• Korean Management Science Review
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• v.33 no.4
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• pp.51-64
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• 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.

• Korean Management Science Review
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• v.32 no.1
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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.

• Journal of Distribution Science
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• v.17 no.9
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• pp.117-125
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• 2019

Purpose - We investigate how to increase consumer incentives to buy public offering funds, resulting in activating the public offering fund market. In particular, this study aims to find ways to expand diversity and to improve efficiency of public offering fund. The public fund market of Korea has been stagnant in recent years. However, the public offering fund market plays a very significant role in terms of consumer welfare. Since only a few wealthy investors can participate in the private equity market, the stagnation in the public offering fund market usually reduces the opportunity of consumer's buying funds thus ultimately affecting their future wealth. Research design, data, and methodology - To attain our purpose, the 'factor-based portfolio strategy' has been considered. It is an alternative portfolio strategy, which composites the advantages of the passive management and active management. For our empirical anaylsis, we used global stock distribution market data over the period of 1991 and 2016. Then we constructed portfolios based on firm-size, firm-value, and momentum. Finally, a regression model was set, then hypotheses were tested, analyzing the performances. Results - First, among the 15 factor-based portfolios of global, Europe, Asia-Pacific(ex Japan), US and Japan, in eight portfolios, positive excess returns are observed at 5% significance level. Further, there is another portfolio with positive excess return at 10% significance level. Second, most of the portfolios with significant excess performance show positive relationship with the market portfolio. However, the firm-value based portfolio in Asia-Pacific region shows no relationship, and the firm-value based portfolio in US shows negative relationship. Third, we confirmed that the two firm-value factor portfolios in Asia-Pacific region and US, not having positive relationship with market portfolio, provide significant excess returns. Conclusions - In this paper, we provide empirical evidences supporting that the factor-based portfolios expand the diversity of funds and improve the efficiency of investment performance. However, there is no guarantee that the efficiency will continue in the future. In addition, various constraints and costs must be considered. Nevertheless, our novel findings in the advanced financial market such as US and Asia-Pacific are very interesting and offers important implications.

• Korean Journal of Construction Engineering and Management
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• v.5 no.2 s.18
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• pp.211-218
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• 2004

In a large owner organization, a program manager of multiple maintenance and remodeling projects has experienced increasing scale and complexity of coordinating the M/R projects with in-house technicians who belong to multiple trade shops. This paper proposes a dual-level hierarchical planning strategy that consists of a program master plan in the long-term horizon and a master construction schedule in an operational scheduling window. A rolling horizon approach to the program master plan is proposed to deal with the external uncertainty of unknown stream of project requests. A resource-constrained scheduling algorithm is developed to generate the master construction schedule in a scheduling window. During development of the algorithm, more emphasis is placed on long-term organizational resource continuity, especially flow management of program constraint resources, than ephemeral events of an individual activity and project. Monte Carlo simulation experiments of three scheduling windows are used to evaluate the relative performance of the proposed scheduling algorithm against three popular scheduling heuristics for resource-constrained multiple projects.

• Bulletin of the Korean Space Science Society
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• 1993.04a
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• pp.16-16
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• 1993

The Cosmic Mach number M is the ratio of the bulk flow velocity of the galaxrvelocity field on some scale R to the unall scale velocity dispersion within refcions of scale R. Because M is the ratio of two velocities, it is inn-dimansionat and the Here, independent of the amplitude of the power specHim and of the biasplnmeter in the linear theory. We have measured the Mach rnlmber for two observational samples: a spiral galaxy sample(AHM) of Aaronson and hiscoBlaborators with absolute distances measured by the infrared Ttillr-Fisher relatioa and an elliptical galaxy sample(EGALS) of Faber or 0, with distances determined by the relation. The effective depths distances of galaxies from the Local Group of these samples are 1639 km/s and 2862 e/s, respectivelr. The Machnumbers from these observed peculiar velocity Selds He fund as M=0.95 for AHMand M=0.59 for EGALS. We comPBre these calculated Mach numbers with thosefrom meck surweys drawn fuom three cosnulogical medels: the stand8rd biased nh=0.5 CDM modet an open CDM rrudel with gh=0.2, and a medd with thepower-law power specelm P(k)-k-1 and n=1. The Mach rnlmber test can give robust constraints on these cosmelogical nudels whose power spectra have very different shapes at large scales.

