• Journal of Information Technology Services
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• v.22 no.4
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• pp.81-95
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• 2023

The emergence of Security Token has revolutionized the way assets are traded, bringing efficiency, transparency, and accessibility to the market. However, the Real Estate Security Token market faces challenges, particularly in terms of liquidity. The CMTO(Collateralized Mortgage Token Obligation) model addresses this issue by introducing a novel approach that combines the benefits of NFT(Non-Fungible Token), STO(Security Token Offering), and CMO(Collateralized Mortgage Obligation) techniques to enhance liquidity and promote investment in Real Estate Security Token. The CMTO framework functions by allowing DABS token investors to leverage their tokens as collateral for loans. These token-collateralized loans are pooled together and form the basis for issuing Sequential CMO named CMTO. The CMTO represent a diversified portfolio of token-collateralized loans, providing investors with options based on their financial goals and risk preferences. By implementing CMTO, the Real Estate Security Token market can overcome liquidity challenges, attract a broader range of investors, and unlock the full potential of digital assets in the real estate industry.

• Proceedings of the Korea Information Processing Society Conference
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• 2020.05a
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• pp.439-441
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• 2020

기존의 균등배분, 마코위츠, Recurrent Reinforcement Learning 방법들은 수익들을 최대화하거나 위험을 최소화하고, Risk Budgeting 방법은 각 자산에 목표 리스크를 배분하여 최적의 포트폴리오를 찾는다. 그러나 이 방법들은 미래의 최적화된 포트폴리오를 잘 찾아주지 못하는 문제점들이 있다. 본 논문은 자산 배분을 위한 Deterministic Policy Gradient 기반의 Actor Critic 모델을 개발하였고, 기존의 방법들보다 성능이 우수함을 검증한다.

• Journal of Korea Port Economic Association
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• v.39 no.1
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• pp.115-129
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• 2023

This study analyzed the risk spillover of BDI on shipping company stock prices through the Copula-CoVaR method based on daily data from January 4, 2010, to October 31, 2022. The main empirical analysis results and policy implications are as follows. First, copula results showed that there was a weak dependence between BDI and shipping company stock prices, and PAN, KOR, and YEN were selected as the most fitting model for dynamic Student-t copula, HMM was selected as the rotated Gumbel copula, and KSS was selected as the best model. Second, in the results of CoVaR, it was confirmed that the upside (downside) CoVaR was significantly different from the upside (downside) VaR in all shipping companies. This means that BDI has a significant risk spillover on shipping companies. In addition, as for the risk spillover, the downside risk is generally lower than the upside risk, so the downside and upside risk spillover were found to be asymmetrical. Therefore, policymakers should strengthen external risk supervision and establish differentiated policies suitable for domestic conditions to prevent systematic risks from BDI shocks. And investors should reflect external risks from BDI fluctuations in their investment decisions and construct optimal investment portfolios to avoid risks. On the other hand, investors propose that the investment portfolio should be adjusted in consideration of the asymmetric characteristics of up and down risks when making investment decisions.

• Environmental and Resource Economics Review
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• v.23 no.4
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• pp.583-615
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• 2014

Including the rolling black out in 2011, Korea has suffered from rapid increase of electricity consumption and demand forecasting failure for last five years. In addition, because of the Fukushima disaster, high fuel prices, and introduction of new generation sources such as renewables, the uncertainty on a power supply strategy increases. Consequently, a stable power supply becomes the new agenda and a revisino of strategy for new power generation sources is needed. In the light of this, we appraises the sixth basic plan for long term electricity demand and supply considering the changes of foreign and domestic conditions. We also simulate a strategy for the new power generation sources using a portfolio analysis method. As results, a diversity of power generation sources will increase and the share of renewable power generation will be surged on the assumptions of a cost reduction of renewable power sources and an increase of fuel costs. Particularly, on the range of a risk level(standard deviation) from 0.06 and 0.09, the efficient frontier has the most various power sources. Besides, the existing power plan is not efficient so that an improvement is needed. Lastly, the development of an electricity storage system and energy management system is necessary to make a stable and efficient power supply condition.

• Journal of Venture Innovation
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• v.1 no.1
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• pp.83-98
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• 2018

This paper makes a theoretical approach to the differences between transaction tax and capital gains tax when the financial instruments are traded and imposed taxes in K-OTC market, a newly emerging off-board market. Since it is difficult to reduce risk to the level which investors would like to pursue - depending on the taxation methods of portfolio-composed financial instruments - when it comes to forming a synthetic bond to hedge risk, this paper also seeks for effective taxation methods to make this applicable. First of all, to thoroughly review the taxation balance of synthetic bonds, this paper analyzed the effects of the transaction tax and capital gains tax imposed upon synthetic bonds according to the changes in final stock price and strike price in K-OTC market, and analyzed after-tax profit differences among them depending on whether income tax deduction took place or not. As a result of the research upon the tax gap in transaction tax and capital gains tax according to the changes of final stock prices, it was shown that imposing transaction tax is more likely to be effective for some level of risk hedging with replicating portfolio considering taxation policies and financial markets, since the effect of the transaction tax has a much lower tax gap than that of capital gains tax. In addition, in relation to whether income tax deduction was permitted or not, it was proved that the effect of the transaction tax and the capital gains tax vary depending on the variation in the strike price. Above all, it was shown that if the strike price is lower than the stock price, the transaction tax will be less affected by the existence of income tax deduction than the capital gains tax, while both will be equally affected by the existence of income tax deduction if the strike price is higher than the stock price. Further study would be to demonstrate the validation of this in the K-OTC market with actual financial instruments and, also, to seek for a more systematic hedging method by using a ratio analysis approach to the calculation of the option transaction tax

