• Management & Information Systems Review
• /
• v.29 no.4
• /
• pp.207-223
• /
• 2010

One of the important prudential regulations is the capital regulation. The current domestic and international capital regulation sets the minimum capital requirement according to the size of risk which is the simple sum of market risk and credit risk. However the portfolio theory suggests that, due to the effect of diversification, the total risk is less than the summation of market and credit risk. This paper investigates and does empirical test to verify the diversification effect in measuring financial firm's integrated risk. We verify the diversification effect between the market risk and credit risk. This paper's contribution is to present the empirical evidence that, considering the relationship between market and credit risk, the integrated risk is less than sum of them. This implication is that the surplus capital may be used for the other purposes, therefore enhancing capital allocation efficiency in view of society as a whole.

• Journal of the Earthquake Engineering Society of Korea
• /
• v.12 no.6
• /
• pp.47-53
• /
• 2008

This research focuses on the issue of seismic retrofit prioritization based on the Caltrans' highway network serving Los Angeles and Orange counties. Retrofit prioritization is one of most important problems in earthquake engineering, and it is a problem that most decision makers face in the process of resource allocation. This study demonstrates the methods of prioritized resource allocation in the process of retrofitting a regional highway network. For the criteria of a retrofit ranking, seismic vulnerability and the importance of network link are first introduced. Subsequently, link-based seismic retrofit cases are simulated, investigating the effects of the seismic retrofit in terms of seismic performance, such as driver's delay. In this study, probabilistic scenario earthquakes are used to perform a probabilistic seismic risk analysis. The results show that the retrofit prioritization can be differently defined and ranked depending on the stakeholders. This study provides general guidelines for prioritization strategy for the effective retrofitting of a highway network system.

• Journal of the Korean Society of Industry Convergence
• /
• v.27 no.2_2
• /
• pp.467-473
• /
• 2024

Metaheuristics' impact is profound across many fields, yet domestic financial portfolio optimization research falls short, particularly in asset allocation. This study delves into metaheuristics for portfolio optimization, examining theoretical and practical benefits. Findings indicate portfolios optimized via metaheuristics outperform the Dow Jones Index in Sharpe ratios, underscoring their potential to enhance risk-adjusted returns significantly. Tabu search, in comparison to Simulated Annealing, demonstrates superior performance by efficiently navigating the search space. Despite these advancements, practical application remains challenging due to the complexities in metaheuristic implementation. The study advocates for broader algorithmic exploration, including population-based metaheuristics, to refine asset allocation strategies further. This research marks a step towards optimizing portfolios from an extensive array of financial assets, aiming for maximum efficacy in investment outcomes.

• Journal of Haehwa Medicine
• /
• v.24 no.1
• /
• pp.15-24
• /
• 2015

Objectives : This study was carried out to assess the risk of bias of clinical trials on acne treatment with herbal medicine that have been published in Korea. Methods : 7 electronic databases in Korea were searched for clinical trials on acne treatment. Two independent reviewers selected clinical trials on herbal medicine treatment for acne. Selected studies are categorized according to DAMI(Study Design Algorithm for Medical literature of Intervention). RCTs are assessed according to Cochrane RoB(Risk of Bias), non-randomized studies(Before-after studies) are assessed according to RoBANS(Risk of Bias Assessment tool for Non-randomized Study). Results : After selection process, 25 articles are left. Among 25 articles, 3 RCTs and 4 before-after studies are finally included. In RCTs, the proportion of 'unclear' is high in criteria of 'random sequence generation', 'allocation concealment', and 'blinding'. In before-after studies, 'high' is high in criteria of 'blinding for outcome assessment' and 'incomplete outcome data'. Conclusions : Considering the above results of the assessment, it is necessary to conduct more well designed clinical trials on acne treatment with herbal medicine.

• Journal of Aerospace System Engineering
• /
• v.16 no.3
• /
• pp.52-62
• /
• 2022

In the SORA methodology developed for the operational risk assessment of a specific category of operation of a UAS, the ground and the air risk levels are determined, and a SAIL indicating the level of assurance and integrity for the corresponding risk is assigned, and accordingly, the operational safety level for the proposed operation. Objectives should be demonstrated at an appropriate level of robustness. Because of the nature of the specific category of operation, people on the ground are the first risk subjects to be considered. The resulting ground risk class plays an important role in the allocation of SAIL. In this paper, the impact on SAIL and OSO according to the final risk level and the reduction of the level through the determination of the ground risk level and the application of mitigation measures among risk assessments for specific categories of UAV operation was investigated.

• Journal of Technology Innovation
• /
• v.5 no.1
• /
• pp.206-222
• /
• 1997

The conventional analysis with which justifies government intervention of the private sector's innovation activities is the market failure approach. According to such analysis, fund allocation through autonomous market mechanisms is not optimal in technology financing because of the disparity between the desirable level of investment for society as a whole and that for private firms. To optimize the fund allocation, public policies such as subsidy, preferencial loan and venture capital investment programs are designed for technology development projects performed by private firms. They, however, have not been effective in increasing private investment for such projects. In most cases, it was found that little considerations given to the relationship between uncertainty embodied in technology development projects and each types of financing. With respect to optimizing fund allocation, technology development projects should be financed by different means according to their probability of success and the expected value of technology. Employing various theoretical models on financing decision-making we verify here that technology development projects to be supported by commercial banks or venture capital institutions is limited contingent upon levels of uncertainty adn expected value. Under the assumption that financial institutions are risk averse, loan or investment can be available only if the probability of success of the project is higher than the probability premium and the current market rate of interest. Therefore, the projects that have lower probability of success and/or small expected return are excluded from commercial loan or investment programs. However, the remaining projects, whose probability of success is low but with high expected return, may be applied under government subsidy programs. To achieve optimality of fund allocation and to activate technology financing, we conclude that there should be a systematic division of role among financial institutions including government commercial banks, and venture capital institutions.