• Journal of National Security and Military Science
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• s.2
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• pp.201-235
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• 2004

This paper provides a simple microeconomic model of terrorist attcks and anti-terrorism policies. The terrorists can be characterised as rational actors, choosing between legal activities and terrorist activities to promote their political goals. Since their resources are limited, one can think of anti-terrorist policies by examining how such policies affect the objectives and constraints of terrorists. Deterrence policy seeks to reduce terrorist attacks by raising the cost of undertaking terrorist acts. Proactive policy aims at preventing attacks by destroying terrorists' resources (fund, personnel, leadership). This paper suggests another type of anti-terrorist policy which is to reduce the benefits of (or in other words, raising the opportunity costs of) terrorist acts. Such a policy is based on decentralisation in political decision-making and economic power.

• IE interfaces
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• v.24 no.4
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• pp.314-322
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• 2011

This study analyzes a relationship between Data Envelopment Analysis(DEA) efficiency scores and a normalization index in order to examine the validity of DEA models. A normalization index concerned in this study is 'sales per R&D project fund' which is regarded as a crucial R&D project performance evaluation index in practice. For this correlation analysis, three distinct DEA models are selected such as DEA basic model, DEA/AR-I revised model(i.e. DEA basic model with Acceptance Region Type I constraints) and Super-Efficiency(SE) model. Especially, SE model is adopted where efficient R&D projects(i.e. Decision Making Units, DMU's) with DEA efficiency score of unity from DEA basic model can be further differentiated in ranks. Considering the non-normality and outliers, two rank correlation coefficients such as Spearman's ${\rho}_s$ and Kendall's ${\tau}_B$ are investigated in addition to Pearson's ${\gamma}$. With an up-to-date empirical massive dataset of n = 482 R&D projects associated with R&D Loan Program of Korea Information Communication Promotion Fund in the year of 2011, statistically significant (+) correlations are verified between the normalization index and every model's DEA efficiency scores with all three correlation coefficients. Especially, the congruence verified in this empirical analysis can be a useful reference for enhancing the practitioner's acceptability onto DEA efficiency scores as a real-world R&D project performance evaluation index.

• The Korean Journal of Financial Management
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• v.25 no.4
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• pp.25-51
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• 2008

In this paper, we analyse empirically the fixed asset investment smoothing of working capital of firms listed on Korea Securities Market. The main results of this study can be summarized as follows. Firms will seek to lower long-term cost by smoothing fixed asset investment and maintaining stationary investment with working capital. Working capital is not only an important use of fund, but also a source of liquidity that should be used to smooth fixed asset investment relative to cash flow shocks if firms face financial constraints. Working capital investment is more sensitive than fixed asset investment to cash flow fluctuations. If firms face financial constraints, working capital investment will compete with fixed asset investment for the limited pool of available cash flows. So, fixed asset investment will have negative relationship with working capital investment. However, criticism that the positive correlation between cash flows and fixed asset investment could arise simply because cash flows is proxy variable for investment demand. Finally, controlling for the fixed asset investment smoothing effects of working capital results in a much larger estimate of the long run impact of financial constraints. Financial constraints is measured by dividend payout ratio and market access level. Fazzari et al. (1988), Fazzari and Petersen (1993), and Faulkender et al. (2008) emphasize that low dividend firms or market unaccessible firms are more likely to face financial constraints, and rarely make use of new equity issuing. The results from empirical analysis show that financial constraints can be better explained using 'adjustment cost' concept. Specifically, the results show that financial constraints exist and that in order to measure financial constraint effects more succinctly, fixed asset investment smoothing effects with working capital should be considered.

• Journal of Korea Technology Innovation Society
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• v.12 no.4
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• pp.687-714
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• 2009

