• The Korean Journal of Financial Management
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• v.1 no.1
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• pp.133-149
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• 1985

The theory of option pricing has undergone rapid advances in recent years. Simultaneously, organized option markets have developed in the United States and Europe. The closed form solution for pricing options has only recently been developed, but its potential for application to problems in finance is tremendous. Almost all financial assets are really contingent claims. Especially, Black and Scholes(1973) suggest that the equity in a levered firm can be thought of as a call option. When shareholders issue bonds, it is equivalent to selling the assets of the firm to the bond holders in return for cash (the proceeds of the bond issues) and a call option. This paper takes the insight provided by Black and Scholes and shows how it may be applied to many of the traditional issues in corporate finance such as dividend policy, acquisitions and divestitures and capital structure. In this paper a combined capital asset pricing model (CAPM) and option pricing model (OPM) is considered and then applied to the derivation of equity value and its systematic risk. Essentially, this paper is an attempt to gain a clearer focus theoretically on the question of corporate stock risk and how the OPM adds to its understanding.

• The Journal of Fisheries Business Administration
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• v.45 no.1
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• pp.109-119
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• 2014

This study aimed to examine the applicability of a portfolio approach to the ecosystem-based fisheries management targeting the large purse seine fishery. Most fisheries are targeting multispecies and species are biologically and technically interacted each other. It enables a portfolio approach to be applied to find optimal production of each species through expected returns and risk analyses. Under specific assumptions on the harvest quota by species, efficient risk-return frontiers were generated and they showed a combination of optimal production level. Comparisons between portfolio and actual production provided a useful information for targeting strategy and management. Results also showed the possibility of effective multispecies fisheries management by imposing constraints on each species such as total allowable catch quotas.

• Industrial Engineering and Management Systems
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• v.16 no.1
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• pp.118-128
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• 2017

Uncertain factors in finical markets make the prediction of future returns and risk of asset much difficult. In this paper, a model,assuming the admissible errors on expected returns and risks of assets, assisted in the multiperiod mean variance portfolio selection problem is built. The model considers transaction costs, upper bound on borrowing risk-free asset constraints, cardinality constraints and threshold constraints. Cardinality constraints limit the number of assets to be held in an efficient portfolio. At the same time, threshold constraints limit the amount of capital to be invested in each stock and prevent very small investments in any stock. Because of these limitations, the proposed model is a mix integer dynamic optimization problem with path dependence. The forward dynamic programming method is designed to obtain the optimal portfolio strategy. Finally, to evaluate the model, our result of a meaning example is compared to the terminal wealth under different constraints.

• The Journal of Asian Finance, Economics and Business
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• v.1 no.2
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• pp.31-37
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• 2014

The portfolio selection is one of the most important and vital decisions that a real or legal person, who invests in stock market, should make. The main purpose of this article is the determination of the optimal portfolio with regard to relations among stock returns of companies which are active in Tehran's stock market. For achieving this goal, weekly statistics of company's stocks since Farvardin 1389 until Esfand 1390, has been used. For analyzing statistics and information and examination of stocks of companies which has change in returns, factors analysis approach and clustering analysis has been used (FC approach). With using multivariate analysis and with the aim of reducing the unsystematic risk, a financial portfoliois formed. At last but not least, results of choosing the optimal portfolio rather than randomly choosing a portfolio are given.

• Journal of Microbiology and Biotechnology
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• v.26 no.3
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• pp.567-571
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• 2016

We investigated the increased risk of Clostridium difficile infection (CDI) caused by the combined use of antibiotics and an immunosuppressive drug in a mouse model. Our data showed that an approximate return to pretreatment conditions of gut microbiota occurred within days after cessation of the antibiotic treatment, whereas the recovery of gut microbiota was delayed with the combined treatment of antibiotics and dexamethasone, leading to an increased severity of CDI. An alteration of gut microbiota is a key player in CDI. Therefore, our data implied that immunosuppressive drugs can increase the risk of CDI through the delayed recovery of altered gut microbiota.

