• The Transactions of The Korean Institute of Electrical Engineers
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• v.60 no.2
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• pp.266-272
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• 2011

Real Time Pricing(RTP) is used not only to stabilize the price volatility in electricity market, but to hedge the price risk for Load Serving Entity(LSE). This paper presents an efficient method to reduce the risk of the price volatility in real-time electricity market. For designing the RTP, load patterns of customer are calculated by applying the demand elasticity and customer's utility is also analyzed to compute the RTP revenue through the risk-attribute of the LSE. In the end, the distribution of the LSE's profits can be evaluated to lead the optimal RTP value, depending on the level of customer's participation. Results from the case study based on PJM data are reported to illustrate the proposed method.

• International Journal of Aeronautical and Space Sciences
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• v.13 no.1
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• pp.74-89
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• 2012

An adaptive backstepping controller is designed for the automatic landing of a fixed-wing aircraft. The backstepping control scheme is adopted by using the nonlinear six degree-of-freedom dynamics of the aircraft during the landing phase. The adaptive law is integrated along with the backstepping controller in order to estimate the aircraft modeling errors as well as the external disturbance. The dynamic constraints of the states and the actuator inputs are taken into account in the parameter adaptation. This is done to prevent an aggressive adaptation and to provide reliable control commands. Numerical simulations were performed to verify the performance of the proposed control law for the landing of the aircraft with the presence of gust and actuator stuck.

• The Korean Journal of Applied Statistics
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• v.25 no.6
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• pp.897-915
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• 2012

This paper examines the relationship between the stock and futures markets in terms of lead-lag relationship, correlation and the hedge ratio using wavelet analysis. The basic finding is that the relationship between the two markets significantly depends on the time-scale. First, there is a feedback relationship between the stock and futures markets in the long-run scale; however, weaker evidence is observed in shorter-run scales. Second, wavelet correlation between the two markets increases for a longer time scale. Third, the hedge ratio and the effectiveness of hedging strategies increase as the investment horizon gets longer. The results in this paper indicate that the stock and futures series are perfectly correlated in the long run and are tied together over long horizons.

• The Pure and Applied Mathematics
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• v.20 no.4
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• pp.287-298
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• 2013

A standard deviation has been a starting point for a mathematical definition of risk. As a remedy for drawbacks such as subadditivity property discouraging the diversification, coherent and convex risk measures are introduced in an axiomatic approach. Choquet expectation and g-expectations, which generalize mathematical expectations, are widely used in hedging and pricing contingent claims in incomplete markets. The each risk measure or expectation give rise to its own pricing rules. In this paper we investigate relationships among dynamic risk measures, Choquet expectation and dynamic g-expectations in the framework of the continuous-time asset pricing.

• Korea and Global Affairs
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• v.2 no.2
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• pp.89-130
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• 2018

This paper is to analyse the development of the U.S.-China relationship and pending issues and implications. To this end the paper is composed of 6 chapters titled instruction; the relationship between the US and China in the early and hostile confrontation period; the relationship of US-Chinese approach/normalization period and the relationship in the 1980s and 1990s; the relationship by mid-2010 since the opening of the G2 era; the US-China relations and major pending issues and implications in the era of Trump-Xi Jinping; and conclusion. The rapid growth of China over the past three decades has changed the existing US-centered international order and has triggered competition between the two countries. The United States and China have become the only countries that regularly hold strategic and economic dialogue, and the topic has also developed into a country that discusses not only bilateral relations but also global issues. The issues of US-China cooperation and conflicts encompass global issues as well as bilateral relations issues. For example, the South China Sea, the North Korean nuclear issue and the THAAD, the economic and financial order, and the Taiwan issue. It is not a matter of another country, but a problem that directly or indirectly leads to Korea's diplomacy, security and economy. In order to prevent 'Korea passing' in the US-China relationship, we need a hedging strategy that maintains and strengthens the strong ROK-US security cooperation and harmonious promotion of ROK-China economic cooperation.

• The Korean Journal of Financial Management
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• v.9 no.1
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• pp.223-262
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• 1992

This paper develops a theory of the demand for insurance. The present model incorporates insurance demand time value of insurance premium, and demand for listless and risky assets simultaneously within the expected utility framework. For a special case of CARA, an insurance decision can be made separately from other portfolio decisions. However, in general, the interactions of both decisions cannot be ignored even when insurable and speculative risks are stochastically independent. In particular, the role of risky investment in hedging insurable risk is demonstrated and it is shown that this role cannot be duplicated by an insurance contract. When the investment decision is made simultaneously with the insurance decision, some of the classic theory on insurance should be modified. As an example, the authors characterize the sufficient conditions, under which the Bernoulli criteria (without and with premium loadings) hold or are violated in terms of the net gain of risky investment, the net cost of insurance, and the stochastic relationship between insurable and speculative risks. The authors interpret the results using the Rothschild and Stiglitz's (1970) notion of 'increase in riskiness'.

• Korea and Global Affairs
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• v.3 no.1
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• pp.39-76
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• 2019

This paper is to analyze the trend and implications of the publication of China's defense and security white papers. To this end the paper is composed of 5 chapters titled instruction; publication details and composition of China's defense and security white paper; the gist of the white paper on national defense and security during the Chinese president Xi Jinping era; the implications of Chinese white paper on national defense and security during the Chinese president Xi Jinping era; and conclusion. The Chinese Ministry of National Defense had published seven books every two years since 1998 to 2010. In 1995, the ministry published a white paper titled 'China's arms control and disarmament' for the first time. In 2013, it published a white paper titled 'The Diversified Employment of China's Armed Forces' and 'China's Military Strategy' in 2015. All have the common characteristic of being a propaganda policy reflecting China's strategic calculations. It seems that China has began to publish defense white papers in a proactive manner, due to the following factors: (1)pressure on China to demand military transparency from neighboring countries such as the United States; (2)the erosion of the 'China threat.' and (3)confidence in the achievement of China's military modernization. The 'active defensive strategy' and the 'strong defense strategy' of Si Jinping are implied in the words "China's dream is a dream of a powerful country and dream of a strong nation is essential to construct a strong nation." His these strategies have raised security concerns for neighboring countries. We need to maintain and reinforce strong ROK-US security cooperation, and hedging strategies to harmoniously promote ROK-China economic cooperation.

