place. Even if conflict occurs inevitably, this strategy secures initiative. Second, when analyzing neighboring countries interest and strategic environment after unification, the possibility of all-out war will be low in the Korean Peninsula because no other nation wants the Korean Peninsula to be subordinated to one single country. Therefore appropriate military strength of the Unified Korean military would be enough when Unified Korea can achieve relative balance in regional war or limited war. Third, Northeast Asia is a region where economic power and military strength is concentrated. Despite increasing mutual cooperation in the region, conflicts and competition to expand each countries influence is inherent. Japan is constantly enhancing their military strength as they aim for normal statehood. China is modernizing their military strength as they aspire to become global central nation. Russia is also enhancing their military strength in order to hold on to their past glory of Soviet Union as a world power. As a result, both in quality and quantity, the gap between military strength of Unified Korea and each neighboring countries is enlarged at an alarming rate. Especially in the field of air-sea power, arms race is occurring between each nation. Therefore Unified Korea should be equipped with appropriate military strength in order to achieve relative balance with each threats posed by neighboring countries. Fourth, the most possible conflicts between Unified Korea and neighboring countries could be summarized into four, which are Dokdo territorial dispute with Japan, Leodo jurisdictional dispute with China, territorial dispute concerning northern part of the Korea Peninsula with China and disputes regarding marine resources and sea routes with Russia. Based on those conflict scenarios, appropriate military strength for Unified Korea is as in the following. When conflict occurs with Japan regarding Dokdo, Japan is expected to put JMSDF Escort Flotilla 3, one out of four of its Japan Maritime Self-Defense Force Escort Fleet, which is based in Maizuru and JMSDF Maizuru District. To counterbalance this military strength, Unified Korea needs one task fleet, comprised with three task flotilla. In case of jurisdictional conflict with China concerning Leodo, China is expected to dispatch its North Sea fleet, one out of three of its naval fleet, which is in charge of the Yellow Sea. To response to this military action, Unified Korea needs one task fleet, comprised with three task flotilla. In case of territorial dispute concerning northern part of the Korean Peninsula with China, it is estimated that out of seven Military Region troops, China will dispatch two Military Region troops, including three Army Groups from Shenyang Military Region, where it faces boarder with the Korean Peninsula. To handle with this military strength, Unified Korea needs six corps size ground force strength, including three corps of ground forces, two operational reserve corps(maneuver corps), and one strategic reserve corps(maneuver corps). When conflict occurs with Russia regarding marine resources and sea routes, Russia is expected to send a warfare group of a size that includes two destroyers, which is part of the Pacific Fleet. In order to balance this strength, Unified Korea naval power requires one warfare group including two destroyers. Fifth, management direction for the Unified Korean military is as in the following. Regarding the ground force management, it would be most efficient to deploy troops in the border area with china for regional and counter-amphibious defense. For the defense except the border line with china, the most efficient form of force management would be maintaining strategic reserve corps. The naval force should achieve relative balance with neighboring countries when there is maritime dispute and build 'task fleet' which can independently handle long-range maritime mission. Of the three 'task fleet', one task fleet should be deployed at Jeju base to prepare for Dokdo territorial dispute and Leodo jurisdictional dispute. Also in case of regional conflict with china, one task fleet should be positioned at Yellow Sea and for regional conflict with Japan and Russia, one task fleet should be deployed at East Sea. Realistically, Unified Korea cannot possess an air force equal to neither Japan nor China in quantity. Therefore, although Unified Korea's air force might be inferior in quantity, they should possess the systematic level which Japan or China has. For this Unified Korea should build air base in island areas like Jeju Island or Ullenong Island to increase combat radius. Also to block off infiltration of enemy attack plane, air force needs to build and manage air bases near coastal areas. For landing operation forces, Marine Corps should be managed in the size of two divisions. For island defense force, which is in charge of Jeju Island, Ulleung Island, Dokdo Island and five northwestern boarder island defenses, it should be in the size of one brigade. Also for standing international peace keeping operation, it requires one brigade. Therefore Marine Corps should be organized into three divisions. The result of the research yields a few policy implications when building appropriate military strength for Unified Korea. First, Unified Korea requires lower number of ground troops compared to that of current ROK(Republic of Korea) force. Second, air-sea forces should be drastically reinforced. Third, appropriate military strength of the Unified Korean military should be based on current ROK military system. Forth, building appropriate military strength for Unified Korea should start from today, not after reunification. Because of this, South Korea should build a military power that can simultaneously prepare for current North Korea's provocations and future threats from neighboring countries after reunification. The core of this research is to decide appropriate military strength for Unified Korea to realize relative balance that will ensure defense sufficiency from neighboring countries threats. In other words, this research should precisely be aware of threats posed by neighboring countries and decide minimum level of military strength that could realize relative balance in conflict situation. Moreover this research will show the path for building appropriate military strength in each armed force.
