• The Journal of the Korea Contents Association
• /
• v.17 no.5
• /
• pp.285-304
• /
• 2017

This paper introduces household's decision for schooling and firm's decision for technology-specific training together into the second generation model of endogenous innovation, and analyses how schooling and technology-specific training interact each other, how they respectively affect innovation and economic growth, and also how the portfolio mix of schooling and technology-specific training changes as economy becomes more innovative. Main results are as follows: First, schooling and technology-specific training both have "inverted-U"shape growth effects. Second, schooling investment per labor required for growth maximization is always greater than that for firm profit maximization. Third, the optimal schooling for growth maximization decreases with technology-specific training. Fourth, the schooling effect on technology-specific training is "U"shaped, so that for firm's profit maximization schooling is substitutable for technology-specific training at the relatively lower level of schooling but complementary at its relatively higher level. Fifth, as economy becomes more innovative, the portfolio mix of education changes in favor of schooling.

• Journal of Korean Society of Industrial and Systems Engineering
• /
• v.46 no.4
• /
• pp.152-159
• /
• 2023

This study endeavors to enrich investment prospects in cryptocurrency by establishing a rationale for investment decisions. The primary objective involves evaluating the predictability of four prominent cryptocurrencies - Bitcoin, Ethereum, Litecoin, and EOS - and scrutinizing the efficacy of trading strategies developed based on the prediction model. To identify the most effective prediction model for each cryptocurrency annually, we employed three methodologies - AutoRegressive Integrated Moving Average (ARIMA), Long Short-Term Memory (LSTM), and Prophet - representing traditional statistics and artificial intelligence. These methods were applied across diverse periods and time intervals. The result suggested that Prophet trained on the previous 28 days' price history at 15-minute intervals generally yielded the highest performance. The results were validated through a random selection of 100 days (20 target dates per year) spanning from January 1st, 2018, to December 31st, 2022. The trading strategies were formulated based on the optimal-performing prediction model, grounded in the simple principle of assigning greater weight to more predictable assets. When the forecasting model indicates an upward trend, it is recommended to acquire the cryptocurrency with the investment amount determined by its performance. Experimental results consistently demonstrated that the proposed trading strategy yields higher returns compared to an equal portfolio employing a buy-and-hold strategy. The cryptocurrency trading model introduced in this paper carries two significant implications. Firstly, it facilitates the evolution of cryptocurrencies from speculative assets to investment instruments. Secondly, it plays a crucial role in advancing deep learning-based investment strategies by providing sound evidence for portfolio allocation. This addresses the black box issue, a notable weakness in deep learning, offering increased transparency to the model.

• Communications for Statistical Applications and Methods
• /
• v.24 no.5
• /
• pp.507-518
• /
• 2017

Volatility plays a crucial role in theory and applications of asset pricing, optimal portfolio allocation, and risk management. This paper proposes a combined model of autoregressive moving average (ARFIMA), generalized autoregressive conditional heteroscedasticity (GRACH), and skewed-t error distribution to accommodate important features of volatility data; long memory, heteroscedasticity, and asymmetric error distribution. A fully Bayesian approach is proposed to estimate the parameters of the model simultaneously, which yields parameter estimates satisfying necessary constraints in the model. The approach can be easily implemented using a free and user-friendly software JAGS to generate Markov chain Monte Carlo samples from the joint posterior distribution of the parameters. The method is illustrated by using a daily volatility index from Chicago Board Options Exchange (CBOE). JAGS codes for model specification is provided in the Appendix.

• Korean Journal of Mathematics
• /
• v.22 no.3
• /
• pp.529-552
• /
• 2014

As we know, some indices and data are strong influence to the price movement of some assets now, but not to another assets and in future. Thus we define some asset models for several time intervals; intraday, weekly, monthly, and yearly asset models. We define these asset models by using Brownian motion with volatility and Poisson process, and several deterministic functions(index function, twitter data function and big-jump simple function etc). In our asset models, these deterministic functions are the positive or negative levels of auxiliary indices, of analyzed data, and for imminent and extreme state(for example, financial shock or the highest popularity in the market). These functions determined by indices, twitter data and shocking news are a kind of one of speciality of our asset models. For reasonableness of our asset models, we introduce several real data, figurers and tables, and simulations. Perhaps from our asset models, for short-term or long-term investment, we can classify and reference many kinds of usual auxiliary indices, information and data.

• Proceedings of the KIEE Conference
• /
• 2015.07a
• /
• pp.455-456
• /
• 2015

2010년 민간 기업의 1,000 MW 규모 석탄 화력 발전소가 전력수급 기본계획에 최초로 반영된 이래로 이들이 해결해야 하는 가장 큰 난제는 RPS 제도 도입과 그에 따른 REC 공급의무이다. 만약 민간 석탄 발전소들이 REC 공급의무를 불이행하게 된다면, 막대한 과징금이 부과되기 때문에 이들의 전력생산 비용함수는 이를 반영하여 수정되어야 한다. 더 나아가 REC 공급의무는 발전량에 따라 결정되기 때문에, 민간 발전사업자가 자신의 REC 공급의무 이행능력이 부족하다고 판단할 경우 자체적으로 발전량을 감축하여 과징금을 낮추는 전략을 선택할 수 있다. 본 논문에서는 RPS 제도 도입에 따른 민간 석탄 발전소의 비용함수 변화와 이윤(수익) 극대화를 위하여 발전량을 감소시키는 메커니즘을 분석하였다.

