• Title/Summary/Keyword: Weighted index

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Enhanced Indexation Strategy with ETF and Black-Litterman Model (ETF와 블랙리터만 모형을 이용한 인핸스드 인덱스 전략)

  • Park, Gigyoung;Lee, Youngho;Seo, Jiwon
    • Korean Management Science Review
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    • v.30 no.3
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    • pp.1-16
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    • 2013
  • In this paper, we deal with an enhanced index fund strategy by implementing the exchange trade funds (ETFs) within the context of the Black-Litterman approach. The KOSPI200 index ETF is used to build risk-controlled portfolio that tracks the benchmark index, while the proposed Black-Litterman model mitigates estimation errors in incorporating both active investment views and equilibrium views. First, we construct a Black-Litterman model portfolio with the active market perspective based on the momentum strategy. Then, we update the portfolio with the KOSPI200 index ETF by using the equilibrium return ratio and weighted averages, while devising optimization modeling for improving the information ratio (IR) of the portfolio. Finally, we demonstrate the empirical viability of the proposed enhanced index strategies with KOSPI 200 data.

A Study on the Reliability Index and Customer Density of Distribution System (배전계통의 신뢰도 지수와 수용가 밀도에 관한 연구)

  • Bae, In-Su;Kim, Jin-O
    • The Transactions of The Korean Institute of Electrical Engineers
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    • v.60 no.9
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    • pp.1646-1650
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    • 2011
  • SAIDI(System Average Interruption Duration Index) is the index that signifies the power quality of customers. SAIDI is also used to know how well utilities operate their systems. The annual interruption time in the areas that consists of widely distributed customers, is generally longer than that in the areas that consists of heavily concentrated customers. The Reliability index of huge system is not necessarily better or worse than that of small system, because SAIDI is irrelevant to the total amount of power sold or the total number of customers. This paper proposes a customer density very relevant to SAIDI. The proposed customer density is used to modify the existing SAIDI to more clearly express the service level of power supply. A modified WSAIDI(weighted SAIDI) can be a useful indicator helping utilities improve the reliability of their systems and customers evaluate the service level of receiving power.

Low Complexity Hybrid Interpolation Algorithm using Weighted Edge Detector (가중치 윤곽선 검출기를 이용한 저 복잡도 하이브리드 보간 알고리듬)

  • Kwon, Hyeok-Jin;Jeon, Gwang-Gil;Jeong, Je-Chang
    • The Journal of Korean Institute of Communications and Information Sciences
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    • v.32 no.3C
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    • pp.241-248
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    • 2007
  • In predictive image coding, a LS (Least Squares)-based adaptive predictor is an efficient method to improve image edge predictions. This paper proposes a hybrid interpolation with weighted edge detector. A hybrid approach of switching between bilinear interpolation and EDI (Edge-Directed Interpolation) is proposed in order to reduce the overall computational complexity The objective and subjective quality is also similar to the bilinear interpolation and EDI. Experimental results demonstrate that this hybrid interpolation method that utilizes a weighted edge detector can achieve reduction in complexity with minimal degradation in the interpolation results.

Development of Satellite-based Drought Indices for Assessing Wildfire Risk (산불발생위험 추정을 위한 위성기반 가뭄지수 개발)

  • Park, Sumin;Son, Bokyung;Im, Jungho;Lee, Jaese;Lee, Byungdoo;Kwon, ChunGeun
    • Korean Journal of Remote Sensing
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    • v.35 no.6_3
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    • pp.1285-1298
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    • 2019
  • Drought is one of the factors that can cause wildfires. Drought is related to not only the occurrence of wildfires but also their frequency, extent and severity. In South Korea, most wildfires occur in dry seasons (i.e. spring and autumn), which are highly correlated to drought events. In this study, we examined the relationship between wildfire occurrence and drought factors, and developed satellite-based new drought indices for assessing wildfire risk over South Korea. Drought factors used in this study were high-resolution downscaled soil moisture, Normalized Different Water Index (NDWI), Normalized Multi-band Drought Index (NMDI), Normalized Different Drought Index (NDDI), Temperature Condition Index (TCI), Precipitation Condition Index (PCI) and Vegetation Condition Index (VCI). Drought indices were then proposed through weighted linear combination and one-class support vector machine (One-class SVM) using the drought factors. We found that most drought factors, in particular, soil moisture, NDWI, and PCI were linked well to wildfire occurrence. The validation results using wildfire cases in 2018 showed that all five linear combinations produced consistently good performance (> 88% in occurrence match). In particular, the combination of soil moisture and NDWI, and the combination of soil moisture, NDWI, and precipitation were found to be appropriate for representing wildfire risk.

