Recently banks and large financial institutions have introduced lots of Robo-Advisor products. Robo-Advisor is a Robot to produce the optimal asset allocation portfolio for investors by using the financial engineering algorithms without any human intervention. Since the first introduction in Wall Street in 2008, the market size has grown to 60 billion dollars and is expected to expand to 2,000 billion dollars by 2020. Since Robo-Advisor algorithms suggest asset allocation output to investors, mathematical or statistical asset allocation strategies are applied. Mean variance optimization model developed by Markowitz is the typical asset allocation model. The model is a simple but quite intuitive portfolio strategy. For example, assets are allocated in order to minimize the risk on the portfolio while maximizing the expected return on the portfolio using optimization techniques. Despite its theoretical background, both academics and practitioners find that the standard mean variance optimization portfolio is very sensitive to the expected returns calculated by past price data. Corner solutions are often found to be allocated only to a few assets. The Black-Litterman Optimization model overcomes these problems by choosing a neutral Capital Asset Pricing Model equilibrium point. Implied equilibrium returns of each asset are derived from equilibrium market portfolio through reverse optimization. The Black-Litterman model uses a Bayesian approach to combine the subjective views on the price forecast of one or more assets with implied equilibrium returns, resulting a new estimates of risk and expected returns. These new estimates can produce optimal portfolio by the well-known Markowitz mean-variance optimization algorithm. If the investor does not have any views on his asset classes, the Black-Litterman optimization model produce the same portfolio as the market portfolio. What if the subjective views are incorrect? A survey on reports of stocks performance recommended by securities analysts show very poor results. Therefore the incorrect views combined with implied equilibrium returns may produce very poor portfolio output to the Black-Litterman model users. This paper suggests an objective investor views model based on Support Vector Machines(SVM), which have showed good performance results in stock price forecasting. SVM is a discriminative classifier defined by a separating hyper plane. The linear, radial basis and polynomial kernel functions are used to learn the hyper planes. Input variables for the SVM are returns, standard deviations, Stochastics %K and price parity degree for each asset class. SVM output returns expected stock price movements and their probabilities, which are used as input variables in the intelligent views model. The stock price movements are categorized by three phases; down, neutral and up. The expected stock returns make P matrix and their probability results are used in Q matrix. Implied equilibrium returns vector is combined with the intelligent views matrix, resulting the Black-Litterman optimal portfolio. For comparisons, Markowitz mean-variance optimization model and risk parity model are used. The value weighted market portfolio and equal weighted market portfolio are used as benchmark indexes. We collect the 8 KOSPI 200 sector indexes from January 2008 to December 2018 including 132 monthly index values. Training period is from 2008 to 2015 and testing period is from 2016 to 2018. Our suggested intelligent view model combined with implied equilibrium returns produced the optimal Black-Litterman portfolio. The out of sample period portfolio showed better performance compared with the well-known Markowitz mean-variance optimization portfolio, risk parity portfolio and market portfolio. The total return from 3 year-period Black-Litterman portfolio records 6.4%, which is the highest value. The maximum draw down is -20.8%, which is also the lowest value. Sharpe Ratio shows the highest value, 0.17. It measures the return to risk ratio. Overall, our suggested view model shows the possibility of replacing subjective analysts's views with objective view model for practitioners to apply the Robo-Advisor asset allocation algorithms in the real trading fields.
Roll drafting, a mechanical operation attenuating fiber bundles to an appropriate thickness, is an important operation unit for manufacturing staple yams. It influences not only the linear density regularity of the slivers or staple yams that are produced, but also the quality of the textile product and the efficiency of the thereafter processes. In this research, the dynamic states of the fiber bundle in the roll drafting zone were analyzed by simulation, based on the mathematical model that describes the dynamic behavior of the flowing bundle. The state variables are the linear density and velocity of the fiber bundles and we simulated the dynamics states of the bundle flow, e.g., the profiles of the linear density and velocity in the draft zone for various values of the model parameters and boundary conditions, including the initial conditions to obtain their influence on the dynamic state. Results showed that the mean velocity profile of the fiber bundle was strongly influenced by draft ratio and process speed, while the input sliver linear density has hardly affected the process dynamics. Velocity variance of individual fibers that could be supposed to be a disturbing factor in drafting was also influenced by the process speed. But the major disturbance occurred due to the velocity slope discontinuity at the front roll, which was strongly influenced by the process speed. Thickness of input sliver didn't play any important role in the process dynamics.