• Journal of Dental Anesthesia and Pain Medicine
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• v.18 no.1
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• pp.57-64
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• 2018

Major cardiac complication such as acute myocardial infarction can occur unexpectedly in patients without risk factors. We experienced cardiac arrest due to an unexpected acute myocardial infarction in a patient without any risk factors during head and neck reconstructive surgery. The patient was diagnosed with acute myocardial infarction after return of spontaneous circulation. With immediate percutaneous coronary intervention, the patient recovered without complications.

• Journal of the Earthquake Engineering Society of Korea
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• v.8 no.6 s.40
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• pp.31-43
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• 2004

Seismic risk assessment of bridge is presented using fragility curves which represent the probability of damage of a structure virsus the peak ground acceleration. In theseismic fragility analysis, the structural damage is defined using the rotational ductility at the base of the bridge pier, which is obtained through nonlinear dynamic analysis for various input earthquakes. For the assessment of seismic risk of bridge, peak ground accelerations are obatined for various return periods from the seismic hazard map of Korea, which enables to calculate the probability density function of peak ground acceleration. Combining the probability density function of peak ground acceleration and the seismic fragility analysis, seismic risk assessment is performed. In this study, seismic fragility analysis is developed as a function of not the surface motion which the bridge actually suffers, but the rock outcrop motion which the aseismic design code is defined on, so that further analysis for the seismic hazard assessment may become available. Besides, the effects of the friction pot bearings and the friction pendulum bearings on the seismic fragility and risk analysis are examined. Lastly, three regions in Korea are considered and compared in the seismic risk assessment.

• The Korean Journal of Applied Statistics
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• v.24 no.6
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• pp.1021-1031
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• 2011

Equity linked securities are indirect investments where the return of investment depends on the performance of the underlying equities. In this paper, we review the profit structure of typical equity linked securities through a profit diagram and investigate which characteristics of time series at the investment affect the early repayment of the stepdown ELS based on KOSPI 200 and HSI. We also compare VaRs using the empirical distribution function for risk management.

• Journal of Korea Technology Innovation Society
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• v.11 no.2
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• pp.241-263
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• 2008

Within any income approach, a discount rate is used to convert some projected free cash flow to its presented value. In case of valuing companies, the most frequently used discount rate is the weighted average cost of capital(WACC) at the aggregate level. But technology valuation is different to discounting aggregate corporate cash flow since it is concerned about individual Intellectual property. Therefore, blindly applying standard discount rate such as WACC in technology valuation is unlikely to lead to the right result. The primary focus of this paper is to establish the structure of discount rate for technology valuation and to suggest the method of estimation. To determine an appropriate discount rate for technology valuation, the level of technology risk, market risk and competitive risk should be included in the structure of discount rate. This paper suggests the build-up model which consists of three components as a expansion of the CAPM. It includes (1) a risk-free rate of return, (2) general market risk premium and beta and (3) intellectual property risk premium related to technology risk and specific target market risk. However, there is no specific check list for examining the intellectual property risk until now and no specific method for quantifying its risk into risk premium. This paper developed the 10 element to determine the level of the intellectual property risk and applied estimation function such as linear function, natural log function and exponential function to transform the level of risk into risk premium. The limitation of this paper is that the range of intellectual property risk premium is inferred based on the information of foreign and domestic valuation agency. Finally, this paper explored the development of an intellectual property discount rate for technology valuation and presented the method in order to quantify the intellectual property risk premium.

• Economic and Environmental Geology
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• v.13 no.1
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• pp.51-63
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• 1980

The seismicity of the Korean Peninsula and its vicinity is investigated temporally (2 A. D. to 1978) and spatially to evaluate the seismic risk and to understand the neotectonics around the peninsula. The study has been conducted using macrocosmic data obtained from historical literature, and instrumental records recorded by the Worldwide Network of Standardized Seismographs(WWNSS). The seismicity of the peninsula was active from the 13th through the 17th centuries. A seismic quiescence began at the onset of the 18th century, and has continued for the last 200 years. Presently, the seismicity region is found to be active again. The return periods are determined by a statistical method based upon the cumulative magnitude recurrence. They indicate that the seismic risk is greater in the south or west than in the north or east of the peninsula. Focal mechanism solutions demonstrate that the neotectonic stress distribution in the Japan Sea is greatly influenced by the subduction of the Pacific Plate under the Eurasian Plate or the Philippine Sea Plate, even though the predominate local paleotectonics is controlled by the spreading of the earth's crut.