A NOTE ON THE MAXIMUM ENTROPY WEIGHTING FUNCTION PROBLEM

  • Hong, Dug-Hun;Kim, Kyung-Tae
    • Journal of applied mathematics & informatics
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    • v.23 no.1_2
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    • pp.547-552
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    • 2007
  • In this note, we extends some of the results of Liu [Fuzzy Sets and systems 157 (2006) 869-878]. This extension consists of a simple proof involving weighted functions and their preference index. We also give an elementary simple proof of the maximum entropy weighting function problem with a given preference index value without using any advanced theory like variational principles or without using Lagrangian multiplier methods.

A Study on Business Relative Ranking Valuation of Technology using Business Composite Index (사업성 종합지수를 이용한 기술의 사업성 상대등급 평가에 관한 연구)

  • Sung, OongHyun
    • Knowledge Management Research
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    • v.6 no.2
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    • pp.105-118
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    • 2005
  • The future will see all industries become technology-driven in the competitive global market place. Firms with deep technological roots and innovation strategies have some advantages. Business valuation of technology is critical to the future of firm's business. In this situation widely used scoring valuation is not enough to evaluate relative business competitiveness associated with technology and to assign its relative ranking category. Therefore, a more useful and comprehensive new valuation approach, which is called business composite index, is needed to complement and to enhance the existing scoring valuation approach. In this research, statistical factor analysis is applied to determine the common factors and to estimate associated weights. And business composite index, which is a kind of weighted scoring method, is derived based on the results of factor analysis. This research shows that business composite index is considered very useful to measure the business relative strength of individual technology and also to assign its relative ranking category instead of absolute ranking based on scoring valuation approach.

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Multi Layered Planting Models of Zelkova serrata Community according to Warmth Index (온량지수에 따른 느티나무군락의 다층구조 식재모델)

  • Kong, Seok Jun;Shin, Jin Ho;Yang, Keum Chul
    • Journal of the Korean Society of Environmental Restoration Technology
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    • v.15 no.2
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    • pp.77-84
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    • 2012
  • This study suggested the planting model of Zelkova serrata communities in the areas with the warmth index of both 80~100 and $100{\sim}120^{\circ}C{\cdot}month$. Warmth index was calculated with 449 weather points using inverse distance weighted interpolation method. The planting species were selected by correlation analysis between Z. serrata and each species of four or more frequency among the 36 relev$\acute{e}$ surveyed for this study. The result of this study is summarized as follows : Warmth index of Z. serrata communities was among $74{\sim}118^{\circ}C{\cdot}month$. Results of the correlation analysis between Z. serrata and each species observed that the Z. serrata belongs to the tree layer with warmth index of 80~100 and $100{\sim}120^{\circ}C{\cdot}month$. On the other hand, the species of Carpinus laxiflora, Quercus serrata, Prunus sargentii and Platycarya strobilacea appeared only in the tree layer with warmth index of $80{\sim}100^{\circ}C{\cdot}month$. Z. serrata and Styrax japonica appeared in the subtree layer with the warmth index of 80~100 and $100{\sim}120^{\circ}C{\cdot}month$, while Acer pseudosieboldianum, Lindera erythrocarpa, Acer mono, Quercus serrata, etc. appeared in the subtree layer with the warmth index of $80{\sim}100^{\circ}C{\cdot}month$. Z. serrata, Ligustrum obtusifolium, Lindera obtusiloba, Callicarpa japonica and Zanthoxylum schinifolium all appeared in the shrub layer with the warmth index of 80~100 and $100{\sim}120^{\circ}C{\cdot}month$. Lindera erythrocarpa, Orixa japonica, Staphylea bumalda, Akebia quinata and Sorbus alnifolia appeared in the shrub layer with the warmth index of $80{\sim}100^{\circ}C{\cdot}month$ and Styrax japonica and Stephanandra incisa appeared in the shrub layer with the warmth index of $100{\sim}120^{\circ}C{\cdot}month$, The numbers of each species planted in a $100m^2$ area of the Z. serrata community were suggested as follows : five in tree layer, five in subtree layer and nine in shrub layer. The average area of canopy are suggested to be about $86m^2$ for tree layer, $34m^2$ for subtree layer and $34m^2$ for shrub layer.