Three experiments were conducted to investigate the interaction of breed-by-chitosan supplementation on the major economic traits in broiler chickens. In experiment 1, one-day-old broiler chicks were fed ad libitum on a basal diet (CON-group) or basal diet containing chitosan at an inclusion level of 10.5 mg/bird/day (EXP-group). The EXP-group birds in experiments 2 and 3 were supplemented from 15 day-old by the same amount of chitosan used in experiment 1. In experiment 1, the mean body weight of the EXP-group chickens was significantly (p<0.05) heavier in comparison with those of CON-group birds from day 21 of the experiment. Especially in 35 day-old mean body weight, the EXP-group birds of Arbor Acres, Peterson, and Ross were significantly (p<0.05) heavier by 121.8 g, 118.5 g, and 242.8 g than the CON-group birds, respectively. However, the mean body weights in experiments 2 and 3 did not significantly differ between the CON-group birds and the EXP-group birds fed with chitosan supplementation from day 15 post birth. In the comparisons among breeds on the mean body weight at 35 day-old, the birds of Arbor Acres were significantly (p<0.05) heavier than ones of Peterson or Ross; however, there were no significant differences between Peterson and Ross or Cobb and Ross birds in overall in the experiments. The mean 15-35 d FCR of the EXP-group birds in experiment 1 were significantly (p<0.05) lower at least in two of the three breeds (Arbor Acres and Ross breeds) than that of the CON-group birds. None of the mean 15-35 d FCR in either experiment 2 or 3 showed significant differences between groups within a breed. In all three experiments, the differences amongst breeds in the mean 15-35 d FCR were not great either. Significant differences were not generally shown in the mean percentage of abdominal fat deposition between groups within a breed in overall experiments except in the Cobb breed in experiment 3. The mean percentages of abdominal fat deposition were significantly (p<0.05) lower in Ross birds than in Arbor Acres or Peterson birds and in Cobb birds than in Ross birds. By the results of the analysis of variance, the interaction of breed-by-diet (chitosan) supplementation on any of the major economic traits including mean percentage of abdominal fat deposition was not significant in overall experiments. Results of these experiments indicate that dietary supplementation with chitosan for the improvement of growth or feed conversion ratio in broilers has an efficacy when the supplementation begins from day-old.
Kim, Dal-Sik;Kim, Yunjeong;Jeon, Ji-Young;Kim, Min-Gul
Journal of Ginseng Research
/
v.40
no.4
/
pp.375-381
/
2016
Background: We evaluated the drug interaction profile of Red Ginseng (RG) with respect to the activities of major cytochrome P450 (CYP) enzymes and the drug transporter P-glycoprotein (P-gp) in healthy Korean volunteers. Methods: This article describes an open-label, crossover study. CYP probe cocktail drugs, caffeine, losartan, dextromethorphan, omeprazole, midazolam, and fexofenadine were administered before and after RG supplementation for 2 wk. Plasma samples were collected, and tolerability was assessed. Pharmacokinetic parameters were calculated, and 90% confidence intervals (CIs) of the geometric mean ratios of the parameters were determined from logarithmically transformed data using analysis of variance after RG administration versus before RG administration. Results: Fourteen healthy male participants were evaluated, none of whom were genetically defined as poor CYP2C9, 2C19, and CYP2D6 metabolizers based on genotyping. Before and after RG administration, the geometric least-square mean metabolic ratio (90% CI) was 0.870 (0.805-0.940) for caffeine to paraxanthine (CYP1A2), 0.871 (0.800-0.947) for losartan (CYP2C9) to EXP3174, 1.027 (0.938-1.123) for omeprazole (CYP2C19) to 5-hydroxyomeprazole, 1.373 (0.864-2.180) for dextromethorphan to dextrorphan (CYP2D6), and 0.824 (0.658-1.032) for midazolam (CYP3A4) to 1-hydroxymidazolam. The geometric mean ratio of the area under the curve of the last sampling time ($AUC_{last}$) for fexofenadine (P-gp) was 0.963 (0.845-1.098). Administration of concentrated RG for 2 wk weakly inhibited CYP2C9 and CYP3A4 and weakly induced CYP2D6. However, no clinically significant drug interactions were observed between RG and CYP and P-gp probe substrates. Conclusion: RG has no relevant potential to cause CYP enzyme- or P-gp-related interactions.