• Journal of the Korean Data and Information Science Society
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• v.28 no.1
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• pp.119-130
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• 2017

In many literatures on VaR and CTE for multivariate distribution, these are estimated by using transformed univariate distribution with a specific ratio of many kinds of portfolios. Even though there are lots of works to define quantiles for multivariate distributions, there does not exist a quantile uniquely. Hence, it is not easy to define the VaR and CTE. In this paper, we propose the weighted CTE vectors corresponding to various ratio combinations of many kinds of portfolios by extending the researches on the alternative VaR and integrated multivariate CTE based on multivariate quantiles. We extend relation equations about univariate CTEs to multivariate CTE vectors and discuss their characteristics. The proposed weighted CTEs are explored with some data from multivariate normal distribution and illustrative examples.

• The Korean Journal of Financial Management
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• v.9 no.1
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• pp.223-262
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• 1992

This paper develops a theory of the demand for insurance. The present model incorporates insurance demand time value of insurance premium, and demand for listless and risky assets simultaneously within the expected utility framework. For a special case of CARA, an insurance decision can be made separately from other portfolio decisions. However, in general, the interactions of both decisions cannot be ignored even when insurable and speculative risks are stochastically independent. In particular, the role of risky investment in hedging insurable risk is demonstrated and it is shown that this role cannot be duplicated by an insurance contract. When the investment decision is made simultaneously with the insurance decision, some of the classic theory on insurance should be modified. As an example, the authors characterize the sufficient conditions, under which the Bernoulli criteria (without and with premium loadings) hold or are violated in terms of the net gain of risky investment, the net cost of insurance, and the stochastic relationship between insurable and speculative risks. The authors interpret the results using the Rothschild and Stiglitz's (1970) notion of 'increase in riskiness'.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.17 no.2
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• pp.195-205
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• 2022

This study aims to investigate the relationship between Corporate Venture Capital(CVC) investments and firm innovation, exploring the moderating effect of corporate ESG risk on this relationship. First, adopting the organizational learning theory, I theorize a process in which a firm's relationship with a venture through CVC investments acts as an external innovation source for learning and ultimately short-term innovation. Also, based on the discussion of the stakeholder theory, I argue that when a firm is evaluated as having high ESG risk externally, this may have a negative moderating effect that weakens the relationship between CVC investments and innovative performance. In order to verify these hypotheses, panel data analysis was performed using CVC investments data, patent application data, and ESG risk scores of US high-tech firms from 1993 to 2018. As a result of the analysis, as expected, it was found that the more the firm invests in ventures through CVC, the more the firm's innovative performance increases. In addition, the social aspect of ESG risk of a firm, related to the local community and employees, were found to weaken the association between CVC investments and innovative performance. This study expands the understanding of existing research on CVC investments as a vehicle for learning and innovation. Focusing on the importance of relationship with ventures rather than the size of CVC investments, I empirically examined that the formation of CVC relationships with ventures is directly related to the short-term innovation of investing firms. Additionally, this study contributes to the CVC literature by including stakeholders in the current discussion in addition to investing firms and portfolio ventures. Finally, this study investigated how ESG issues, which are attracting attention as playing an important role in firm activities, are related to CVC investments.

• The Korean Journal of Financial Management
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• v.8 no.1
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• pp.123-137
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• 1991

This paper developes a multiperiod trading model of securities price formation which extends the notion of market created risk introduced by Kraus and Smith [1989]. It is shown that stock price volalitility can depend on combinations of market parameters known to the market participants only imperfectly. Resulting portfolio rebalancing equilibria generate self-justifying price movements while market fundamental remain unchanged.

• KDI Journal of Economic Policy
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• v.33 no.1
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• pp.93-124
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• 2011

In this paper, we claim the asymmetric response of asset returns on the past asset returns' signs may be explained from the market behavioral portfolio choice of investors. For this, we admit the anchor and adjustment mechanism of investors which partly explains the momentum in the asset prices. We also claim the prospect theory based on the risk aversions may simultaneously work with the anchor and adjustment effect, whenever the lagged asset return was positive and investors accrued the gain. To identify these effects empirically in a threshold autoregressive model, we suppose the risk aversions inducing the volatility effect is related with the past volatility of asset returns. In application of suggested method to Korean stock and real estate markets, we found these effect exist as expected.