• Journal of Korean Society for Quality Management
• /
• v.51 no.2
• /
• pp.171-184
• /
• 2023

Purpose: First, this paper suggests an alternative approach to find optimal portfolio (stocks, bonds and ESG stocks) under the maximizing utility of investors. Second, we include ESG stocks in our optimal portfolio, and compare improvement of welfares in the case with and without ESG stocks in portfolio. Methods: Our main method of analysis follows Brennan et al(2002), designed under the continuous time framework. We assume that the dynamics of stock price follow the Geometric Brownian Motion (GBM) while the short rate have the Vasicek model. For the utility function of investors, we use the Power Utility Function, which commonly used in financial studies. The optimal portfolio and welfares are derived in the partial equilibrium. The parameters are estimated by using Kalman filter and ordinary least square method. Results: During the overall analysis period, the portfolio including ESG, did not show clear welfare improvement. In 2017, it has slightly exceeded this benchmark 1, showing the possibility of improvement, but the ESG stocks we selected have not strongly shown statistically significant welfare improvement results. This paper showed that the factors affecting optimal asset allocation and welfare improvement were different each other. We also found that the proportion of optimal asset allocation was affected by factors such as asset return, volatility, and inverse correlation between stocks and bonds, similar to traditional financial theory. Conclusion: The portfolio with ESG investment did not show significant results in welfare improvement is due to that 1) the KRX ESG Leaders 150 selected in our study is an index based on ESG integrated scores, which are designed to affect stability rather than profitability. And 2) Korea has a short history of ESG investment. During the limited analysis period, the performance of stock-related assets was inferior to bond assets at the time of the interest rate drop.

• The Transactions of the Korean Institute of Electrical Engineers P
• /
• v.64 no.4
• /
• pp.220-230
• /
• 2015

Rolling stock RAMS is a field of engineering which integrates reliability, availability, maintainability and safety (RAMS) characteristics into an inherent product design property through rolling stock system engineering process. It is implemented to achieve operational objectives successfully, and recently the RAMS has become a rapidly growing engineering discipline because it has a great potential to ensure safety and improve cost effectiveness. However, the Korean rolling stock industry has not yet implemented RAMS management in the rolling stock engineering process, despite the issue having been addressed since the introduction of the KTX. Thus, this paper discusses the processes, methods and techniques for RAMS assessment in three parts. Firstly, it outlines a process of the overall RAMS performance assessment for achieving technical RAMS design criteria. Secondly, it discusses a process for assessing the operational RAM and allocating the RAM. This paper also proposes a model for assessing safety-based risk management, which includes five analytic techniques for identifying the causes and consequences of a system failure. Finally, a case example is provided for the risk assessment of the pneumatic braking device.

• Journal of odor and indoor environment
• /
• v.17 no.4
• /
• pp.322-329
• /
• 2018

The objective of this study is to identify the research trend in the field of indoor environment in Korea. We collected 419 papers published in the Journal of the Korean Society for indoor environment between 2004 and 2018, and attempted to produce datasets using a topic modeling technique, Latent Dirichlet Allocation(LDA). The result of topic modeling showed that 8 topics ("VOCs investigation", "Subway environment", "Building thermal environment", "School health", "Building particulate matter", "Asbestos risk", "Radon risk", "Air cleaner and treatment") could be extracted using Gibbs sampling method. In terms of topic trends, investigation of volatile organic compounds, subway environment, school health, and building particulate matter showed a decreasing tendency, while the building thermal environment, asbestos risk, radon risk, air cleaners, and air treatment showed an increasing tendency. The results of this topic modeling could help us to understand current trends related indoor environment, and provide valuable information in developing future research and policy frameworks.

• Asia-Pacific Journal of Business
• /
• v.13 no.2
• /
• pp.123-138
• /
• 2022

Purpose - This study compares the performances of dynamic asset allocation strategies using Korean stocks and U.S. dollar, which have been negatively correlated for a long time, to examine the diversification effects in the portfolios of them. Design/methodology/approach - In the current study, we use KOSPI200 index, as a proxy of the aggregated portfolio of Korean stocks, and USDKRW foreign exchange rate to implement various portfolio management strategies. We consider the equally-weighted, risk-parity, minimum variance, most diversified, and growth optimal portfolios for comparison. Findings - We first find the enhancement of risk adjusted returns due to risk reduction rather than return increasement for all the portfolios of consideration. Second, the enhancement is more pronounced for the trading strategies using correlations as well as volatilities compared to those using volatilities only. Third, the diversification effect has become stronger after the global financial crisis in 2008. Lastly, we find that the performance of the growth optimal portfolio can be improved by utilizing the well-known momentum phenomenon in stock markets to select the length of the sample period to estimate the expected return. Research implications or Originality - This study shows the potential benefits of adding the U.S. dollar to the portfolios of Korean stocks. The current study is the first to investigate the portfolio of Korean stocks and U.S. dollar from investment perspective.