• Proceedings of the Korea Water Resources Association Conference
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• 2021.06a
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• pp.206-206
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• 2021

The necessity for appropriate management of water resources infrastructures such as reservoirs, levees, and dikes is increasing due to unexpected hydro-climate irregularities and rising water demands. To meet this need, past studies have focused on advancing theoretical optimization algorithms such as nonlinear programming, dynamic programming (DP), and genetic programming. Yet, the optimally derived theoretical solutions are limited to be directly implemented in making release decisions in the real-world systems for a variety of reasons. This study first aims to comparatively analyze the two prominent optimization methods, DP and evolutionary multi-objective direct policy search (EMODPS), under historical inflow series using K-fold cross validation. A total of six optimization models are formed each with a specific formulation. Then, one of the optimization models was coupled with the actual zone-based hedging rule that has been adopted in practice. The proposed methodology was applied to Boryeong Dam located in South Korea with conflicting objectives between supply and demand. As a result, the EMODPS models demonstrated a better performance than the DP models in terms of proximity to the ideal. Moreover, the incorporation of the real-world policy with the optimal solutions improved in all indices in terms of the supply side, while widening the range of the trade-off between frequency and magnitude measured in the sides of demand. The results from this study once again highlight the necessity of closing the gap between the theoretical solutions with the real-world implementable policies.

• The Transactions of the Korean Institute of Electrical Engineers A
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• v.53 no.7
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• pp.414-419
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• 2004

In TWBP new uncertainty will be increased. Risk management is risen to a important problem. Vesting contract makes market Players trade at fixed price in TWBP early stages. In the case of advanced country, market players manage risk with a future contract. When a risk management method moves from vesting contract to future contract, it may have to use together two contracts for schedule period. In this paper, risk management strategy that use vesting contract and forward contract at the same time is proposed.

• The Pure and Applied Mathematics
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• v.19 no.4
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• pp.363-381
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• 2012

Shortfall risk is considered by taking some exposed risks because the superhedging price is too expensive to be used in practice. Minimizing shortfall risk can be reduced to the problem of finding a randomized test ${\psi}$ in the static problem. The optimization problem can be solved via the classical Neyman-Pearson theory, and can be also explained in terms of hypothesis testing. We introduce the classical Neyman-Pearson lemma expressed in terms of mathematics and see how it is applied to shortfall risk in finance.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.14 no.24
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• pp.43-52
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• 1991

The short-term production planning of an automated manufacturing system is to determine the production rate of each part type or family of part types. The purpose of this paper is to develop an optimal algorithm for solving the short-term production planning problem while machine failures, repairs. and changes in demand requirements are anticipated. The problem is formulated by LP and it shows that the production surplus is approached or stays at the hedging point. In addition, the long-term average frequencies of set-us with relation to a multilevel hierarchical production planing scheme are considered An example to show the effectiveness of the algorithm is presented.

• East Asian Economic Review
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• v.25 no.3
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• pp.310-336
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• 2021

We use iterative numerical procedures combined with analytical methods due to Rapach and Wohar (2009) to solve for the dynamic asset allocation strategy for optimal portfolio demand. We compare different optimal portfolio demands when investors in each country have different access to overseas and domestic investment opportunities. The optimal dynamic asset allocation strategy without foreign investment opportunities leads domestic investors in Korea, Hong Kong, and Singapore to allocate more funds to domestic bonds than to domestic stocks. However, the U.S. investors allocate more wealth to domestic stocks than to domestic bonds. Investors in all countries short bills at a low level of risk aversion. Next, we investigate dynamic asset allocation strategy when domestic investors in Korea have access to foreign markets. The optimal portfolio demand leads investors in Korea to allocate most resources to domestic bonds and foreign stocks. On the other hand, the portfolio weights on foreign bonds and domestic stocks are relatively low. We also analyze dynamic asset allocation strategy for the investors in the U.S., Hong Kong, and Singapore when they have access to the Korean markets as overseas investment opportunities. Compared to the results when the investors only have access to domestic markets, the investors in the U.S. and Singapore increase the portfolio weights on domestic stocks in spite of the overseas investment opportunities in the Korean markets. The investors in the U.S., Hong Kong, and Singapore short domestic bills to invest more than initial funds in risky assets with a varying degree of relative risk aversion coefficients without exception.

• Journal of the Korean Operations Research and Management Science Society
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• v.39 no.2
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• pp.49-66
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• 2014

This paper studies optimal consumption and investment behaviors of an individual when risky asset returns and her income are affected by the business cycle. The investor considers the incomplete information risk of unobservable macroeconomic conditions and updates her belief of expected risky asset returns through Bayesian learning. We find that the optimal investment strategy, certainty equivalent wealth, and portfolio hedging demand significantly depend on the belief about the macroeconomic conditions.

• The Transactions of the Korean Institute of Electrical Engineers P
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• v.59 no.3
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• pp.263-267
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• 2010

Although electricity market structures may be different from each country, they have a long-term forward market and a short-term spot market in general. Particularly, a bilateral contract transacted at a long-term forward market fixes the electricity price between a genco and a customer so that the customer can avoid risk due to price-spike in the spot market. The genco also can make an efficient risk-hedging strategy through the bilateral contract. In this paper, we propose a new mechanism for deriving the optimal bilateral contract price using game theory. This mechanism can make the customer reveal his true willingness to purchase so that an adequate bilateral contract price is derived.

• Asian Journal of Innovation and Policy
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• v.5 no.1
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• pp.78-91
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• 2016

To counter-attack against piracy, the movie industry is continuously developing new technologies for the protection of intellectual properties, only to find them instantly useless especially in the digital age. This study shifts the focus from technology to customer behavior, and analyzes customer behaviors vis-à-vis piracy using economic models. The theoretical model of optimal holdback strategy under the threat of piracy was derived and the result shows that holdback can be used as a tool not only for hedging the loss due to piracy, but also for reducing piracy. Based on the theoretical model, we suggested proper holdback strategy for each type of movie piracy.

• Journal of applied mathematics & informatics
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• v.27 no.5_6
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• pp.1073-1086
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• 2009

This paper considers the problems of martingale measures and risk-minimizing hedging strategies in the market with restricted information. By constructing a general restricted information market model, the explicit relation of arbitrage and the minimal martingale measure between two different information markets are discussed. Also a link among all equivalent martingale measures under restricted information market is given. As an example of restricted information markets, this paper constitutes a jump-diffusion process model and presents a risk minimizing problem under different information. Through $It\hat{o}$ formula and projection results in Schweizer[13], the explicit optimal strategy for different market information are given.

• 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.