Purpose: The purpose of this study was to evaluate the effect of the subjects after visiting the Gyorae forest on the activity of the autonomic nervous system. Methods: Before and after the forest bath, it was measured using a ubiquitous machine. Results: After the bath there was no significant difference in the sympathetic nerve activity (LF) of the control group, but the difference was significant in the experimental group by increasing (p<.038), and in the variance analysis, there was a significant difference between the groups (p<.014), between pre-and post-bath (p<.026), and also between the groups and pre-and post-bath (p<.018). The changes in parasympathetic activity (HF) were not significant in both the control and experimental. In the LF/HF ratio, the experimental group was significantly increased, and in the analysis of variance, there was also significant difference between group and before and after bath (p<.04). Mean pulse rate in the experimental group was a significant increase after bath (p<.026). In the change of pulse standard deviation, the value of the control and the experimental groups by variance analysis was a significant difference between the groups (p<.014). There was no difference between the mean values of the control and the experimental groups in the change of mean heart rate deviation. Conclusions: The autonomic nervous systems were activated after Gyorae forest bathing, where may be useful place for healing.
The Journal of Korean Institute of Communications and Information Sciences
/
v.17
no.3
/
pp.213-224
/
1992
An encoding technique based on region splitting and vector quantization is proposed for the lower level Laplacian pyramid images. The lower level Laplacian pyramid images have lower variance than higher levels but a great influence on compression ration due to large spatial area. And so from data compression viewpoint, we subdivide them with variance thresholding into two regions such as one called : flat region” and the other “edge region”, and encode the flat region with its mean value and the edge region as vector quantization method. The edge region can be reproduced faithfully and significant improvement on compression ratio can be accomplished with a little degradation of PSNR in spite of the effect of large flat region since the codebook used is generated from the edge region only on from the entire image including the flat region. It can be verified by computer simulation results that proposed method is more efficient in compression ratio and processing time than the conventional encoding technique of vector quantization.
Purpose: Determination of pulmonary to systemic blood flow ratio (QP/QS) is important for the management of patients with left-to-right shunt. This study was performed to assess the agreement of Qp/Qs ratio using the radionuclide method and oxymetry, to investigate the factors influencing the agreement, and to know how interchangeable the results of each technique. Materials and Methods: We compared the Qp/Qs measured by single-pass radionuclide angiocardiography and oxymetry during catheterization in 207 patients who underwent both studies. In radionuclide method, Qp/Qs was calculated from the pulmonary time-activity curves using a gamma variate fit. The correlation and Bland-Altman analysis were performed according to the levels of shunt and associated lesions. Results: The mean Qp/Qs was $1.83{\pm}0.50$ by radionuclide, and $1.74{\pm}0.51$ by oxymetry. The overall correlation coefficient was 0.86(p<0.001), and Bland-Altman range of agreement encompassing 4SD was 1.05. For atrial septal defect, ventricular septal defect, patent ductus arteriosus, tricuspid and mitral insufficiency, the correlation coefficient was 0.78, 0.90, 0.84, 0.63 and 0.44, and Bland-Altman range was 1.51, 0.74, 0.96, 1.57, and 1.50, respectively. Conclusion: There is good agreement but wide variance between the Qp/Qs ratios by radionuclide method and oxymetry. Associated atrioventricular valvar insufficiency decreases the correlation coefficient and widens the variance. Wide overall variance suggests that Qp/Qs measurements by two techniques should not be used interchangeably.
