• Journal of the Korean Operations Research and Management Science Society
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• v.40 no.2
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• pp.1-17
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• 2015

In this paper, we propose a portfolio selection model utilizing a Markov chain for investing in the foreign exchange market based on market forecasts and exchange rate movement predictions. The proposed model is utilized to compute optimum investment portfolio weights for investing in margin-based markets such as the FX margin market. We further present an objective investment algorithm for applying the proposed model in real-life investments. Empirical performance of the proposed model and investment algorithm is evaluated by conducting an experiment in the FX market consisting of the 7 most traded currency pairs, for a period of 9 years, from the beginning of 2005 to the end of 2013. We compare performance with 1) the Dollar Index, 2) a 1/N Portfolio that invests the equal amount in the N target assets, and 3) the Barclay BTOP FX Index. Performance is compared in terms of cumulated returns and Sharpe ratios. The results suggest that the proposed model outperforms all benchmarks during the period of our experiment, for both performance measures. Even when compared in terms of pre- and post-financial crisis, the proposed model outperformed all other benchmarks, showing that the model based on objective data and mathematical optimization achieves superior performance empirically.

• Korean Medical Education Review
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• v.16 no.1
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• pp.42-49
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• 2014

The purposes of this study were to identify and analyze students' attitudes and satisfaction to the portfolio process and assessment for the Introduction to Clinical Medicine course at Ewha Womans University School of Medicine in Seoul, Korea. The subjects consisted of 64 medical school students. Questionnaires consisting of 20 5-point Likert-type items were developed, including three question domains: 1) orientation, 2) portfolios in general, 3) individualized feedback. The mean and median were found and frequency analysis was performed to identify the common characteristics of the participants. A major finding was that 54.7% of the respondents felt that the self-reflection involved in building the portfolio was a valuable learning experience. Plus, the majority of respondents perceived that the individualized feedback had a positive tone and its contents were specific, practical, and constructive. The students perceived that building and writing portfolios heightened their understanding of exit learning outcomes and enhanced their reflective thinking and self-directed learning skills. Meanwhile, some students perceived that there was too much paperwork in the portfolio process and that the process was time consuming. Furthermore, 32.8% of the respondents said that they had difficulty establishing their learning strategies by themselves and self-directing their learning during the portfolio process. In conclusion, it is expected that building a portfolio can help students not only to enhance their ability to accumulate and use their personal learning resources but also to develop the professional qualities required by doctors, such as self-directed learning, self-reflection, lifelong learning, team work, organizational skills, time management and prioritization, and professional thinking and behavior.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.14 no.11
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• pp.5809-5818
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• 2013

This study proposes a technology portfolio analysis method for technology outsourcing of pharmaceutical cooperations by applying the concepts of 'Pipeline Soundness' and 'Patent Validity'. This study also applied the developed portfolio analysis method to a 'real world case' of Amgen's acquisition of Onyx Pharmaceuticals to prove the applicability of the method to the real world cases and investigated the validity of the acquisition affair between the two companies. The results of portfolio analysis showed that Amgen's technology portfolio will be improved by acquiring Onyx Pharmaceuticals especially in cancer field which is their main field. So we concluded that Amgen's choice of Onyx pharmaceuticals as a source of technology outsourcing was reasonable. We think that the technology portfolio analysis method developed by this study will be a valuable tool for pharmaceutical cooperations for investigating their current technology status and selecting target companies for technology outsourcing.

• Journal of Families and Better Life
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• v.20 no.6
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• pp.151-162
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• 2002

The instability in the current financial market caused consumers a lot of difficulties in their financial decision making. The purpose of this study is to classify the changes in household portfolios during the economic crisis under IMF-trusteeship (IMF Crisis hereafter), and to examine the characteristics of the households according to the types of household portfolio changes. The data were taken from 1996 and 1999 Korean Household Panel Studies, and 1,293 households were selected for the final analysis. Methods of analysis included frequencies, percentages, Chi-square tests, F-tests, and t-tests. Major findings are as follows: 1. In the midst of the financial market changes during the period of the IMF crisis, consumers tended to manage their household portfolio differently according to their household characteristics. 2. The changes of household portfolio can be classified into two different types: the changed type (44.4%) and the unchanged type(55.6%). There are significant differences in the level of wealth, family life cycle stage, housing tenure, and the household head's job, between the changed type and the unchanged type. The family members of the unchanged type are more likely to be older and relatively wealthy compared with the families in the changed type. 3. The changes of household portfolio can be further classified into six different types: the unchanged-liquidity type (21%), the unchanged-multiplication type (24.6%), the unchanged-insurance type (9.8%), the changed-to-liquidity type (13.9%), the changed-to-multiplication type (13.0%), and the changed-to-insurance type (17.5%). There are significant differences in income level, wealth level, family life cycle stage, housing tenure, and the job of household head among the six types of changes.

