• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.133-152
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• 2007

In this paper, we examine a portfolio selection model in which a safety-first investor maximizes expected return subject to a downside risk constraint. We use the Value-at-Risk as the downside risk measure. We exploit the fact that returns are fat-tailed, and use a semi-parametric method suggested by Jansen, Koedijk and de Vries(2000). We find a more realistic asset allocation than the one suggested by the literature based on the traditional mean-variance framework. For the robustness check, we provide empirical analyses using empirical quantiles. The results highlight that for optimal portfolio selection involving downside risks that are far in the tails of the distribution, our mean-VaR model with a fat-tailed distribution is superior.

• Asia-Pacific Journal of Business
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• v.11 no.4
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• pp.255-269
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• 2020

Purpose - This paper analyzes the market efficiency focusing on the long memory properties of the domestic futures market. By decomposing futures prices into yield and volatility and looking at the long memory properties of the time series, this study aims to understand the futures market pricing and change behavior and risks, specifically and in detail. Design/methodology/approach - This study analyzes KOSPI 200 futures, KOSDAQ 150 futures, 3 and 10-year government bond futures, US dollar futures, yen futures, and euro futures, which are among the most actively traded on the Korea Exchange. To analyze the long memory and market efficiency, we used the Variance Ratio, Rescaled-Range(R/S), Geweke and Porter-Hudak(GPH) tests as semi- parametric methods, and ARFIMA-FIGARCH model as the parametric method. Findings - It was found that all seven futures supported the efficiency market hypothesis because the property of long memory turned out not to exist in their yield curves. On the other hand, in futures volatility, all 7 futures showed long memory properties in the analysis, which means that if new information is generated in the domestic futures market and the market volatility once expanded due to the impact, it does not decrease or shrink for a long period of time, but continues to affect the volatility. Research implications or Originality - The results of this paper suggest that it can be useful information for predicting changes and risks of volatility in the domestic futures market. In particular, it was found that the long memory properties would be further strengthened in the currency futures and bond rate futures markets after the global financial crisis if the regime changes of the domestic financial market are taken into account in the analysis.

• Journal of Korea Spatial Information System Society
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• v.11 no.2
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• pp.45-53
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• 2009

The fast progress on multimedia data acquisition technologies has enabled collecting vast amount of videos in real time. Although the amount of information gathered from these videos could be high in terms of quantity and quality, the use of the collected data is very limited typically by human-centric monitoring systems. In this paper, we propose a framework for analyzing long traffic video using series of content-based analyses tools. Our framework suggests a method to integrate theses analyses tools to extract highly informative features specific to a traffic video analysis. Our analytical framework provides (1) re-sampling tools for efficient and precise analysis, (2) foreground extraction methods for unbiased traffic flow analysis, (3) frame property analyses tools using variety of frame characteristics including brightness, entropy, Harris corners, and variance of traffic flow, and (4) a visualization tool that summarizes the entire video sequence and automatically highlight a collection of frames based on some metrics defined by semi-automated or fully automated techniques. Based on the proposed framework, we developed an automated traffic flow analysis system, and in our experiments, we show results from two example traffic videos taken from different monitoring angles.

• Journal of Korean Academy of Nursing
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• v.42 no.5
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• pp.749-758
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• 2012

Purpose: The purpose of this study was to develop a tool for measuring the intra-operative caring as perceived by regional anesthesia patients. Methods: A preliminary instrument with 54 questions, based on a literature review and semi-structured interviews with 11 regional anesthesia patients, was developed. A group of experts revised individual questions, and 34 questions were finally selected. This tool was tested with 137 regional anesthesia patients admitted to D university hospital in B city from August to October 2008. Results: The validity and reliability of the tool were tested using factor analysis. After item analysis, one question with a correlation coefficient under .30 was discarded After performing factor analysis on the final 33 questions, 7 factors were identified; holistic needs fulfillment, consideration, protective environment, cautiousness, concern, information, physical comfort. The total variance shown in the test was 73.5%. A Cronbach alpha of 0.96 showed the reliability of the instrument. Conclusion: Results of this study indicate that the tool is statistically reliable and valid to measure the intra-operative caring perceived by regional anesthesia patients. This tool can be utilized usefully in assessing the effects of nursing interventions for regional anesthesia patients.

• Journal of Korean Academy of Nursing
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• v.38 no.4
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• pp.629-638
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• 2008

Purpose: This was a methodological research to develop an instrument to assess the emotional response of family members of physically restrained patients. Methods: A primary instrument with 68 questions was developed based on literature review and semi-structured interviews with family members. A group of experts revised individual questions and removed 4 irrelevant questions. This secondary instrument, then, was tested with 199 family members of physically restrained patients in intensive care units of a university hospital. The validity and reliability of the instrument were tested by factor analysis. Results: After item analysis, 3 questions with a correlation coefficient under .30 were discarded and the questions with a factor loading under .45 on Varimax Rotation were also removed. After factor analysis on the final 37 questions, 7 factors were identified; avoidance, shock, helplessness, grudge, depression, anxiousness, and acceptance. The total variance explained was 55.63%. The reliability of this instrument was 0.93 of Cronbach's alpha. Conclusion: This instrument was statistically reliable and valid to measure family's emotional response to physical restraints of the patients. This instrument can be useful in assessing the effects of nursing interventions for family members of restrained patients.