This paper considers the integrated process control procedure for detecting special causes in an ARIMA(0,1,1) process that is being adjusted automatically after each observation using a minimum mean squared error adjustment policy. It is assumed that a special cause can change the process mean and the process variance. We derive expressions for the process deviation from target for a variety of different process parameter changes, and introduce a control chart, based on the generalized likelihood ratio, for detecting special causes. We also propose the integrated process control scheme bases on the future loss. The future loss denotes the cost that will be incurred in a process remaining interval from a true out-of-control signal.
Exercise of complete control on all aspects of any manufacturing / fabrication process is very difficult, leading to uncertainties in the material properties and geometric dimensions of structural components. This is especially true for laminated composites because of the large number of parameters associated with its fabrication. When the basic parameters like elastic modulus, density and Poisson's ratio are random, the derived response characteristics such as deflections, natural frequencies, buckling loads, stresses and strains are also random, being functions of the basic random system parameters. In this study the basic elastic properties of a composite lamina are assumed to be independent random variables. Perturbation formulation is used to model the random parameters assuming the dispersions small compared to the mean values. The system equations are analyzed to obtain the mean and the variance of the plate natural frequencies. Several application problems of free vibration analysis of composite plates, employing the proposed method are discussed. The analysis indicates that, at times it may be important to include the effect of randomness in material properties of composite laminates.
The best linear unbiased estimator (BLUE) is most suitable for practical application and can be determined with knowledge of only the first and second moments of the probability density function. Although the BLUE is an existing algorithm, it is still largely unexplored and has not yet been applied to channel estimation in amplify and forward (AF)-based wireless relay networks (WRNs). In this paper, a BLUE-based algorithm is proposed to estimate the overall channel impulse response between the source and destination of AF strategy-based WRNs. Theoretical mean square error (MSE) performance for the BLUE is derived to show the accuracy of the proposed channel estimation algorithm. In addition, the Cram$\acute{e}$r-Rao lower bound (CRLB) is derived to validate the MSE performance. The proposed BLUE channel estimation algorithm approaches the CRLB as the length of the training sequence and number of relays increases. Further, the BLUE performs better than the linear minimum MSE estimator due to the minimum variance characteristic exhibited by the BLUE, which happens to be a function of signal-to-noise ratio.
본 웹사이트에 게시된 이메일 주소가 전자우편 수집 프로그램이나
그 밖의 기술적 장치를 이용하여 무단으로 수집되는 것을 거부하며,
이를 위반시 정보통신망법에 의해 형사 처벌됨을 유념하시기 바랍니다.
[게시일 2004년 10월 1일]
이용약관
제 1 장 총칙
제 1 조 (목적)
이 이용약관은 KoreaScience 홈페이지(이하 “당 사이트”)에서 제공하는 인터넷 서비스(이하 '서비스')의 가입조건 및 이용에 관한 제반 사항과 기타 필요한 사항을 구체적으로 규정함을 목적으로 합니다.
제 2 조 (용어의 정의)
① "이용자"라 함은 당 사이트에 접속하여 이 약관에 따라 당 사이트가 제공하는 서비스를 받는 회원 및 비회원을
말합니다.
② "회원"이라 함은 서비스를 이용하기 위하여 당 사이트에 개인정보를 제공하여 아이디(ID)와 비밀번호를 부여
받은 자를 말합니다.
③ "회원 아이디(ID)"라 함은 회원의 식별 및 서비스 이용을 위하여 자신이 선정한 문자 및 숫자의 조합을
말합니다.
④ "비밀번호(패스워드)"라 함은 회원이 자신의 비밀보호를 위하여 선정한 문자 및 숫자의 조합을 말합니다.
제 3 조 (이용약관의 효력 및 변경)
① 이 약관은 당 사이트에 게시하거나 기타의 방법으로 회원에게 공지함으로써 효력이 발생합니다.
