• 경영과학
• /
• 제33권4호
• /
• pp.51-64
• /
• 2016

The maximum weight of single stock in mutual fund is limited by regulations to enforce diversification. Under incomplete information with added constraints on portfolio weights, enhanced performance had been reported in previous researches. We analyze a weight vector to examine the effects of additional constraints on the portfolio's performance by computing the Euclidean distance from the in-sample tangency portfolio, as opposed to previous researches which analyzed ex-post return only. Empirical experiment was performed on Mean-variance and Minimum-variance model with Fama French's 30 industry portfolio and 10 industry portfolio for the last 1,000 months from August 1932 to November 2015. We find that diversification-constrained portfolios have 7% to 26% smaller Euclidean distances with the benchmark portfolio compared to those of unconstrained portfolios and 3% to 11% greater Sharpe Ratio.

• Journal of the Korean Data and Information Science Society
• /
• 제22권3호
• /
• pp.589-596
• /
• 2011

The conditional autoregressive value at risk (CAViaR) model is useful for risk management, which does not require the assumption that the conditional distribution does not vary over time but the volatility does. But it does not provide volatility forecasts, which are needed for several important applications such as option pricing and portfolio management. For a variety of probability distributions, it is known that there is a constant relationship between the standard deviation and the distance between symmetric quantiles in the tails of the distribution. This inspires us to use a support vector quantile regression (SVQR) for volatility forecasts with the distance between CAViaR forecasts of symmetric quantiles. Simulated example and real example are provided to indicate the usefulness of proposed forecasting method for volatility.

• 품질경영학회지
• /
• 제22권2호
• /
• pp.89-97
• /
• 1994

We consider the linear calibration model: $y_1={\alpha}+{\beta}x_i+{\sigma}{\varepsilon}_i$, i = 1, ${\cdots}$, n, $y={\alpha}+{\beta}x+{\sigma}{\varepsilon}$ where ($y_1$, ${\cdots}$, $y_n$, y) stands for an observation vector, {$x_i$} fixed design vector, (${\alpha}$, ${\beta}$) vector of regression parameters, x unknown true value of interest and {${\varepsilon}_i$}, ${\varepsilon}$ are mutually uncorrelated measurement errors with zero mean and unit variance but otherwise unknown distributions. On the basis of simple small-sample low-noise approximation, we introduce a new method of comparing the mean squared errors of the various competing estimators of the true value x for finite sample size n. Then we show that a class of estimators including the classical and the inverse estimators are consistent and first-order efficient within the class of all regular consistent estimators irrespective of type of measurement errors.

• 한국경영과학회지
• /
• 제31권2호
• /
• pp.69-85
• /
• 2006

Transductive Support Vector Machine(TSVM) is one of semi-supervised learning algorithms which exploit the domain structure of the whole data by considering labeled and unlabeled data together. Although it was proposed several years ago, there has been no efficient algorithm which can handle problems with more than hundreds of training examples. In this paper, we propose an efficient branch-and-bound algorithm which can solve large-scale TSVM problems with thousands of training examples. The proposed algorithm uses two bounding techniques: min-cut bound and reduced SVM bound. The min-cut bound is derived from a capacitated graph whose cuts represent a lower bound to the optimal objective function value of the dual problem. The reduced SVM bound is obtained by constructing the SVM problem with only labeled data. Experimental results show that the accuracy rate of TSVM can be significantly improved by learning from the optimal solution of TSVM, rather than an approximated solution.

• 반도체디스플레이기술학회지
• /
• 제9권4호
• /
• pp.93-97
• /
• 2010

Fast incipient fault diagnosis is becoming one of the key requirements for economical and optimal process operation management in high-tech industries. Artificial neural networks have been used to detect faults for a number of years and shown to be highly successful in this application area. This paper presents a novel test technique for fault detection and classification for module process of TFT-LCD manufacture using support vector machines (SVMs). In order to evaluate SVMs, this paper examines the performance of the proposed method by comparing it with that of multilayer perception, one of the artificial neural network techniques, based on real benchmarking data.