SECOND MAIN THEOREM WITH WEIGHTED COUNTING FUNCTIONS AND UNIQUENESS THEOREM

  • Yang, Liu
    • Bulletin of the Korean Mathematical Society
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    • v.59 no.5
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    • pp.1105-1117
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    • 2022
  • In this paper, we obtain a second main theorem for holomorphic curves and moving hyperplanes of Pn(C) where the counting functions are truncated multiplicity and have different weights. As its application, we prove a uniqueness theorem for holomorphic curves of finite growth index sharing moving hyperplanes with different multiple values.

Reliability of the Emergency Severity Index Version 4 Performed by Trained Triage Nurse (중증도 분류 간호사에 의한 응급환자 중증도 분류 신뢰도 측정 연구: Emergency Severity Index Version 4를 중심으로)

  • Choi, Hee Kang;Choi, Min Jin;Kim, Ju Won;Lee, Ji Yeon;Shin, Sun Hwa;Lee, Hyun Jung
    • Journal of Korean Critical Care Nursing
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    • v.5 no.2
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    • pp.61-71
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    • 2012
  • Purpose: The aim of this study was to measure the inter-rater reliability of Emergency severity index (ESI) version 4 among triage nurse. Methods: This study was carried out from August 11, 2010 to September 7, 2010 in a regional emergency department. Data collection was done by ten triage nurses who trained ESI v.4. Two research nurses and ten triage nurses scored the ESI version 4 to the patients as references, independently. We calculated the weighted kappa between the triage nurses and research nurses to evaluate the consistency of the ESI v.4. Results: A total of 233 patients were enrolled in this study. Classification of ESI level was as follows - level 1 (0.4%), level 2 (21.0%), level 3 (67.8%), level 4 (9.4%), and level 5 (1.3%). Inter-rater reliability by weighted kappa was 0.79 (95% Confidence Interval= 0.74-0.83) and agreement rate was 87.1%. Under-triage rate by triage nurse was 6.0% and over-triage rate was 6.9%. Conclusion: For this study, inter-rater reliability was measured good level between triage nurses and research nurses in Korean single ED.

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Electricity Consumption as an Indicator of Real Economic Status (전력소비를 이용한 실물경기지수 개발에 관한 연구)

  • Oh, Seung-Hwan;Kim, Tea-Joong;Kwak, Dong-Chul
    • Journal of Distribution Science
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    • v.14 no.3
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    • pp.63-71
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    • 2016
  • Purpose - A variety of indicators are used for the diagnosis of economic situation. However, most indicators explain the past economic situation because of the time difference between the measurement and announcement. This study aims to argue for the resurrection of an idea: electricity demand can be used as an indicator of economic activity. In addition, this study made an endeavor to develop a new Real Business Index(RBI) which could quickly represent the real economic condition based on the sales statistics of industrial and public electricity. Research design, data, and methodology - In this study monthly sales of industrial and public electricity from 2000 to 2015 was investigated to analyze the relationship between the economic condition and the amount of electricity consumption and to develop a new Real Business Index. To formulate the Index, this study followed next three steps. First, we decided the explanatory variables, period, and collected data. Second, after calculating the monthly changes for each variable, standardization and estimating the weighted value were conducted. Third, the computation of RBI finalized the development of empirical model. The principal component analysis was used to evaluate the weighted contribution ratio among 3 sectors and 17 data. Hodrick-Prescott filter analysis was used to verify the robustness of out model. Results - The empirical results are as follows. First, compatibility of the predictability between the new RBI and the existing monthly cycle of coincident composite index was extremely high. Second, two indexes had a high correlation of 0.7156. In addition, Hodrick-Prescott filter analysis demonstrated that two indexed also had accompany relationship. Third, when the changes of two indexes were compared, they were found that the times when the highest and the lowest point happened were similar, which suggested that it is possible to use the new RBI index as a complementing indicator in a sense that the RBI can explain the economic condition almost in real time. Conclusion - A new economic index which can explain the economic condition needs to be developed well and rapidly in a sense that it is useful to determine accurately the current economic condition to establish economic policy and corporate strategy. The salse of electricity has a close relationship with economic conditions because electricity is utilized as a main resource of industrial production. Furthermore, the result of the sales of electricity can be gathered almost in real time. This study applied the econometrics model to the statistics of the sales of industrial and public electricity. In conclusion, the new RBI index was highly related with the existing monthly economic indexes. In addition, the comparison between the RBI index and other indexes demonstrated that the direction of the economic change and the times when the highest and lowest points had happened were almost the same. Therefore, this RBI index can become the supplementary indicator of the official indicators published by Korean Bank or the statistics Korea.