As the pace of competition dramatically accelerates and the complexity of change grows, a variety of research have been conducted to improve firms' short-term performance and to enhance firms' long-term survival. In particular, researchers and practitioners have paid their attention to identify promising technologies that lead competitive advantage to a firm. Discovery of promising technology depends on how a firm evaluates the value of technologies, thus many evaluating methods have been proposed. Experts' opinion based approaches have been widely accepted to predict the value of technologies. Whereas this approach provides in-depth analysis and ensures validity of analysis results, it is usually cost-and time-ineffective and is limited to qualitative evaluation. Considerable studies attempt to forecast the value of technology by using patent information to overcome the limitation of experts' opinion based approach. Patent based technology evaluation has served as a valuable assessment approach of the technological forecasting because it contains a full and practical description of technology with uniform structure. Furthermore, it provides information that is not divulged in any other sources. Although patent information based approach has contributed to our understanding of prediction of promising technologies, it has some limitations because prediction has been made based on the past patent information, and the interpretations of patent analyses are not consistent. In order to fill this gap, this study proposes a technology forecasting methodology by integrating patent information approach and artificial intelligence method. The methodology consists of three modules : evaluation of technologies promising, implementation of technologies value prediction model, and recommendation of promising technologies. In the first module, technologies promising is evaluated from three different and complementary dimensions; impact, fusion, and diffusion perspectives. The impact of technologies refers to their influence on future technologies development and improvement, and is also clearly associated with their monetary value. The fusion of technologies denotes the extent to which a technology fuses different technologies, and represents the breadth of search underlying the technology. The fusion of technologies can be calculated based on technology or patent, thus this study measures two types of fusion index; fusion index per technology and fusion index per patent. Finally, the diffusion of technologies denotes their degree of applicability across scientific and technological fields. In the same vein, diffusion index per technology and diffusion index per patent are considered respectively. In the second module, technologies value prediction model is implemented using artificial intelligence method. This studies use the values of five indexes (i.e., impact index, fusion index per technology, fusion index per patent, diffusion index per technology and diffusion index per patent) at different time (e.g., t-n, t-n-1, t-n-2,
The purpose of this thesis is to analyze characteristics of everyday movement showed in performances of Steve Paxton. A work of art has been realized as a special object enjoyed by high class people as high culture for a long time. Therefore, a gap between everyday life and art has been greatly existed, and the emergence of everyday elements in a work of art means that public awareness involving social change is changed. The postmodernism as the period when a boundary between art and everyday life is uncertain was a postwar society after the Second World War and a social situation that rapidly changes into a capitalistic society. Changes in this time made scholars gain access academically concepts related to everyday life, and affected artists as the spirit of the times of pluralistic postmodernism refusing totality. At the same period of the time, modern dance also faced a turning point as post-modern dance. After the Second World War, modern dance started to be evaluated as it reaches the limit, and at this juncture, headed by dancers including the Judson Dance Theatre. Acting as a dancer in a dance company of Merce Cunningham, Steve Paxton, one of founders of the Judson Dance Theatre, had a critical mind of the conditions of dance company with the social structure and the process that movement is made. This thinking is showed in early performances as an at tempt to realize everyday motion it self in performances. His early activity represented by a walking motion attracted attention as a simple motion that excludes all artful elements of existing dance performances and is possible to conduct by a person who is not a dancer. Although starting the use of everyday movement is regarded as an open characteristic of post-modern dance, advanced researches on this were rare, so this study started. In addition, studies related to Steve Paxton are skewed towards Contact Improvisation that he rose as an active practician. As the use of ordinary movement before he focused on Contact Improvisation, this study examines other attempts including Contact Improvisation as attempts after the beginning of his performances. Therefore, the study analyzes Satisfyin' Lover, Contact at 10th & 2nd and Bound that are performances of Steve Paxton, and based on this, draws everyday characteristics. In addition, related books, academic essays, dance articles and reviews are consulted to consider a concept related to everyday life and understand dance historical movement of post-modern dance. Paxton attracted attention because of his activity starting at critical approach of movement of existing modern dance. As walking of performers who are not dancers, a walking motion showed in Satisfyin' Lover gave esthetic meaning to everyday movement. After that, he was affected by Eastern ideas, so developed Contact Improvisation making a motion through energy of the natural laws. In addition, he had everyday things on his performances, and used a method to deliver various images by using mundane movement and impromptu gestures originating from relaxed body. Everyday movement of his performances represents change in awareness of performances of the art of dancing that are traditionally maintained including change of dance genre of an area. His activity with unprecedented attempt and experimentation should be highly evaluated as efforts to overcome the limit of modern dance.