② 당 사이트는 이 약관을 개정할 경우에 적용일자 및 개정사유를 명시하여 현행 약관과 함께 당 사이트의
초기화면에 그 적용일자 7일 이전부터 적용일자 전일까지 공지합니다. 다만, 회원에게 불리하게 약관내용을
변경하는 경우에는 최소한 30일 이상의 사전 유예기간을 두고 공지합니다. 이 경우 당 사이트는 개정 전
내용과 개정 후 내용을 명확하게 비교하여 이용자가 알기 쉽도록 표시합니다.
제 4 조(약관 외 준칙)
① 이 약관은 당 사이트가 제공하는 서비스에 관한 이용안내와 함께 적용됩니다.
② 이 약관에 명시되지 아니한 사항은 관계법령의 규정이 적용됩니다.
제 2 장 이용계약의 체결
제 5 조 (이용계약의 성립 등)
① 이용계약은 이용고객이 당 사이트가 정한 약관에 「동의합니다」를 선택하고, 당 사이트가 정한
온라인신청양식을 작성하여 서비스 이용을 신청한 후, 당 사이트가 이를 승낙함으로써 성립합니다.
② 제1항의 승낙은 당 사이트가 제공하는 과학기술정보검색, 맞춤정보, 서지정보 등 다른 서비스의 이용승낙을
포함합니다.
제 6 조 (회원가입)
서비스를 이용하고자 하는 고객은 당 사이트에서 정한 회원가입양식에 개인정보를 기재하여 가입을 하여야 합니다.
제 7 조 (개인정보의 보호 및 사용)
당 사이트는 관계법령이 정하는 바에 따라 회원 등록정보를 포함한 회원의 개인정보를 보호하기 위해 노력합니다. 회원 개인정보의 보호 및 사용에 대해서는 관련법령 및 당 사이트의 개인정보 보호정책이 적용됩니다.
제 8 조 (이용 신청의 승낙과 제한)
① 당 사이트는 제6조의 규정에 의한 이용신청고객에 대하여 서비스 이용을 승낙합니다.
② 당 사이트는 아래사항에 해당하는 경우에 대해서 승낙하지 아니 합니다.
- 이용계약 신청서의 내용을 허위로 기재한 경우
- 기타 규정한 제반사항을 위반하며 신청하는 경우
제 9 조 (회원 ID 부여 및 변경 등)
① 당 사이트는 이용고객에 대하여 약관에 정하는 바에 따라 자신이 선정한 회원 ID를 부여합니다.
② 회원 ID는 원칙적으로 변경이 불가하며 부득이한 사유로 인하여 변경 하고자 하는 경우에는 해당 ID를
해지하고 재가입해야 합니다.
③ 기타 회원 개인정보 관리 및 변경 등에 관한 사항은 서비스별 안내에 정하는 바에 의합니다.
제 3 장 계약 당사자의 의무
제 10 조 (KISTI의 의무)
① 당 사이트는 이용고객이 희망한 서비스 제공 개시일에 특별한 사정이 없는 한 서비스를 이용할 수 있도록
하여야 합니다.
② 당 사이트는 개인정보 보호를 위해 보안시스템을 구축하며 개인정보 보호정책을 공시하고 준수합니다.
③ 당 사이트는 회원으로부터 제기되는 의견이나 불만이 정당하다고 객관적으로 인정될 경우에는 적절한 절차를
거쳐 즉시 처리하여야 합니다. 다만, 즉시 처리가 곤란한 경우는 회원에게 그 사유와 처리일정을 통보하여야
합니다.
제 11 조 (회원의 의무)
① 이용자는 회원가입 신청 또는 회원정보 변경 시 실명으로 모든 사항을 사실에 근거하여 작성하여야 하며,
허위 또는 타인의 정보를 등록할 경우 일체의 권리를 주장할 수 없습니다.
② 당 사이트가 관계법령 및 개인정보 보호정책에 의거하여 그 책임을 지는 경우를 제외하고 회원에게 부여된
ID의 비밀번호 관리소홀, 부정사용에 의하여 발생하는 모든 결과에 대한 책임은 회원에게 있습니다.
