• Management Science and Financial Engineering
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• 제22권1호
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• pp.13-20
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• 2016

We investigate the optimal consumption and investment problem when a working debtor has an option to file for bankruptcy. By applying the duality approach, the closed-form solutions are obtained for the case of CRRA utility function. The optimal bankruptcy time is determined by the first hitting time when the financial wealth hits the wealth threshold derived from the optimal stopping time problem. Moreover, the numerical results show that the investment increases as the wealth approaches the threshold and the value gain from the bankruptcy option is vanished as wealth increases.

• 인터넷정보학회논문지
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• 제15권3호
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• pp.91-100
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• 2014

IT 보안의 중요성으로 인해 IT 보안 솔루션의 성능 및 기업의 보안에 대한 투자는 꾸준히 증가하고 있지만, 보안 사고 발생으로 인한 기업의 금전적 손실 감소는 여전히 기대에 미치지 못하고 있는 상황이다. 보안 솔루션을 운영하고 있는 기업을 상대로 한 조사 결과에 따르면, 기업의 보안 솔루션에 대한 이해 부족과 잘못된 투자 전략이 기업의 투자 대비 보안 효율성 향상을 기대에 미치지 못하게 하는 주요한 원인으로 분석되었다. 본 논문에서는 기업의 보안 솔루션에 대한 잘못된 투자로 인한 투자 대비 보안 효율성 저하 문제를 해결하기 위한 보안 투자 결정 모델을 제안한다. 구체적으로는, IT 자산의 취약성 이용 공격으로 인한 조직의 피해 발생 이전에 보안 사고 예방이 가능한 사전 보안 솔루션(Proactive Security Solutions, PSSs)과 조직의 피해 발생 이후에 보안 사고를 조사 및 분석할 수 있는 사후 보안 솔루션 (Reactive Security Solutions, PSSs)에 대한 기업의 투자 방법론을 결정하기 위한 포괄적인 수학적 모델을 제안한다. 또한, 제안된 분석 모델을 사용하여 보안 솔루션의 다양한 매개 변수 영향력 아래에서 조직의 IT 보안 투자 예상 순 이익(expected net benefit)을 극대화하기 위한 최적의 방안을 모색한다.

• 충청수학회지
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• 제31권1호
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• pp.65-73
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• 2018

We investigate the optimal consumption and investment problem of working agent who faces tax system on consumption, labor income, savings and investment. By applying martingale method, we obtain the closed-form solutions so it is possible to verify the effect of tax system analytically.

• 대한전기학회논문지
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• 제38권8호
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• pp.585-592
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• 1989

This paper presents an efficient algorithm for the reactive planning of transmission network under normal operating conditions. The optimal operation of a power system is a prerequisite to obtain the optimal investment planning. The operation problem is decomposed into a P-optimization module and a Q-optimization module, but both modules use the same objective function of generation cost. In the investment problem, a new variable decomposition technique is adopted which can operate the operation and the investment variables. The optimization problem is solved by using the gradient projection method (GPM).

• 산업공학
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• 제24권4호
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• pp.396-407
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• 2011

We develop a cash management model in which firms face randomly occurred investment projects and retrieve investments upon the maturity of these projects. Using the Markov Decision Problem approach, we examine a control policy which dynamically adjusts the cash balance under the discounted cost criterion. The existence of an optimal policy is shown under some conditions. The optimal solution procedure is developed to find the optimal points and the optimal sizes for adjusting the cash balance. In numerical experiment, we investigate important structural properties of the optimal cash management policy.

• 대한산업공학회지
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• 제32권3호
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• pp.180-190
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• 2006

We evaluate the economic value and the optimal investment timing of IMT-2000 in Korea, in the perspective of a service provider who owns the business license for IMT-2000, by using the real options analysis. The result clearly shows the project value with options is positive and delaying the investment is more favorable to the provider. Binomial lattice approach, in which we try to describe American call option and sequential compound option, and sensitivity analysis present the optimal decisions according to future states and enable the management to make decision strategically and proactively.

• 한국경영과학회:학술대회논문집
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• 한국경영과학회 2004년도 추계학술대회 및 정기총회
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• pp.229-244
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• 2004

This study addresses the problem of flexible technology acquisition in multi-product market when demands are uncertain. We confine the concept of flexibility to the ability of manufacturing system to produce a number of different types of products, called product-mix flexibility type. And an analytical model in which economies of scope is incorporated explicitly as a feature of flexible technology is presented to find the optimal investment decision to acquire flexible technology and optimal production planning. The characteristics of optimal investment strategy related to capacity and production planning are discussed.

• 대한산업공학회지
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• 제31권2호
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• pp.135-142
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• 2005

This study addresses the problem of flexible technology acquisition in a multi-product market when demands are uncertain. We confine the concept of flexibility to the ability of manufacturing system to produce a number of different types of products, called a product-mix flexibility type. And an analytical model in which the economies of scope are incorporated explicitly as a feature of flexible technology is presented to find the optimal investment decision to acquire flexible technology and optimal production planning. The characteristics of optimal investment strategy related to capacity and production planning are discussed.

• 한국IT서비스학회지
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• 제18권5호
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• pp.155-164
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• 2019

With the emergence of new ICT technologies, information security threats are becoming more advanced, intelligent, and diverse. Even though the awareness of the importance of information security increases, the information security budget is not enough because of the lack of effectiveness measurement of the information security investment. Therefore, it is necessary to optimize the information security investment in each business environment to minimize the cost of operating the information security countermeasures and mitigate the damages occurred from the information security breaches. In this paper, using genetic algorithms we propose an investment optimization model for information security countermeasures with the limited budget. The optimal information security countermeasures were derived based on the actual information security investment status of SMEs. The optimal solution supports the decision on the appropriate investment level for each information security countermeasures.

• 기술혁신연구
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• 제16권1호
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• pp.191-213
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• 2008

This study investigates the effect of technology import and R&D investment on the value of the firm in Korea. The result shows that the technology import announcement effect of firms with a low R&D investment is higher than that of firms with a high R&D investment. The evidence suggests that technology import can substitute the existing R&D capability of the firm. In addition, the result shows that there is an optimal level of technology import and R&D investment to maximize the value of the firm. In particular, firms with a low R&D investment and a large amount of technology import experience the highest announcement effect. The study concludes that an adequate allocation of fim's capital between R&D investment and technology import is needed for firm's optimal technology strategy.