• Title/Summary/Keyword: Portfolio analysis

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ASYMPTOTIC ANALYSIS FOR PORTFOLIO OPTIMIZATION PROBLEM UNDER TWO-FACTOR HESTON'S STOCHASTIC VOLATILITY MODEL

  • Kim, Jai Heui;Veng, Sotheara
    • East Asian mathematical journal
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    • v.34 no.1
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    • pp.1-16
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    • 2018
  • We study an optimization problem for hyperbolic absolute risk aversion (HARA) utility function under two-factor Heston's stochastic volatility model. It is not possible to obtain an explicit solution because our financial market model is complicated. However, by using asymptotic analysis technique, we find the explicit forms of the approximations of the optimal value function and the optimal strategy for HARA utility function.

A Study on Typology of Alliance Portfolio Strategy by Korean Manufacturer (한국제조기업의 국내외 제휴 포트폴리오 전략 유형에 관한 연구)

  • Choi, Won-Woong;Yu, Cheon;Jung, Hun-Joo
    • International Area Studies Review
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    • v.20 no.4
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    • pp.121-145
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    • 2016
  • The purpose of this study is to identify the strategy of alliance portfolio and to compare the firm's characteristics and internal capabilities of each strategy for the successful utilization of alliance. We conducted a cluster analysis and ANOVA on 477 samples, which have alliance experience among the manufacturers responding to the Business Survey by Statistical Office in both 2012 and 2013. As a result of the analysis, it was found that firms have alliance portfolio based on strategy such as exploration, exploitation, and ambidextrity. There are statistically significant differences in the number of patents, technology capability, marketing capability, and global capability among the alliance portfolio strategy type.

Comparison of Investment Performance in the Korean Stock Market between Samsung-Group-Funds and Markowitz's Portfolio Selection Model Using Nonlinear Programming (한국 주식시장의 삼성그룹주펀드들과 비선형계획법을 이용한 마코위츠의 포트폴리오 선정 모형의 투자 성과 비교)

  • Kim, Seong-Moon;Kim, Hong-Seon
    • Proceedings of the Korean Operations and Management Science Society Conference
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    • 2008.10a
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    • pp.76-94
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    • 2008
  • This paper investigates performance of the Markowitz's portfolio selection model with applications to Korean stock market. We choose Samsung-Group-Funds and KOSPI index for performance comparison with the Markowitz's portfolio selection model. For the most recent one and a half year period between March 2007 and September 2008, KOSPI index almost remains the same with only 0.1% change, Samsung-Group-Funds shows 20.54% return, and Markowitz's model, which is composed of the same 17 Samsung group stocks, reaches 52% return. We perform sensitivity analysis on the duration of financial data and the period of portfolio change in order to maximize the return of portfolio. In conclusion, according to our empirical research results with Samsung-Group-Funds, investment by Markowitz's model, which periodically changes portfolio by using nonlinear programming with only financial data, outperforms investment by the fund manager who possesses rich experiences on stock trading and actively changes portfolio based on minute-by-minute market news and business information.

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A Survey of Student Satisfaction with a Portfolio Process and Assessment (포트폴리오 과정 및 평가에 대한 학생의 만족도조사)

  • Yoo, Dong-Mi;Han, Jae-Jin;Eo, Eun-Kyung
    • 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.

The Effect of 'Learning Strategies and Career Development' Classes for Freshman - Focused on Utilization of the Learning Portfolio - (학습 포트폴리오를 통한 '학습전략과 진로탐색' 교과목의 개선 효과 - A대학교 교양필수과목 사례를 중심으로-)

  • Han, Ahnna
    • Korean Journal of General Education
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    • v.6 no.1
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    • pp.241-267
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    • 2012
  • The purpose of this study was focused on finding out the effect of "Learning Strategies and Career Development" classes for first year student. To this end, I developed the learning portfolio based instructional method, textbook, learning portfolio, teaching guidebook and teaching materials. For the study, I conducted literature reviews, analysis of domestic and international best practices, expert advices and survey researches. This study implemented on 3,200 freshman and 72 professors of A university that is located at Gyungbuk. The results of applying research findings show that learning portfolio based instruction in "Learning Strategies and Career Development" classes is useful to improve first year students' competency of learning strategies and career search. And instructors can use the learning portfolio, teaching guidebook and teaching materials, therefore they are satisfied with the materials.

