• 경영과학
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• 제32권1호
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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.

• 정보보호학회논문지
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• 제27권4호
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• pp.855-861
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• 2017

Gordon과 Loeb[1]은 기업의 정보보호 투자 의사결정은 정보보호 투자를 통한 한계편익(MB)과 정보보호 투자의 한계비용(MC)이 일치하는 곳에서 최적의 투자수준이 결정된다고 한다. 그러나, 정보보호 사고를 당하고 있는 많은 기업의 경우, 정보보호 사고를 당하고 있다는 것을 인지하지 못하고 유출되는 피해가 얼마인지 측정하지 못하고 있다. 본 연구에서는 불완전한 정보 상황에서 정보보호 투자 의사결정을 수행하는 모델을 Gordon과 Loeb[1]의 모델을 수정하여 제시하고, 투자수준의 차이를 비교하였다. 불완전정보 하에서 정보보호 투자를 통한 기대수익은 실제 발생하는 정보 보호 사고에 비해 낮게 인식되는 경향을 띄게 되고, 정보보호 투자도 적게 되었다. 이는 정부와 같은 제3의 기관이 정보 보호 사고발생률, 피해액 규모 등 정확한 정보를 알려주면 기업 스스로 정보보호 투자를 확대 할 수 있음을 보여준다.

• 정보화정책
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• 제17권4호
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• pp.44-60
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• 2010

고용 없는 성장이 지속되는 가운데, IT가 고용에 미치는 영향에 대한 논란이 지속되고 있다. 이에 본 연구에서는 2003년부터 2008년까지 총 6년간 국내의 매출액 1,000억 원 이상 498개 기업을 대상으로 IT투자가 노동수요에 미치는 영향을 실증분석 하였다. 본 연구결과, 일부 서비스업을 제외한 대부분의 산업에서 IT투자가 노동수요를 증대시키는 것으로 나타났다. 제조업의 경우 IT투자가 증가할수록 노동수요는 증가하나, IT투자에 따른 노동수요탄력성은 작아 IT투자는 저(低)숙련 노동과는 대체관계에 있고 고(高)숙련 노동과는 보완관계에 있는 것으로 나타났다. 전력 가스 및 건설업 역시 IT투자가 증가할수록 노동수요가 증가하며, IT투자에 따른 노동수요탄력성이 가장 큰 것으로 나타났다. 서비스산업의 경우, 생산자 서비스업에서만 IT투자가 증가할수록 노동수요가 증가하였으며, IT투자에 따른 노동수요탄력성도 큰 것으로 나타났다. 한편, 유통 서비스업과 사회 서비스업에서는 IT투자와 노동수요 간에 유의한 관계가 발견되지 않았다.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.49-59
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• 2021

This study empirically analyzes the effect of firm overinvestment propensity on the value relevance of capital investment. In order to verify this point, this study attempts to analyze the value relevance of overinvestment firms' capital investments. The analysis was performed according to the model of Biddle et al. (2009) and McNichols and Stubben (2008) on overinvestment propensity for analysis, and the results are as follows. First, in terms of overinvestment, corporate capital investment shows negative value relevance, so the excessive investments above reasonable levels have reduced firm's value. In contrast, the value relevance for capital investment showed a positive value for firms whose managerial propensity changed, that is, from under-investment in the previous year, it shifted to overinvestment in the current year. Second, as a result of analyzing the value relevance of the investment increase according to the investment propensity, the overinvestment firms showed negative values and the underinvested firms showed positive values; thus, the value relevance of the increase in investment was opposite to the investment propensity of the firm. These findings confirm that the stock market differentially evaluates investment efficiency according to investment propensity, continuity, and investment alterations, and reflects it appropriately in the firm's value.

• 한국중재학회지:중재연구
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• 제29권1호
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• pp.31-52
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• 2019

