• East Asian mathematical journal
• /
• v.34 no.1
• /
• pp.1-16
• /
• 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.

• The Korean Journal of Financial Studies
• /
• v.2 no.1
• /
• pp.159-187
• /
• 1995

A two-country overlapping generations model with fiat monies is used to study international coordination of monetary policies under the flexible exchange rate system. The optimal monetary policy and the welfare of individual countries are investigated for: coordination and non-coordination cases. It is shown that the coordination is Pareto superior to the non-coordination. The countries choose more inflationary policies in the non-coordination case; the world output decreases, which depends on the degree of risk aversion.

• The Korean Journal of Financial Management
• /
• v.15 no.1
• /
• pp.31-39
• /
• 1998

A simple general equilibrium model, where risk aversion and dividend process switching play a key role, shows that a stock price in a bubble-free economy can be observationally equivalent to that of the intrinsic bubble economy. Specifically, I seek a set of conditions under which the functional form of asset prices in the bubble-free economy is the same as that in the intrinsic bubble approach.

• Journal of the Korean Operations Research and Management Science Society
• /
• v.18 no.2
• /
• pp.45-55
• /
• 1993

In multiattribute decision making a decision maker (DM) can choose the best alternative if his/her multiattribute utility function and the joint probability distribution of outcomes are exactly known. This paper develops multiattribute stochastic-statistical dominance rules which can be applied to the situation when neither of them is known exactly, that is, when the DM cannot calculate the expected utility for each alternative. First, the notion of relative risk aversion is used dominance rules are developed to screen out dominated alternatives so that hi/she choose the best one among the remaining nondominated alternatives.

• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• v.16 no.2
• /
• pp.107-124
• /
• 2012

In this paper we conduct comparative statics for optimal consumption and portfolio selection of an agent who has a utility function of Epstein and Zin type. We derive the Slutsky equations and decompose the total effects of changes into the substitution effects and the income effects. We identify the role of the elasticity of intertemporal substitution and the coefficient of relative risk aversion.

• The Korean Journal of Financial Management
• /
• v.26 no.4
• /
• pp.191-234
• /
• 2009

This study examined on the volatility feedback hypothesis through the use of threshold GARCH-in-Mean (GJR-GARCH-M) model developed by Glosten, Jaganathan, and Runkle (1993) in the stock markets of 14 emerging countries during the period of January, 1996 to May, 2009. On this study, I found successful evidences which can support the volatility feedback hypothesis through the following three estimation procedures. First, I found relatively strong positive relationship between the expected market risk premiums and their conditional standard deviations from the GARCH-M model in the basis of daily return on each representative stock market index, which is appropriate to investors' risk-averse preferences. Second, I can also identify the significant asymmetric time-varying volatility originated from the investors' differentiated reactions toward the unexpected market shocks by applying the GJR-GARCH-M model and further find the lasting positive risk aversion coefficient estimators. Third, I derived the negative signs of the regression coefficient of unpredicted volatility on the stock market return by re-applying the GJR-GARCH-M model after I controlled the positive effect of predicted volatility through including the conditional standard deviations from the previous GARCH-M model estimation as an independent explanatory variable in the re-applied new GJR-GARCH-M model. With these consecutive results, the volatility feedback effect was successfully tested to be effective also in the various emerging stock markets, although the leverage hypothesis turned out to be insufficient to be applied to another source of explaining the negative relationship between the unexpected volatility and the ex-post stock market return in the emerging countries in general.

• Proceedings of the Korean Institute of Navigation and Port Research Conference
• /
• 2016.05a
• /
• pp.291-293
• /
• 2016

해상교통관제사의 업무는 선박교통의 안전과 효율을 목적으로 하는 의사결정의 연속이다. 의사결정은 문제해결과정의 일종으로 가치 판단을 포함한다. 올바른 의사결정을 내리기 위해서는 해상교통상황을 정확히 파악하는 것이 우선되어야 하지만, 상황판단을 제대로 했다하더라도 의사결정을 그르칠 위험이 있다는 측면에서 관제사가 적극적으로 습득하여야 하는 인지과제다. 본고에서는 먼저 관제사에게 필요한 의사결정 이론에 대해서 기술한 뒤, 이를 구체적인 관제과제에 적용할 때 합리적인 의사결정 모델보다는 휴리스틱 또는 재인촉발의사결정 모델을 사용한다는 점을 밝혔다. 또한 관제사의 의사결정 과정에서 발생할 수 있는 실수를 사례 위주로 고찰하였다. 특히 관제사의 업무역량 향상을 위해서 의사결정방법을 어떻게 훈련할 것인가를 제안하였다.

• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• v.19 no.4
• /
• pp.429-441
• /
• 2015

We study optimal consumption/investment and life insurance purchase rules for a wage earner with mortality risk under regime-switching financial market conditions, in a continuous time-horizon. We apply the Markov chain approximation method and suggest an efficient algorithm using parallel computing to solve the simultaneous Hamilton-Jaccobi-Bellman equations arising from the optimization problem. We provide numerical results under the utility functions of the constant relative risk aversion type, with which we illustrate the effects of regime switching on the optimal policies by comparing them with those in the absence of regime switching.

• Journal of Korean Society of Industrial and Systems Engineering
• /
• v.30 no.2
• /
• pp.75-82
• /
• 2007

이 논문의 공급업체의 불확실성하에서의 신문팔이 문제를 다루고 있다. 즉 공급업체의 공급량이 소매업체가 주문한 양을 충족하기 못하는 상황을 고려한 것이다. 여기서 우리는 기대 이익을 최대화하는 최적의 주문량을 구하였고, 기존의 연구와 달리 소매업체의 위험 성향을 고려하기 위해 하향 라스크에 대한 제약 조건을 추가하여, 위험 성향이 높을수록 더 많은 주문량을 사용한다는 결과를 사례 연구를 통해 확인할 수 있었다.

• Proceedings of the Technology Innovation Conference
• /
• 2004.02a
• /
• pp.264-287
• /
• 2004

The minimum royalty should have two objectives. One is to guarantee the minimum license payment and the other is to screen the eligible licensee to prevent the licensee`s strategic behavior. In the licensing contract for public-to-private technology transfer, the latter plays more important role than the former in viewpoint of the successful technology transfer and commercialization. However, the minimum royalty falls into a dilemma to increasing the risk on the part of licensee in case of failure in technology transfer and commercialization. In our study, ex-post option contract will be suggested as a risk sharing mechanism to overcome above dilemma. The ex-post option contract means the contract which the licensee has the option whether to go or not at the time of manufacturing stage. To proof the usefulness of ex-post option contract, it is shown in the study that expected utility of a licensor and a licensee can increase with a certain constraint, which depends on degree of uncertainty and licensee`s risk aversion, after introducing the ex-post option contract. In spite of this constraint, the usefulness of ex-post option contract may be highly appreciated because its constraint is quite normal case in the real world.