• 재무관리연구
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• 제2권1호
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• pp.21-34
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• 1986

The purpose of this study is to analyse the risk and uncertainty involved in the capital budgeting which is executed in long periods and requires massive capital expenditure. Under risk and uncertainty conditions, the estimates in the capital budgeting are random variables rather than known constants. Two approaches have emerged in performing economic analysis that explicitly incorporate risk and uncertainty conditions in the analysis. One approach is to develop a descriptive model which describes the economic performance of an individual investment alternative. But no recomendation would be forthcoming from the model. Rather, the decision-maker would be furnished descriptive information concerning each alternative; the final choice among the alternatives would required a separate action. The second approach is to develop a normative model which includes an objective function to be maximized or minimized. The output from the model prescribes the course of action to be taken. Owing to the fact that the normative approach considers the fitness of criteria for decision-making its reasonableness looks better. But it is almost imposible that we correctly and easily derive the individuals' utility function. So within we recognize the limits of the descriptive methods, it is more practicle to analyse the investment alternatives by sensitivity analysis.

• 아태비즈니스연구
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• 제13권4호
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• pp.163-175
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• 2022

Purpose - This study introduces a methodology for finding the optimal tracking error of active stock funds. Tracking error is commonly used in risk budgeting techniques as a concept of cost for alpha creation. Design/methodology/approach - This study uses a post-optimal smart beta portfolio that maximizes alpha under the given tracking error constraint. Findings - As a result of the analysis, the smart beta strategy that maximized alpha under the constraint of 0.15% daily tracking error shows the highest IR. This means the maximum theoretically achievable efficiency. In this regard, a fixed-effect panel regression analysis is conducted to evaluate the active efficiency of domestic stock funds. In addition to control variables based on previous studies, the effect of tracking error on alpha is analyzed. The alpha used in this model is calculated using the smart beta portfolio according to the size of the constraint of the tracking error as a benchmark. Contrary to theoretical estimates, in Korea, the alpha performance is maximized under a daily tracking error of 0.1%. This indicates that the active efficiency of domestic equity funds is lower than the theoretical maximum. Research implications or Originality - Based on this study, it is expected that it can be used for active risk management of pension funds and performance evaluation of active strategies.

• 대한산업공학회지
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• 제6권2호
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• pp.21-29
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• 1980

본(本) 연구(硏究)는 투자안(投資案)들간의 상호관계(相互關係) 및 위험(危險)을 고려한 자본예산문제(資本豫算問題)를 다루고 있다. 기존(旣存)의 개발(開發)된 모형(模型)은 확률제약조건계획모형(確率制約條件計劃模型) 및 기대효용극대화모형(期待效用極大化模型)의 두 범주(範疇)로 구분(區分)될 수 있다. 전자의 경우 목적함수(目的凾數)가 다소 제약적(制約的)이며 위험(危險)을 직접적인 형태로 고려하지 않고 있는 반면에 후자는 기대효용(期待效用)에 대한 근사치(近似値)를 사용하기 때문에 투자결정(投資決定)이 최적화(最摘化)되지 못할 가능성이 있다. 본(本) 연구(硏究)는 목적함수(目的凾數)를 보다 일반적(一般的)인 형태로 수정(修正) 보완(補完)함으로써 현실적용성(現實適用性)을 높이고자 하였다. 해법절차(解法節次)로는, 자본예산문제(資本豫算問題)를 우선 비선형(非線型) 0-1 정수계획(整數計劃) 문제로 정식화(定式化)하고, 이를 선형(線型) 0-1 정수계획(整數計劃)문제로 변형(變形)하여 원문제(原問題)의 하한(下限)을 찾은 후 B&B 연산법(演算法)으로 원문제(原問題)의 최적해(最適解)를 구하고 있다.

• 한국국방경영분석학회지
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• 제7권1호
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• pp.53-80
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• 1981

This paper explores a rational investment decision model in sequential capital allocation process under capital rationing. A method is proposed for measuring the new investment decision factor which is the flexibility that describes the future availability of invested funds. This flexibility is important in sequential decision process. Also presented is a multiobjective (MO) decision model into which flexibility is incorporated with the profit and risk factors. The effectiveness of this criterion is compared with the expected present value and the mean-semivariance criteria through a simulation model.

• 한국정보처리학회:학술대회논문집
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• 한국정보처리학회 2020년도 춘계학술발표대회
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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.

• 자원ㆍ환경경제연구
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• 제17권4호
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• pp.719-749
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• 2008

본 연구에서는 고유가대응 정책수단 사이의 적정 배분을 위한 비용-위험 기준 포트폴리오 모형에 근거하여 예산배분모형을 제시한다. 이와 함께 유가대응 정책수단별로 2000년부터 2006년까지 정부예산에 대하여 적정 배분안을 시산하였다. 시산결과에 따르면 선물시장을 활용한 대안에 일정 금액 이상의 예산이 배분될 필요가 있다. 전략비축 대안의 경우 과다한 비용으로 말미암아 비용-위험 기준 포트폴리오 전략에서는 제대로 고려되지 못하는 것으로 나타났다. 유전개발 대안은 본 연구에서 다른 대안들에 비해 소요비용이 상대적으로 낮게 설정되었기 때문에 비용-위험 포트폴리오 전략에서 절반 이상으로 편입되는 것으로 나타났다.