A Design of Digital Portfolio Assessment System in Ubiquitous Computing (유비쿼터스 컴퓨팅 환경에서 디지털 포트폴리오 평가 시스템 설계)

  • Park, Jung-Hwan
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.9 no.1
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    • pp.214-220
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    • 2008
  • This study aims to design a digital portfolio assessment system in ubiquitous computing(DPASUbi). To achieve that goal, the following issues were worked: Review of various theoretical discussions on portfolio and an analysis of existing programs to select elements to be included in the DPASUbi. Educational evaluation scenarios for the DPASUbi were developed based on the elements. The system was designed on reflecting these elements, that is, learning activities, assessment and usage of portfolio, ubiquitous technology and database. This system will provide guidance on what methods and assessment procedures should be applied in the ubiquitous computing environment totally different from the conventional one. Also, The new system will be helpful in indicating what kind of techniques should be required in the real educational evaluation.

Effects of Additional Constraints on Performance of Portfolio Selection Models with Incomplete Information : Case Study of Group Stocks in the Korean Stock Market (불완전 정보 하에서 추가적인 제약조건들이 포트폴리오 선정 모형의 성과에 미치는 영향 : 한국 주식시장의 그룹주 사례들을 중심으로)

  • Park, Kyungchan;Jung, Jongbin;Kim, Seongmoon
    • Korean Management Science Review
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    • v.32 no.1
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    • pp.15-33
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    • 2015
  • Under complete information, introducing additional constraints to a portfolio will have a negative impact on performance. However, real-life investments inevitably involve use of error-prone estimations, such as expected stock returns. In addition to the reality of incomplete data, investments of most Korean domestic equity funds are regulated externally by the government, as well as internally, resulting in limited maximum investment allocation to single stocks and risk free assets. This paper presents an investment framework, which takes such real-life situations into account, based on a newly developed portfolio selection model considering realistic constraints under incomplete information. Additionally, we examined the effects of additional constraints on portfolio's performance under incomplete information, taking the well-known Samsung and SK group stocks as performance benchmarks during the period beginning from the launch of each commercial fund, 2005 and 2007 respectively, up to 2013. The empirical study shows that an investment model, built under incomplete information with additional constraints, outperformed a model built without any constraints, and benchmarks, in terms of rate of return, standard deviation of returns, and Sharpe ratio.

The Effect of Science-based STEAM Program using a Portfolio on Elementary Students' Formation of Science Concepts (포트폴리오를 활용한 과학 기반 STEAM 수업이 초등학생들의 과학 개념 형성에 미치는 영향)

  • Kang, Juhee;Ju, Eun Jeong;Jang, Shinho
    • Journal of Korean Elementary Science Education
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    • v.32 no.4
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    • pp.593-606
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    • 2013
  • The purpose of this study was to examine the effect of science-based STEAM program using a portfolio on elementary students' formation of science concepts and investigate students' opinion about the program. The developed program was applied to 1 experimental class(10 boys and 12 girls) and general science lessons, using a science textbook, was applied to 1 controlled class(11 boys and 13 girls) of $5^{th}$ grade students at S elementary school in Seoul through a total 6 sessions. Concept tests of the solar system were conducted before and after lessons and analysis of covariance was conducted. The results of this study were as follows. First, science-based STEAM program using a portfolio was effective to form science concepts. Second, students opinion about science-based STEAM program using a portfolio was positive. Students think the program was effective in understanding science contents, promoting thinking, self-motivation. It is expected that this study will be basic material to expand STEAM in science education.

An analysis of technology portfolio for the car navigation system using QFD (QFD를 활용한 차량항법 기술 포트폴리오 분석)

  • Jin, Heui-Chae;Kim, Hun
    • Journal of Korea Spatial Information System Society
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    • v.9 no.3
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    • pp.81-89
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    • 2007
  • We analyzed the technology portfolio matrix for the car navigation technology using QFD method and accordingly suggested the navigation technology development direction. QFD is a useful tool to analyze the customer demands and the technologies. Depending on the survey results from the latent customers and the technology capabilities from the study of the national institutions, we suggested technology portfolio matrix. The visual HMI technology, safe driving support technology, and the navigator information management technology are the most prospective area for R&D investment according to the portfolio matrix.

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