• 한국통신학회논문지
• /
• 제36권7B호
• /
• pp.771-779
• /
• 2011

It is expected that many heterogeneous wireless systems, such as 3GPP LTE systems, WiMAX systems and WLAN systems, will coexist in the next generation wireless communication environments. Integrated radio resource management and seamless vertical handoff (VHO) should be supported to provide integrated communication services over multi-radio access networks. A new class of adaptive VHO system that views the handoff problem as a pattern recognition problem is proposed. In this paper, we propose a unified radio resource management (URRM) architecture and Support Vector Machine (SVM) based vertical handoff decision system. Extensive simulation studies show the proposed VHO algorithm outperforms RSS based VHO algorithms in terms of throughput and service cost.

• Asia pacific journal of information systems
• /
• 제14권2호
• /
• pp.115-130
• /
• 2004

This paper proposes how to build an expert profile database in KMS, which provides the information of expertise that each expert possesses in the organization. To manage tacit knowledge in a knowledge management system, recent researches in this field have shown that it is more applicable in many ways to provide expert search mechanisms in KMS to pinpoint experts in the organizations with searched expertise so that users can contact them for help. In this paper, we develop a framework to automate expert classification using a text categorization technique called Vector Space Model, through which an expert database composed of all the compiled profile information is built. This approach minimizes the maintenance cost of manual expert profiling while eliminating the possibility of incorrectness and obsolescence resulted from subjective manual processing. Also, we define the structure of expertise so that we can implement the expert classification framework to build an expert database in KMS. The developed prototype system, "Knowledge Portal for Researchers in Science and Technology," is introduced to show the applicability of the proposed framework.

• 정보관리학회지
• /
• 제22권3호
• /
• pp.261-287
• /
• 2005

이 논문의 목적은 SVM(지지벡터기계) 분류기의 성능을 문헌간 유사도를 이용해서 향상시키는 것이다. SVM은 효과적인 기계학습 시스템으로서 최고 수준의 문헌자동분류 기술로 인정받고 있다. 이 연구에서는 문헌 벡터 자질 표현에 기반한 SVM 문헌자동분류를 제안하였다. 제안한 방식은 분류 자질로 색인어 대신 문헌 벡터를, 자질 값으로 가중치 대신 벡터유사도를 사용한다. 제안한 방식에 대한 실험 결과, SVM 분류기의 성능을 향상시킬 수 있었다. 실행 효율 향상을 위해서 문헌 벡터 자질 선정 방안과 범주 센트로이드 벡터를 사용하는 방안을 제안하였다. 실험 결과 소규모의 벡터 자질 집합만으로도 색인어 자질을 사용하는 기존 방식보다 나은 성능을 얻을 수 있었다.

• 한국지능정보시스템학회:학술대회논문집
• /
• 한국지능정보시스템학회 2006년도 춘계학술대회
• /
• pp.167-175
• /
• 2006

Building accurate corporate bankruptcy prediction models has been one of the most important research issues in finance. Recently, support vector machines (SVMs) are popularly applied to bankruptcy prediction because of its many strong points. However, in order to use SVM, a modeler should determine several factors by heuristics, which hinders from obtaining accurate prediction results by using SVM. As a result, some researchers have tried to optimize these factors, especially the feature subset and kernel parameters of SVM But, there have been no studies that have attempted to determine appropriate instance subset of SVM, although it may improve the performance by eliminating distorted cases. Thus in the study, we propose the simultaneous optimization of the instance selection as well as the parameters of a kernel function of SVM by using genetic algorithms (GAs). Experimental results show that our model outperforms not only conventional SVM, but also prior approaches for optimizing SVM.

• 대한산업공학회지
• /
• 제36권3호
• /
• pp.203-211
• /
• 2010

This study examines a cointegrated vector autoregressive (VAR) model where parameters are subject to switch across the regimes in the term structure of interest rates. To employ the regime switching framework, the Markov-switching vector error correction model (MS-VECM) is allowed to the regime shifts in the vector of intercept terms, the variance-covariance terms, the error correction terms, and the autoregressive coefficient parts. The corresponding approaches are illustrated using the term structure of interest rates in the US Treasury bonds over the period of 1958 to 2009. Throughout the modeling procedure, we find that the MS-VECM can form a statistically adequate representation of the term structure of interest rate in the US Treasury bonds. Moreover, the regime switching effects are analyzed in connection with the historical government monetary policy and with the recent global financial crisis. Finally, the results from the comparisons both in information criteria and in forecasting exercises with and without the regime switching lead us to conclude that the models in the presence of regime dependence are superior to the linear VECM model.