③ 회원은 당 사이트 및 제 3자의 지적 재산권을 침해해서는 안 됩니다.
제 4 장 서비스의 이용
제 12 조 (서비스 이용 시간)
① 서비스 이용은 당 사이트의 업무상 또는 기술상 특별한 지장이 없는 한 연중무휴, 1일 24시간 운영을
원칙으로 합니다. 단, 당 사이트는 시스템 정기점검, 증설 및 교체를 위해 당 사이트가 정한 날이나 시간에
서비스를 일시 중단할 수 있으며, 예정되어 있는 작업으로 인한 서비스 일시중단은 당 사이트 홈페이지를
통해 사전에 공지합니다.
② 당 사이트는 서비스를 특정범위로 분할하여 각 범위별로 이용가능시간을 별도로 지정할 수 있습니다. 다만
이 경우 그 내용을 공지합니다.
제 13 조 (홈페이지 저작권)
① NDSL에서 제공하는 모든 저작물의 저작권은 원저작자에게 있으며, KISTI는 복제/배포/전송권을 확보하고
있습니다.
② NDSL에서 제공하는 콘텐츠를 상업적 및 기타 영리목적으로 복제/배포/전송할 경우 사전에 KISTI의 허락을
받아야 합니다.
③ NDSL에서 제공하는 콘텐츠를 보도, 비평, 교육, 연구 등을 위하여 정당한 범위 안에서 공정한 관행에
합치되게 인용할 수 있습니다.
④ NDSL에서 제공하는 콘텐츠를 무단 복제, 전송, 배포 기타 저작권법에 위반되는 방법으로 이용할 경우
저작권법 제136조에 따라 5년 이하의 징역 또는 5천만 원 이하의 벌금에 처해질 수 있습니다.
제 14 조 (유료서비스)
① 당 사이트 및 협력기관이 정한 유료서비스(원문복사 등)는 별도로 정해진 바에 따르며, 변경사항은 시행 전에
당 사이트 홈페이지를 통하여 회원에게 공지합니다.
② 유료서비스를 이용하려는 회원은 정해진 요금체계에 따라 요금을 납부해야 합니다.
제 5 장 계약 해지 및 이용 제한
제 15 조 (계약 해지)
회원이 이용계약을 해지하고자 하는 때에는 [가입해지] 메뉴를 이용해 직접 해지해야 합니다.
제 16 조 (서비스 이용제한)
① 당 사이트는 회원이 서비스 이용내용에 있어서 본 약관 제 11조 내용을 위반하거나, 다음 각 호에 해당하는
경우 서비스 이용을 제한할 수 있습니다.
- 2년 이상 서비스를 이용한 적이 없는 경우
- 기타 정상적인 서비스 운영에 방해가 될 경우
② 상기 이용제한 규정에 따라 서비스를 이용하는 회원에게 서비스 이용에 대하여 별도 공지 없이 서비스 이용의
일시정지, 이용계약 해지 할 수 있습니다.
제 17 조 (전자우편주소 수집 금지)
회원은 전자우편주소 추출기 등을 이용하여 전자우편주소를 수집 또는 제3자에게 제공할 수 없습니다.
제 6 장 손해배상 및 기타사항
제 18 조 (손해배상)
당 사이트는 무료로 제공되는 서비스와 관련하여 회원에게 어떠한 손해가 발생하더라도 당 사이트가 고의 또는 과실로 인한 손해발생을 제외하고는 이에 대하여 책임을 부담하지 아니합니다.
제 19 조 (관할 법원)
서비스 이용으로 발생한 분쟁에 대해 소송이 제기되는 경우 민사 소송법상의 관할 법원에 제기합니다.
[부 칙]
1. (시행일) 이 약관은 2016년 9월 5일부터 적용되며, 종전 약관은 본 약관으로 대체되며, 개정된 약관의 적용일 이전 가입자도 개정된 약관의 적용을 받습니다.