• Journal of the Korean Institute of Illuminating and Electrical Installation Engineers
• /
• v.26 no.7
• /
• pp.30-38
• /
• 2012

Recently, interests in renewable energy have gradually increased. Photovoltaic system of various renewable energy is the most interest in power sources. Nowadays, the market of photovoltaic system is expected to be expanded due to the introduction of RPS(Renewable Portfolio Standard). Floating photovoltaic system is a new power system using the water surface above the dam and reservoir water. Floating photovoltaic system is different from the traditional approach to the development of solar power system causing problems such as environmental degradation. This paper investigates the analysis methods of suitable site for the development of floating photovoltaic system. The A,B,C as the optimal candidates were selected in hap cheon dam. The C is the best suitable site in A,B,C considering the expected power generation. Applied methods have effectively done to develop floated photovoltaic system.

• Journal of the Korea Safety Management & Science
• /
• v.8 no.5
• /
• pp.71-84
• /
• 2006

In order to apply job performance records to the master craftsman examination, which is an examination to screen the top-rated technician and task manager, the domestic industry has introduced job performance records to the written test of the master craftsman examination. Surveys on master craftsman's field capabilities and applicability are being conducted, and various qualification methods are being tested so as to give satisfaction to consumers in industrial fields. However, these methods have many problems in assessing task managers' qualifications. In order to solve these problems, this research intends to verify the appropriateness of introducing master craftsman's portfolios assessment and the suitability of application methods by conducting interviews and surveys. One big conglomerate and one mid-sized company that has more than 500 employees and covers from 주조(酒造:brewing) 또는 to providing various services to consumers were selected for this research.

• International conference on construction engineering and project management
• /
• 2005.10a
• /
• pp.424-428
• /
• 2005

As the application of NPM in waste administration branch this paper proposes a new waste management method in order to increase the efficiency of resources and reduce the quantity of waste. First the matrix method is suggested which comprehensively consider and integrate the proposals of different government departments. Moreover the inhabitant's attitude toward the new waste management measures was investigated. Based on the investigation the evaluation function was made, which include three elements: necessary budget, the effect of cost decrease and the environmental burden decrease. The optimal method of budget allocation to maximize social welfare is proposed under the condition of limited budget by the evaluation function. By applying this system further local governments will be able to determine their adequate service level and budget size.

• Korean Journal of Construction Engineering and Management
• /
• v.2 no.2 s.6
• /
• pp.68-80
• /
• 2001

While opportunities for international construction firms have been growing with globalization, the risk of international construction projects is significantly increasing in severity and complexity. However, the traditional risk management approach in the construction industry has maintained a profit focus. In addition, this approach has not considered the overall risk at the corporate level, but rather has focused only on the risk of individuals at the project level. Corporate risk management should be implemented from the initial stages of new project selection. This paper suggests the Multi-criteria Integrated Systematic Analysis as a strategic decision-making tool for international construction contractors. The model integrates the multi-criteria of risk, return, and efficiency to choose the optimal set of new portfolios at the corporate level. This model also introduces the Value at Risk (VaR) concept to the international construction industry to present the total risk at the corporate level. To validate this model, this paper tested an experimental case study using the historical data of a global general contractor.

• Korean Journal of Construction Engineering and Management
• /
• v.16 no.6
• /
• pp.144-155
• /
• 2015

This paper is to understand investment's efficiency and performance of commercial real estate assets diversified by use and district. To do so, this paper divides two different commercial real estate markets(office build market and retail real estate market) in Seoul city by district into "GBD(Gangnam Business District), YBD(Yeouido Business District), and CBD(Central Business District)" and "GBD(Gangnam Business District), SBD(Shinchon Business District), and CBD(Central Business District)" respectively, configures these districts each other to structure portfolios as its portion varies based on Markowitz's Mean-Variance principle, and looks at risk-return relationship of portfolios to find out efficiency, performance, and optimal investment chosen based upon Sharpe's Performance Index. As a result, the portfolio configured by "10 to 30% of office building asset at CBD" and "70 to 90% of retail real estate asset at CBD" is shown to be the most optimal, suggesting the highest quarterly Sharpe's performance index of 2.7118~2.7776 with quarterly rate of return of 1.826%~1.838% and quarterly standard deviation of 0.573~0.589. Furthermore, it is obvious that diversified portfolio configured by use(office-retail) shows better investment performance than that by district with same type of asset(office-office or retail-retail). Finally, results driven from this research will play an important role to stimulate real estate and construction markets through enlarging ideas as to diversified investment by use and district on real estate indirect investment products.