In this paper, we study empirically the relations between financial constraints and dividend adjustment speed of innovative small and medium sized enterprises (SMEs) listed on Kosdaq Market of Korea Exchange. The main results of this study can be summarized as follows. Determinants suggested by the major theories of dividends, namely, residual dividend theory, dividend signaling theory, agency theory, catering theory, and transactions cost theory explain significantly the dividend payout policy of Kosdaq SMEs. Lintner's dividend adjustment model indicates that Kosdaq SMEs have long run target payout ratio, and that Kosdaq SMEs adjust partially the gap between actual and target payout ratio each year. In the core variables of Lintner (1956) dividend adjustment model, past DPS has more effect than current EPS. These results suggest that Kosdaq SMEs maintain stable dividend policy which maintain past DPS level without corporate special reasons. Dividend adjustment speed of innovative Kosdaq SMEs is more fast than that of uninnovative Kosdaq SMEs, and dividend adjustment speed of financial unconstrained innovative Kosdaq SMEs is faster than that of financial constrained innovative Kosdaq SMEs. Futhermore, dividend adjustment speed of innovative Kosdaq SMEs classified by Small and Medium Business Administration is faster than that of unclassified innovative Kosdaq SMEs. The former is linked with financial policies and services like credit guaranteed service, venture investment fund, insurance program, and so on. In conclusion, past DPS and current EPS suggested by the Lintner's dividend adjustment model explain mainly dividend adjustment speed, and financial constraints explain also partially. Therefore, if managers of innovative Kosdaq SMEs can properly understand of the effects of financial constraints on dividend smoothing, they can maintain constantly dividend policy. This is encouraging result for Korea government as it has implemented many policies to commit to innovative Kosdaq SMEs.

• Korean small business review
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• v.31 no.4
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• pp.67-93
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• 2009

