• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.133-152
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• 2007

In this paper, we examine a portfolio selection model in which a safety-first investor maximizes expected return subject to a downside risk constraint. We use the Value-at-Risk as the downside risk measure. We exploit the fact that returns are fat-tailed, and use a semi-parametric method suggested by Jansen, Koedijk and de Vries(2000). We find a more realistic asset allocation than the one suggested by the literature based on the traditional mean-variance framework. For the robustness check, we provide empirical analyses using empirical quantiles. The results highlight that for optimal portfolio selection involving downside risks that are far in the tails of the distribution, our mean-VaR model with a fat-tailed distribution is superior.

• Journal of Korean Society of Occupational and Environmental Hygiene
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• v.32 no.3
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• pp.253-267
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• 2022

Objectives: This study was performed to check whether the CRS (Chemical Ranking and Scoring) system is appropriate as a method to determine substances as candidates for substances subject to permission and to apply this system to the selection of candidates for substances subject to permission. Methods: A risk score was obtained by multiplying the hazard score and the exposure score and then ranking them. The hazard sub-indicators are carcinogenicity, germ cell mutagenicity, reproductive toxicity, specific target organ toxicity-repeated exposure, respiratory sensitization and endocrine disrupting chemicals. Exposure sub-indicators are persistence, bioaccumulation and emission volume. Sensitivity analysis was performed for missing values. Correlation analysis and multivariable linear regression analysis were performed among hazard, exposure and risk in order to confirm that CRS was an appropriate method. Results: As a result of the sensitivity analysis on missing values, it was confirmed that the effect on the risk ranking was not sensitive. Correlation and regression analysis confirmed that exposure had a greater effect on risk than hazard. Conclusions: The CRS system, which derives a risk score using a hazard and exposure score, is judged to be appropriate as a method for the selection of preliminary of candidates for substances subject to permission. Benzene, cadmium, nickel, and cobalt were selected as priority candidates for substances subject to permission.

• Journal of Advanced Navigation Technology
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• v.18 no.5
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• pp.494-500
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• 2014

Recently the leak of personal information from in-house and contract-managed companies has been continually increasing, which leads a regular observation on outsourcing companies that perform the personal information management system to prevent dangers from the leakage, stolen and loss of personal information. However, analyzing many numbers of computers in limited time has found few difficulties in some circumstances-such as outsourcing companies that own computers that have personal information system or task continuities that being related to company's profits. For the reason, it is necessary to select an object of examination through identifying a high-risk of personal data leak. In this paper, this study will formulate a proposal for the selection of high-risk subjects, which is based on the user interface, by digital forensic. The study designs the integrated analysis tool and demonstrates the effects of the tool through the test results.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.17 no.2
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• pp.115-128
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• 2013

The optimal portfolio selection problem under inflation risk and subsistence constraints is considered. There are index bonds to invest in financial market and it helps to hedge the inflation risk. By applying the martingale method, the optimal consumption rate and the optimal portfolios are obtained explicitly. Furthermore, the quantitative effect of inflation risk and subsistence constraints on the optimal polices are also described.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.15 no.3
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• pp.501-509
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• 2011

In this paper, we offer a new strategic Portfolio Model for national IT R&D project selection in Korea. A risk and return (R-R) Portfolio Model was developed using an objectively quantified index on the two axes of risk and return, in order to select a strategic project and allocate resources in compliance with a national IT R&D strategy. We strategize using the R-R Portfolio Model to solve the non-strategy and subjectivity problems of the existing national R&D project selection Model. We also use the quantified evaluation index of the IT technology road map (TRM) and the technology level Survey (TLS) for the subjectivity of project selection, and try to discover the weights using the analytic hierarchy process (AHP). In addition, we intend to maximize the chance for a successful national IT R&D project, by selecting a strategic Portfolio project and balancing the allocation of resources effectively and objectively.