• 플랜트 저널
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• 제8권3호
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• pp.42-48
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• 2012

전통적 투자안 평가방법인 현금할인법(DCF:discounted cash flow) 모형의 투자안 평가는 경영자가 미래 사업환경의 변화에 능동적 대처를 할 수 없다는 가정이다. 그러나 현실에서는 투자를 수행하는 중에 새로운 정보가 유입되고 불확실성이 클 때 평가 시점에서 예측한 대로 시나리오가 이루어지기 어렵기 때문에 경영의 유연성을 고려하는 실물옵션 방법으로 평가함으로써 이런 난점들을 극복할 수 있다. 실물옵션에는 연기옵션, 단계적 투자옵션, 변경옵션, 포기옵션, 전환옵션 등이 있다. 따라서 사업 변동성이 클 경우 전통적인 DCF보다는 이러한 변동성이 갖는 가치를 적극 이용하여 평가하는 실물옵션 방법이 보다 바람직한 평가방법이라 할 수 있다.

• 한국국방경영분석학회지
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• 제16권1호
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• pp.18-34
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• 1990

In light of the recent developments of transitory nature, it is likely that national defense decision-making will be more difficult to make for years to come. In other words, sudden changes in security environment would call into question the basic assumptions on which we have built our national defense planning and increase the number of the uncertain factors in the decision-making process; the subdivision and ramification of national defense management would increase the factors for decision-making and complicate even further the mutual interactions among these factors; the accelerated pace of sophistication and diversification of weapon systems and military technology would increase the risk of failure and system costs geometrically; and the reduced level of acceptance among the people on the sanctification of national defense in proportion to the rapid progress toward a more democratic and industrial society would engender an increased criticism or checking role by the National Assembly or by the mass media. As the changes in national defense environment and conditions create an innumerable number of new tasks, this paper intends to suggest a few core policy measures to improve the quality of national defense decision-making. More specifically, it proposes to 1) eradicate entirely the bureaucratic behavior and tendencies; 2) utilize actively the brain staff for quality assurance of decision-making; 3) and introduce and apply as a whole set, a total system, or an incorporated pack age the PPBEES(Planning-Programming-Budgeting-Executing-Evaluating-System)/LCMM (Life-Cycle Management Model for System Acquision), the OR/SA(Operations Research/Systems Analysis), and DMIS (Defense Management Information System).

• 국제학술발표논문집
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• The 3th International Conference on Construction Engineering and Project Management
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• pp.800-807
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• 2009

The limited public funds available for infrastructure projects have led governments to consider private entities' participation in long-term contracts for finance, construction, and operation of these projects to share risks and rewards between the public and the private. Because these projects have complicated risk evolutions, diverse contractual forms for each project member to hedge risks involved in a project are necessary. In light of this, Build-Operate-Transfer(BOT) model is considered as effective to accomplish Public Private Partnerships(PPPs) with a characteristic of an ownership-reversion. In BOT projects, the government has used such an incentive system as minimum revenue guarantee(MRG) agreement to attract the private's participation. Although this agreement turns out critical in success of BOT project, there still exist problematic issues in a financial feasibility analysis since the traditional capital budgeting theory, Net Present Value(NPV) analysis, has failed to evaluate the contingent characteristic of MRG agreement. The purpose of this research is to develop real option model based on option pricing theory so as to provide a theoretical framework in valuing MRG agreement in BOT projects. To understand the applicability of the model, the model is applied to the example of the BOT toll road project and the results are compared with that by NPV analysis. Finally, we found that the impact of the MRG agreement is significant on the project value. Hence, the real option model can help the government establish better BOT policies and the developer make appropriate bidding strategies.

• 국제학술발표논문집
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• The 5th International Conference on Construction Engineering and Project Management
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• pp.475-478
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• 2013

To carry out a one-off construction project successfully, effective and accurate early cost estimation is crucial, especially during the conceptual stage where very limited minimum information of construction project is given. As the level of accuracy of the early cost estimation has huge impacts on precise budgeting and cost management of a project, in other words, reducing the risk of a project, cost must be managed with special awareness. In an effort to improve the estimate accuracy of cost during the conceptual stage, this research introduces a Parameter Impact (PI) which can quantify weights of parameters and rank them; and PI development derived from the principle of impulse in physics is explicated. For a case study, 76 public apartment building cases in Korea are analyzed. To examine the validity of the proposed PI, a validation in terms of CBR applicability test and estimate accuracy comparisons using 10-nearest neighbor cases are carried out. The validation results support that the suggested PI can be applied in quantifying the weights of the parameters and CBR method for early cost estimation.