• Journal of Industrial Convergence
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• v.20 no.2
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• pp.45-50
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• 2022

In this study, an e-portfolio system was constructed and utilized to communicate with students, while processing the overall procedure of teaching-learning activities as data for qualitative improvement in the non-face-to-face educational environment. The e-portfolio system was designed to support the entire process of reflection from the instructor's lesson planning, regular checking of the learner's understanding during the course operation process, online communication, and support for learner-centered educational activities. Analyzing the effectiveness of the communication-based learning effect between instructors and learners using the e-portfolio in liberal arts programming classes, which may be difficult for non-major students, a significant correlation was found in problem-solving skills, and midterm and final exams. Additionally, the result of analyzing the expanded applicability of e-portfolio satisfaction demonstrated a significant correlation with the students' computational thinking ability, test results, assignments, and academic performance. It was found to have a significant effect on the improvement of computational thinking ability. If non-face-to-face education is conducted using the proposed e-portfolio system type, it will be possible to improve the quality of online education, while communicating effectively with students.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 1987.10a
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• pp.28-29
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• 1987

• Korean Journal of Construction Engineering and Management
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• v.11 no.2
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• pp.54-63
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• 2010

Domestic construction companies suffer from the difficulty in financing in the wake of economic slump at home and abroad. In the periods of this economic slump, which hit the nation REITs, the facilitator of fluid financing and the stimulating of construction economic, has increasingly been expanded since its introduction in 2001. But, REITs relatively falls behinds any other nations, in terms of its growth speed and marketing volume. The purpose of this research thesis is to suggest the method for composing a portfolio using Markowitz portfolio selection models for stimulating REITs. Main contents are as follows. First, the thesis made the comparative analysis on profit increase in REITs investment in application of models by Markowitz and REITs derivatives from 2007/07/03 to 2008/07/21 during investment analysis periods. The result showed that total profits by Markowitz model amounted to about 10 percent higher than average profits of REITs derivatives. Second, this thesis made the analysis on sensitivity of data-gathering and portfolio change periods of the existing profits, in order to measure the both periods and yield optimum profits. The six month data-collecting periods of profits accounted for some 16% higher profits than profits of REITs derivatives. In case when the two week periods of portfolio change accounted for some 11% higher profits than profits of REITs derivatives.

• Journal of the Korean Data and Information Science Society
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• v.26 no.2
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• pp.323-334
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• 2015

he current VaR model based on the J.P. Morgan's RiskMetrics structurally can not reflect the future economic situation. In this study, we propose a One-factor model resulting from the Wiener stochastic process decomposed into a systematic risk factor and an idiosyncratic risk factor. Therefore, we are able to perform a preemptive risk management by means of reflecting the predicted common risk factors in the model. Stocks in the portfolio are satisfied with the independence to each other because the common factors are fixed by the predicted value. Therefore, we can easily determine the investment in each stock to minimize the variance of the portfolio. In addition, the portfolio VaR is decomposed into the sum of the individual VaR. So we can effectively implement the constitution of the portfolio to meet the target maximum losses.

• The Korean Journal of Applied Statistics
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• v.34 no.1
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• pp.39-56
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• 2021

Many researches have been done on portfolio optimization since Markowitz (1952) published a diversified investment model. Markowitz's mean-variance portfolio optimization problem is established under the assumption that the distribution of returns follows a normal distribution. However, in real life, the distribution of returns does not follow a normal distribution, and variance is not a robust statistic as it is heavily influenced by outliers. To overcome these potential issues, mean-shortfall portfolio model was proposed that utilized downside risk, shortfall, as a risk index. In this paper, we propose a perturbation method that uses the shortfall as a risk index of the portfolio. The proposed portfolio utilizes an adaptive Lasso to obtain a sparse and stable asset selection because it can reduce management and transaction costs. The proposed optimization is easily applicable as it can be computed using an efficient linear programming. In our real data analysis, we show the validity of the proposed perturbation method.

• Journal of Families and Better Life
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• v.17 no.4
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• pp.193-206
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• 1999

This study analyzed the household portfolio according to wealth levels using a survey data of 1997 Korea Household Panel Study. The major findings of this study are as follows: (1) A household in high wealth level has invested relatively large proportion of his asset into real estate (2) A household in middle wealth level has invested relatively large proportion of his asset into risky financial asset(3) A household in low wealth level has invested relatively large proportion of his asset into secure financial asset. These findings accorded with risky pyramid model.