• The Pure and Applied Mathematics
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• v.16 no.1
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• pp.121-131
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• 2009

In this paper we examine the relation among law-invariant coherent risk measures with the Fatou property, distortion risk measures and spectral risk measures, and give a new proof of the relation among them. It is also shown that the spectral risk measure satisfies the monotonicity with respect to stochastic dominance and the comonotonic additivity.

• The Korean Journal of Financial Management
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• v.26 no.1
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• pp.189-220
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• 2009

This study tests the significance of momentum and contrarian strategy which challenge the weak efficient market hypothesis (EMH). If momentum and contrarian strategy can make extra return above the market, this can be a significant critics to the weak EMH. By using Monte Carlo simulation we have found that many existing returature, which test the significance of momentum and contrarian strategy, have a significance distortion problem. We test the significance of momentum and contrarian strategy by using reality check test of White(2000) which solve the problem of data snooping bias. The results are following. When we use the KOSPI index as the benchmark portfolio, we can get the best strategy of momentum strategy in the case of mean return. But in the case of Sharp ratio which is the performance measure adjusting risk, we find that the best strategy in the momentum and contrarian strategy can not dominate the performance of benchmark portfolio. Therefore we argue that weak EMH can not be rejected because of superior performance of momentum and contrarian strategy when we consider risk.

• The Journal of the Korea Contents Association
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• v.8 no.11
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• pp.203-209
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• 2008

Nowadays the risk of radiation is getting more serious, so we must know the exact dose that was irradiated, Because very high radiation dose is used in radiation therapy field. We used the ionization chamber which measure the radiation dose in this study. We tried to know the incorrect result from the distortion of geometric structure of ionization chamber and we studied how to find the distortion of geometric structure of ionization chamber. We used a radio fluoroscopy to find the wound degree of electrode of ionization chamber and a reconstructed 3D CT image to analyze the wound degree of electrode quantitatively. we measured degree of distortion by comparing with absorbed dose of normal electrode and wound electrode. The comparative result is not absolute dosimetry at specific point but relative dosimetry between thats. We measured 4 MV, 10MV photon with same absorbed dose and dose rate. The degree of distortion of wound electrode was totally $5.5{\sim}7.2%$, and there was no difference between two energies. The variation induced from radiation dose to be irradiated and dose rate, and the degree of distortion from wound direction also was almost similar value. We could find that the geometric structure of ionization chamber that can influence a basic measurement of radiation dose can be changed by old usage and inattention of management in this study, especially winding of electrode can be happened, in radiation therapy field, It is very important to keep precise radiation dose quantitatively.