• Transactions of the Korean Society of Machine Tool Engineers
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• v.15 no.4
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• pp.83-91
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• 2006

At present, industry and researchers are looking for ways to reduce the use of lubricants because of ecological and economical reasons. Therefore, metal cutting is to move toward dry cutting or semi-dry cutting. One of the technologies is known as MQL(Minimum Quantity Lubrication) machining. This research presents an investigation into MQL machining with the objective of deriving the optimum cutting conditions for the turning process of SM4SC. To reach these goals several finish turning experiments were carried out, varying cutting speed, feed rate, oil quantity and so on, with MQL and flood coolant. The surface roughness and cutting force results of tests were measured and the effects of cutting conditions were analyzed by the method of Analysis of Variance(ANOVA). From the experimental results and ANOVA, this research proposed optimal cutting conditions to improve the machinability in MQL turning process.

• Proceeding of EDISON Challenge
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• 2016.03a
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• pp.288-291
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• 2016

Recently, there has been a lot of researches related to two-dimensional (2D) materials due to their new properties and applications emerging upon 2D confinement. A new type of graphene like two-dimensional layer material, nitrogenated holey two-dimensional structure C2N-h2D, that is possession of evenly distributed holes and nitrogen atoms with proper bandgap has been synthesized. Previous calculation studies already have shown that the variance of the orbital interaction, band structure of few-layer C2N-h2D suggests that interlayer coupling does play an important role in its electronic properties. In this point, using first-principles density functional theory calculation, we here explore the effect of porous embedded iron atom and iron substrate on encapsulated few layer C2N-h2D. We show the atomic structures and the corresponding electronic structures of Fe@C2N to elucidate the effect of iron. Finally, this study demonstrates that embedded iron C2N has AA-stacking as most favorable stacked structure in contrast to pure C2N. In addition, iron substrate modifies its encapsulated C2N from semi-metallic states to metallic state.

• Proceedings of the KSRS Conference
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• 2003.11a
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• pp.618-620
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• 2003

Harmonics of sea surface temperature (SST) in the East Sea and their possible causes are examined by analyzing NOAA/AVHRR data, SSM/I wind speeds, NSCAT wind vectors, and NCEP heat flux data. Detailed spatial structures of amplitudes and phases of the seasonal cycles and their contributions to the total variance of SST have quantitatively. The Subpolar front serves as a boundary between regions of high annual amplitudes (${\geq}$10$^{\circ}$C) in the cold continental region and low amplitudes (${\leq}$10$^{\circ}$C) in the Tsushima Warm Current region. The low phase center of annual cycle is located over a seamount at 132.2$^{\circ}$E, 41.7$^{\circ}$N south of Vladivostok. Semi-annual amplitudes are significantly large leaching over 20% of the annual amplitudes in the Tatarskiy Strait and along the continental shelf off Russian coast in fall and spring, but its forcings are substantially annual. We have shown that fall cooling is attributed by direct and local wind forcing, while spring cooling is remotely forced by cold waters from sea ices in the Tatarskiy Strait.

• Journal of Korea Water Resources Association
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• v.42 no.2
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• pp.149-160
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• 2009

The objective of this study is to suggest parameter regionalization scheme which is integrated two multivariate statistical methods: principal components analysis(PCA) and hierarchical cluster analysis(HCA). This technique is to apply semi-distributed rainfall-runoff model on ungauged catchments. 7 catchment characteristics (area, mean altitude, mean slope, ratio of forest, water content at saturation, field capacity and wilting point) are estimated for 109 mid-sized sub-basins. The first two components from PCA results account for 82.11% of the total variance in the dataset. Component 1 is related to the location of the catchments relevant to the altitude and Component 2 is connected with the area of these. 103 ungauged catchments are clustered using HCA as the following 6 groups: Goesan 23, Andong 6, Imha 5, Hapcheon 21, Yongdam 4, Seomjin 44. SWAT model is used to simulate runoff and the parameters of the model on the 6 gauged basins are estimated. The model parameters were regionalized for Soyang, Chungju and Daecheong dam basins which are assumed as ungauged ones. The model efficiency coefficients of the simulated inflows for these three dams were at least 0.8. These results also mean that goodness of fit is high to the observed inflows. This research will contribute to estimate and analyze hydrologic components on the ungauged catchments.

• The Sea:JOURNAL OF THE KOREAN SOCIETY OF OCEANOGRAPHY
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• v.8 no.2
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• pp.94-110
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• 2003

This study utilizes the dataset of Topex/Poseidon(T/P) altimeter sea surface height (1992-2000 yr., 286 cycles)to investigate the tempore-spatial variability in the East (Japan) Sea. Optimal interpolation (Ol) technique was applied to the pre-processed T/P dataset (level 2) to produce sea surface height anomaly (SSHA) map on regular grids. Spectral analyses of the timeseries of the SSHA at chosen stations and empirical orthogonal function (EOF) analysis of the SSHA in the entire East Sea were made. Distribution of the SSHA can be divided by the southern and northern regions sharply by the polar front situated in the middle of the East Sea. The southern region under the direct influence of the Tsushima Current exhibits higher amplitude of the SSHA fluctuation, while the northern region does relatively smaller one. The spatio-temporal variability of the SSHA in the East Sea can be characterized by the five modes of the EOFs accounting for more than 85% of the total variance. The first mode dominates the SSHA variation in the entire domain with strong seasonal and inter-annual periods accounting for the 72.3% of the total variance. The other modes (up to 5th account for 14%) are responsible for the SSHA variation associated with the local current system, meandering of the polar frontal axis, and mesoscale eddies. Spectral peaks with significant confluence level show semi-annual, annual and interannual (2, 3-4 years) periods.