• The Southeast Asian review
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• v.27 no.3
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• pp.93-135
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• 2017

Due to their geographic proximity to Beijing, the Southeast Asian states under the fallout of the China's growing power are struggling to seek the art of diplomacy to promote their national interests. This study explores why Cambodia previously taking a pro-US strategy after the end of the Cold War has switched to a pro-China one in the context of the rise of G-2 system, the ASEAN regionalism, the country's national interest and Hun Sen's regime legitimation. Theoretically, this study takes a realist constructivist approach and tries to find how realist interests and norms have affected the Hun Sen's regime legitimation. The relationship between China and Cambodia has been deepened by mutual economic interdependence and increasingly stronger Chinese power. Especially, the Chinese massive economic aids and investment have enormously supported the regime legitimation of Hun Sen. On the other hand, The US value diplomacy promoting democracy and human rights has undermined the Hun Sen's legitimacy and strained the two nations' relationship. However, the Hun Sen's pro-China strategy is not to check and balance against US strategic interests and not to recognize the Chinese hegemonic position in Southeast Asia. It is a hedging against the US value diplomacy while maximizing economic and other gains from China. ASEAN has been playing a coordinating role to limit the scope of power politics among big powers and to mitigate its ramifications. Yet, since the US and Chinese interests are so keenly criss-crossing, Cambodia may continue to react to the G-2 system through bilateral relations with them.

• Korea Trade Review
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• v.41 no.5
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• pp.113-138
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• 2016

This study analyzed the impact when Korea expands Chinese Renminbi(RMB) as invoicing currency on the trade to China using Monte-Carlo simulation. Primarily, we analyzed the impact on the balance of Korean Won(KRW) converted from RMB in a case that simulated exchange rate(Korean won to Chinese Renminbi) and realized historically identical probability distribution but in different stochastic process. In addition, we developed the simulation of the case where the volatility of RMB to KRW exchange rate abnormally expanded. The major results found in this study are as follows. First, in the case where RMB exchange rate simulated in identical probability distribution but in the different stochastic process, no matter how much RMB was utilized as invoicing currency, expansion of the RMB exchange rate and exchange rate volatility operated as positive mechanism to increase the KRW converted balance. Secondly, while the expansion of US dollar exchange rate volatility positively influences the balance on average, it caused a polarization of balance, which makes under-average-balance lower and over-average-balance higher. On the contrary, the expansion of RMB exchange rate volatility even shows a similar mechanism but the impact is more moderate than USD exchange rate volatility. Thirdly, as RMB exchange rate volatility expanded, the balance of translated invoicing currency (RMB) declined, whilst the negative impact of RMB exchange rate volatility on balance of translated invoicing currency(RMB) showed diminishing effect. Lastly, the influence of RMB's exchange rate volatility through RMB usage ratio trends similar to bull spread strategy, which is a combination of call option with put option. Therefore, since RMB usage in invoicing currency could spawn a hedging effect, corporations might utilize RMB as a strategic device for maximizing profits.

• Analyses & Alternatives
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• v.7 no.3
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• pp.1-26
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• 2023

This article will analyze and forecast important variables and dynamics in global power politics after the war in Ukraine. It tries to use several perspectives to analyze international relations, particularly liberal internationalism and structural realism. In short, core variables are as follows; First, how is the US-led liberal international order and globalization being adjusted? Second, how will the U.S.-China strategic competition, which is the biggest and structural variable, cause changes in the international order in the future? The third variable, how stable are Sino-Russia relations in the context of a structuring U.S.-China-Russia strategic new triangle? Fourth, to what extent will third middle hedging states outside the U.S. and China be able to exercise strategic autonomy in the face of multipolarization? To summarize, the first of these four variables is the largest basic variable at the global political and economic level in terms of its impact on the international community, and it has been led by the United States. The second variable, in terms of actors, seems to be the most influential structural variable in global competition, and the US-China strategic competition is likely to be a long game. Thus the world will not be able to escape the influence of the competition between the two global powers. For South Korea, this second variable is probably the biggest external variable and dilemma. The third variable, the stability of Sino-Russia relations, determines balance of global power in the 21st century. The U.S.-China-Russia strategic new triangle, as seen in the current war in Ukraine, will operate as the greatest power variable in not only global power competition but also changes in the international order. Just as the U.S. is eager for a Sino-Russia fragmentation strategy, such as a Tito-style wedge policy to manage balance of power in the early years of the Cold War, it needs a reverse Kissinger strategy to reset the U.S.-Russia relationship, in order to push for a Sino-Russia splitting in the 21st century. But with the war in Ukraine, it seems that this fragmentation strategy has already been broken. In the context of Northeast Asia, whether or not the stability of Sino-Russia relations depends not only on the United States, but also on the Korean Peninsula. Finally, the fourth variable is a dependent variable that emerged as a result of the interaction of the above three variables, but simultaneously it remains to be seen that this variable is likely to act as the most dynamic and independent variable that can promote multilateralism, multipolarization, and pan-regionalism of the global international community in the future. Taking into account these four variables together, we can make an outlook on the change in the international order.