As international transactions have grown more numerous, situations of disputes related to the transactions are getting more complicated and more diverse. Cost-effective remedies to settle the disputes through traditional methods such as adjudications of a court will be insufficient. There fore, nations are attempting to more efficiently solve investor-state disputes through arbitration under organizations such as the ICSID Convention, the ICSID Additionary Facility Rules, and the UNCITRAL Arbitration Rules by including the provisions on investor-state dispute settlement at the conclusion of an investment agreement. In case of an arbitration under the ICSID Convention, ICSID directly exercises the supervisorial function on arbitral proceedings, and there is no room for the intervention of national courts. In time of the arbitration where the ICSID Convention does not apply, however, the courts have to facilitate the arbitral proceedings. When the recognition and enforcement of an arbitral award under the ICSID Convention are guaranteed by the Convention, it should be considered that the New York Convention does not apply to them under the Convention Article 7 (1) fore-end. In exceptional cases in which an arbitral award under the ICSID Convention cannot be recognized or enforced by the Convention, the New York Convention applies to the recognition and enforcement because the award is not a domestic award of the country in which the recognition or enforcement is sought. It is up to an interpretation of the New York Convention whether the New York Convention applies to ISDS arbitral awards not based on the ICSID Convention or not. Although an act of the host country is about sovereign activities, a host country and the country an investor is in concurring to the investment agreement with the ISDS provisions is considered a surrender of sovereignty immunity, and it will not suffice to exclude the investment disputes from the scope of application of the New York Convention. If the party to the investment agreement has declared commercial reservation at its accession into the New York Convention, it should be viewed that the Convention applies to the recognition and enforcement of the ISDS awards to settle the disputes over an investitive act, inasmuch as the act will be considered as a commercial transaction. When the recognition and enforcement of an arbitral award on investment disputes about a nation's sovereign act have been sought in Korea and Korea has been designated the place of the investment agreement arbitration as a third country, it should be reviewed whether the disputes receive arbitrability under the Korean Arbitration Act or not.

• 한국항해항만학회지
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• 제28권7호
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• pp.601-608
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• 2004

Recently, port development has been actively in progress through a private investment project. Incheon North Port functions as an auxiliary port for Incheon Port to solve its chronic demurral and freight congestion and to treat materials such as wood, iron material, feed materials. Service charges is one of important factors in the port choice to treat general goods. In general, service charges can be calculated by two methods such as cost accounting method and market price method. This study will review the characteristics of the Incheon North Port (berth 3), which is under the progress of the private investment project and estimate the reasonable service charges for general goods on the basis of market price. This will help a concessionaire to maximize the operation efficiency.

• 기술혁신연구
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• 제6권2호
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• pp.178-207
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• 1998

This article suggests a methodology to decide the priority of investment project for venture business under the dynamic circumstance. By the Monte Carlo procedure on the probability distribution of cost and revenue, the model simulates the investment project to estimate profit ratio and risk. The profit ratio is calculated on the yearly basis for the relative comparison. The project risk is calculated as semi-variance under the target yield. After sufficient simulations in this fashion for several projects, the efficient projects with more profit and less risk are selected by the dominance principle. Then the regression equation of the selected projects is produced to find the relative value of the projects. The relative value is obtained through dividing the raw profit ratio by the estimated one on the equation. This value shows the degree to which the simulated project yields over the equation. The priority of investment is decided by this value. An examplary venture business of chemical development for semi-conductor is presented as a case study.

• 수산경영론집
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• 제39권2호
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• pp.109-123
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• 2008

This study is aimed to establish an investment decision model for offshore aquaculture project of rock bream in Korea using a certainty equivalent method (CEM) based on the expected utility theory and to investigate its economic viability under risk and uncertainty. In the analysis with CEM, the effects of risk attitude and risk level on investment and risk premium were examined and the impacts of various risk and uncertainty factors on the investment decision were also assessed. In addition, the outcomes were compared to those evaluated by the traditional net present value (NPV) method. Results show that risk premium grew as the investors became more risk averse and uncertainty level (the variance of NPV) increased. Consequently, the certainty equivalent value was predicted to decrease from the value assessed by the traditional NPV method.

• 응용통계연구
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• 제23권4호
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• pp.621-633
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• 2010

This paper considers a certain expense structure where a vendor of equity-linked investment product will collect its expenses continuously from the investor's account whenever the investment performance exceeds a certain threshold level. Under the Black-Scholes framework, we derive compact convolution formulas for evaluating the total expenses to be collected during the investment period by using the joint Laplace transform of the Brownian motion and its excursion time. We provide numerical examples for illustration.

• 기술혁신학회지
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• 제5권2호
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• pp.141-151
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• 2002

Many technology investment projects can be considered as set of sequential options. A compound real option can be used for evaluating sequential technology investment decisions under significant uncertainty and measuring its value. In this paper, the formula developed by Geske and Johnson(1984) and Buraschi and Dumas(2001) was applied to evaluate the technology investment with related double real option. Also double real option was com-pared with net present value method and multiple linear regression model was used to assess the partial effects of risk free rate and log-term volatility on its value.