• Safety and Health at Work
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• v.13 no.3
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• pp.279-285
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• 2022

Background; In the event of an industrial accident, the appropriate choice of hospital is important for worker health and prognosis. This study investigates whether the choice of hospital by the employer in the case of industrial accidents affects the prognosis of injured employees. Methods; Data from the 2018 Panel Study of Workers' Compensation Insurance in Korea were used in an unmatched case-controlled study. The exposure variable is "hospital selection by an employer," and the outcome variable is 'worker's disability." Odds ratios (ORs) were estimated by modified Poisson regression and adjusted for age, gender, underlying disease, injury severity, and workplace size and stratified by industrial classification. The group at increased risk was analyzed and stratified by age, gender, and area. Results; In the construction industry, hospital selection by the employer was significantly associated with increased risk of disability (adjusted OR 1.26; 95% confidence interval [CI]; 1.20-1.32) and severe disability (adjusted OR 1.38; 95% CI; 1.08-1.76) among the injured. Female and younger workers not living in the Seoul capital area were more at risk of disability and severe disability than those living in the Seoul capital area. Conclusions; Hospital selection by employers affects the prognosis of workers injured in an industrial accident. For protecting workers' health and safety, workplace emergency medical systems should be improved, and the selection of appropriate hospitals to supply treatment should be reviewed.

• Journal of the Korea Society of Computer and Information
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• v.22 no.2
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• pp.51-57
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• 2017

The first thing to be prioritized is to set the scope of the management system when establishing an information security management system for systematic and effective information security management. It is important to set the scope for an organization's information security goals due to the scope affects the organization's overall information security activities. If the scope is set incorrectly, it might become impossible to protect important services and therefore, the scope of the management system should be determined in consideration of the core business services of the organization. We propose a core service selection model based on the organization's mission-critical service and high risk service in order to determine the effective information security management system scope in this paper. Core service selection criteria include the type of service, contribution to sales, socio-economic impact, and linkage with other services.

• 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.

• Journal of Industrial Technology
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• v.22 no.A
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• pp.127-135
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• 2002

In this study, the preliminary risk assessment for the underground storage tanks(UST) in Chunchon city was implemented using the geographical information system(GIS). The estimation variables, such as the installation year, storage capacity, the distances from streams, and from groundwater pumping wells, were selected to estimate the relative risk levels. The weighting factors were given to all the estimation variables. Cumulative scores were induced by the combination of all the scores of the corresponding variables using the buffering technique and the overlay analysis in ArcView. Using the these process, the relative risk level of each UST was estimated. Some sites in this study are simplified and reduced because the number of useable data are limited or too enormous. Thus the selection of the comprehensive estimation variables and the proper weighting values are required for the future study. The methodology in this study could be served not only for the preliminary risk assessment of UST but also for the selection of the proper location of new and old UST. And, it can be used for the effective management system of UST.

• Genomics & Informatics
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• v.14 no.4
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• pp.138-148
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• 2016

The success of genome-wide association studies (GWASs) has enabled us to improve risk assessment and provide novel genetic variants for diagnosis, prevention, and treatment. However, most variants discovered by GWASs have been reported to have very small effect sizes on complex human diseases, which has been a big hurdle in building risk prediction models. Recently, many statistical approaches based on penalized regression have been developed to solve the "large p and small n" problem. In this report, we evaluated the performance of several statistical methods for predicting a binary trait: stepwise logistic regression (SLR), least absolute shrinkage and selection operator (LASSO), and Elastic-Net (EN). We first built a prediction model by combining variable selection and prediction methods for type 2 diabetes using Affymetrix Genome-Wide Human SNP Array 5.0 from the Korean Association Resource project. We assessed the risk prediction performance using area under the receiver operating characteristic curve (AUC) for the internal and external validation datasets. In the internal validation, SLR-LASSO and SLR-EN tended to yield more accurate predictions than other combinations. During the external validation, the SLR-SLR and SLR-EN combinations achieved the highest AUC of 0.726. We propose these combinations as a potentially powerful risk prediction model for type 2 diabetes.