The purpose of this paper is to explore the relations between financial constraints and dividend smoothing of innovative small and medium sized enterprises(SMEs) listed on Korea Securities Market and Kosdaq Market of Korea Exchange. The innovative SMEs is defined as the firms with high level of R&D intensity which is measured by (R&D investment/total sales) ratio, according to Chauvin and Hirschey (1993). The R&D investment plays an important role as the innovative driver that can increase the future growth opportunity and profitability of the firms. Therefore, the R&D investment have large, positive, and consistent influences on the market value of the firm. In this point of view, we expect that the innovative SMEs can adjust dividend payment faster than the noninnovative SMEs, on the ground of their future growth opportunity and profitability. And also, we expect that the financial unconstrained firms can adjust dividend payment faster than the financial constrained firms, on the ground of their financing ability of investment funds through the market accessibility. Aivazian et al.(2006) exert that the financial unconstrained firms with the high accessibility to capital market can adjust dividend payment faster than the financial constrained firms. We collect the sample firms among the total SMEs listed on Korea Securities Market and Kosdaq Market of Korea Exchange during the periods from January 1999 to December 2007 from the KIS Value Library database. The total number of firm-year observations of the total sample firms throughout the entire period is 5,544, the number of firm-year observations of the dividend firms is 2,919, and the number of firm-year observations of the non-dividend firms is 2,625. About 53%(or 2,919) of these total 5,544 observations involve firms that make a dividend payment. The dividend firms are divided into two groups according to the R&D intensity, such as the innovative SMEs with larger than median of R&D intensity and the noninnovative SMEs with smaller than median of R&D intensity. The number of firm-year observations of the innovative SMEs is 1,506, and the number of firm-year observations of the noninnovative SMEs is 1,413. Furthermore, the innovative SMEs are divided into two groups according to level of financial constraints, such as the financial unconstrained firms and the financial constrained firms. The number of firm-year observations of the former is 894, and the number of firm-year observations of the latter is 612. Although all available firm-year observations of the dividend firms are collected, deletions are made in the case of financial industries such as banks, securities company, insurance company, and other financial services company, because their capital structure and business style are widely different from the general manufacturing firms. The stock repurchase was involved in dividend payment because Grullon and Michaely (2002) examined the substitution hypothesis between dividends and stock repurchases. However, our data structure is an unbalanced panel data since there is no requirement that the firm-year observations data are all available for each firms during the entire periods from January 1999 to December 2007 from the KIS Value Library database. We firstly estimate the classic Lintner(1956) dividend adjustment model, where the decision to smooth dividend or to adopt a residual dividend policy depends on financial constraints measured by market accessibility. Lintner model indicates that firms maintain stable and long run target payout ratio, and that firms adjust partially the gap between current payout rato and target payout ratio each year. In the Lintner model, dependent variable is the current dividend per share(DPS_t), and independent variables are the past dividend per share(DPS_t-1) and the current earnings per share(EPS_t). We hypothesized that firms adjust partially the gap between the current dividend per share(DPS_t) and the target payout ratio(Ω) each year, when the past dividend per share(DPS_t-1) deviate from the target payout ratio(Ω). We secondly estimate the expansion model that extend the Lintner model by including the determinants suggested by the major theories of dividend, namely, residual dividend theory, dividend signaling theory, agency theory, catering theory, and transactions cost theory. In the expansion model, dependent variable is the current dividend per share(DPS_t), explanatory variables are the past dividend per share(DPS_t-1) and the current earnings per share(EPS_t), and control variables are the current capital expenditure ratio(CEA_t), the current leverage ratio(LEV_t), the current operating return on assets(ROA_t), the current business risk(RISK_t), the current trading volume turnover ratio(TURN_t), and the current dividend premium(DPREM_t). In these control variables, CEA_t, LEV_t, and ROA_t are the determinants suggested by the residual dividend theory and the agency theory, ROA_t and RISK_t are the determinants suggested by the dividend signaling theory, TURN_t is the determinant suggested by the transactions cost theory, and DPREM_t is the determinant suggested by the catering theory. Furthermore, we thirdly estimate the Lintner model and the expansion model by using the panel data of the financial unconstrained firms and the financial constrained firms, that are divided into two groups according to level of financial constraints. We expect that the financial unconstrained firms can adjust dividend payment faster than the financial constrained firms, because the former can finance more easily the investment funds through the market accessibility than the latter. We analyzed descriptive statistics such as mean, standard deviation, and median to delete the outliers from the panel data, conducted one way analysis of variance to check up the industry-specfic effects, and conducted difference test of firms characteristic variables between innovative SMEs and noninnovative SMEs as well as difference test of firms characteristic variables between financial unconstrained firms and financial constrained firms. We also conducted the correlation analysis and the variance inflation factors analysis to detect any multicollinearity among the independent variables. Both of the correlation coefficients and the variance inflation factors are roughly low to the extent that may be ignored the multicollinearity among the independent variables. Furthermore, we estimate both of the Lintner model and the expansion model using the panel regression analysis. We firstly test the time-specific effects and the firm-specific effects may be involved in our panel data through the Lagrange multiplier test that was proposed by Breusch and Pagan(1980), and secondly conduct Hausman test to prove that fixed effect model is fitter with our panel data than the random effect model. The main results of this study can be summarized as follows. The determinants suggested by the major theories of dividend, namely, residual dividend theory, dividend signaling theory, agency theory, catering theory, and transactions cost theory explain significantly the dividend policy of the innovative SMEs. Lintner model indicates that firms maintain stable and long run target payout ratio, and that firms adjust partially the gap between the current payout ratio and the target payout ratio each year. In the core variables of Lintner model, the past dividend per share has more effects to dividend smoothing than the current earnings per share. These results suggest that the innovative SMEs maintain stable and long run dividend policy which sustains the past dividend per share level without corporate special reasons. The main results show that dividend adjustment speed of the innovative SMEs is faster than that of the noninnovative SMEs. This means that the innovative SMEs with high level of R&D intensity can adjust dividend payment faster than the noninnovative SMEs, on the ground of their future growth opportunity and profitability. The other main results show that dividend adjustment speed of the financial unconstrained SMEs is faster than that of the financial constrained SMEs. This means that the financial unconstrained firms with high accessibility to capital market can adjust dividend payment faster than the financial constrained firms, on the ground of their financing ability of investment funds through the market accessibility. Futhermore, the other additional results show that dividend adjustment speed of the innovative SMEs classified by the Small and Medium Business Administration is faster than that of the unclassified SMEs. They are linked with various financial policies and services such as credit guaranteed service, policy fund for SMEs, venture investment fund, insurance program, and so on. In conclusion, the past dividend per share and the current earnings per share suggested by the Lintner model explain mainly dividend adjustment speed of the innovative SMEs, and also the financial constraints explain partially. Therefore, if managers can properly understand of the relations between financial constraints and dividend smoothing of innovative SMEs, they can maintain stable and long run dividend policy of the innovative SMEs through dividend smoothing. These are encouraging results for Korea government, that is, the Small and Medium Business Administration as it has implemented many policies to commit to the innovative SMEs. This paper may have a few limitations because it may be only early study about the relations between financial constraints and dividend smoothing of the innovative SMEs. Specifically, this paper may not adequately capture all of the subtle features of the innovative SMEs and the financial unconstrained SMEs. Therefore, we think that it is necessary to expand sample firms and control variables, and use more elaborate analysis methods in the future studies.