• Journal of Intelligence and Information Systems
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• v.25 no.2
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• pp.39-55
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• 2019

Recently banks and large financial institutions have introduced lots of Robo-Advisor products. Robo-Advisor is a Robot to produce the optimal asset allocation portfolio for investors by using the financial engineering algorithms without any human intervention. Since the first introduction in Wall Street in 2008, the market size has grown to 60 billion dollars and is expected to expand to 2,000 billion dollars by 2020. Since Robo-Advisor algorithms suggest asset allocation output to investors, mathematical or statistical asset allocation strategies are applied. Mean variance optimization model developed by Markowitz is the typical asset allocation model. The model is a simple but quite intuitive portfolio strategy. For example, assets are allocated in order to minimize the risk on the portfolio while maximizing the expected return on the portfolio using optimization techniques. Despite its theoretical background, both academics and practitioners find that the standard mean variance optimization portfolio is very sensitive to the expected returns calculated by past price data. Corner solutions are often found to be allocated only to a few assets. The Black-Litterman Optimization model overcomes these problems by choosing a neutral Capital Asset Pricing Model equilibrium point. Implied equilibrium returns of each asset are derived from equilibrium market portfolio through reverse optimization. The Black-Litterman model uses a Bayesian approach to combine the subjective views on the price forecast of one or more assets with implied equilibrium returns, resulting a new estimates of risk and expected returns. These new estimates can produce optimal portfolio by the well-known Markowitz mean-variance optimization algorithm. If the investor does not have any views on his asset classes, the Black-Litterman optimization model produce the same portfolio as the market portfolio. What if the subjective views are incorrect? A survey on reports of stocks performance recommended by securities analysts show very poor results. Therefore the incorrect views combined with implied equilibrium returns may produce very poor portfolio output to the Black-Litterman model users. This paper suggests an objective investor views model based on Support Vector Machines(SVM), which have showed good performance results in stock price forecasting. SVM is a discriminative classifier defined by a separating hyper plane. The linear, radial basis and polynomial kernel functions are used to learn the hyper planes. Input variables for the SVM are returns, standard deviations, Stochastics %K and price parity degree for each asset class. SVM output returns expected stock price movements and their probabilities, which are used as input variables in the intelligent views model. The stock price movements are categorized by three phases; down, neutral and up. The expected stock returns make P matrix and their probability results are used in Q matrix. Implied equilibrium returns vector is combined with the intelligent views matrix, resulting the Black-Litterman optimal portfolio. For comparisons, Markowitz mean-variance optimization model and risk parity model are used. The value weighted market portfolio and equal weighted market portfolio are used as benchmark indexes. We collect the 8 KOSPI 200 sector indexes from January 2008 to December 2018 including 132 monthly index values. Training period is from 2008 to 2015 and testing period is from 2016 to 2018. Our suggested intelligent view model combined with implied equilibrium returns produced the optimal Black-Litterman portfolio. The out of sample period portfolio showed better performance compared with the well-known Markowitz mean-variance optimization portfolio, risk parity portfolio and market portfolio. The total return from 3 year-period Black-Litterman portfolio records 6.4%, which is the highest value. The maximum draw down is -20.8%, which is also the lowest value. Sharpe Ratio shows the highest value, 0.17. It measures the return to risk ratio. Overall, our suggested view model shows the possibility of replacing subjective analysts's views with objective view model for practitioners to apply the Robo-Advisor asset allocation algorithms in the real trading fields.

• Korean Journal of Agricultural Science
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• v.16 no.1
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• pp.84-101
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• 1989

An accurate measurement of size, surface area and volume of agricultural products is essential in many engineering operations such as handling and sorting, and in heat transfer studies on heating and cooling processes. Little information is available on these properties due to their irregular shape, and moreover very little information on the rough rice, soybean, barley, and wheat has been published. Physical dimensions of grain, such as length, width, thickness, surface area, and volume vary according to the variety, environmental conditions, temperature, and moisture content. Especially, recent research has emphasized on the variation of these properties with the important factors such as moisture content. The objectives of this study were to determine physical dimensions such as length, width and thickness, surface area and volume of the rough rice, soybean, barley, and wheat as a function of moisture content, to investigate the effect of moisture content on the properties, and to develop exponential equations to predict the surface area and the volume of the grains as a function of physical dimensions. The varieties of the rough rice used in this study were Akibare, Milyang 15, Seomjin, Samkang, Chilseong, and Yongmun, as a soybean sample Jangyeobkong and Hwangkeumkong, as a barley sample Olbori and Salbori, and as a wheat sample Eunpa and Guru were selected, respectively. The physical properties of the grain samples were determined at four levels of moisture content and ten or fifteen replications were run at each moisture content level and each variety. The results of this study are summarized as follows; 1. In comparison of the surface area and the volume of the 0.0375m diameter-sphere measured in this study with the calculated values by the formula the percent error between them showed least values of 0.65% and 0.77% at the rotational degree interval of 15 degree respectively. 2. The statistical test(t-test) results of the physical properties between the types of rough rice, and between the varieties of soybean and wheat indicated that there were significant difference at the 5% level between them. 3. The physical dimensions varied linearly with the moisture content, and the ratios of length to thickness (L/T) and of width to thickness (W/T) in rough rice decreased with increase of moisture content, while increased in soybean, but uniform tendency of the ratios in barley and wheat was not shown. In all of the sample grains except Olbori, sphericity decreased with increase of moisture content. 4. Over the experimental moisture levels, the surface area and the volume were in the ranges of about $45{\sim}51{\times}10^{-6}m^2$, $25{\sim}30{\times}10^{-9}m^3$ for Japonica-type rough rice, about $42{\sim}47{\times}10^{-6}m^2$, $21{\sim}26{\times}10^{-9}m^3$ for Indica${\times}$Japonica type rough rice, about $188{\sim}200{\times}10^{-6}m^2$, $277{\sim}300{\times}10^{-9}m^3$ for Jangyeobkong, about $180{\sim}201{\times}10^{-6}m^2$, $190{\sim}253{\times}10^{-9}m^3$ for Hwangkeumkong, about $60{\sim}69{\times}10^{-6}m^2$, $36{\sim}45{\times}10^{-9}m^3$ for Covered barley, about $47{\sim}60{\times}10^{-6}m^2$, $22{\sim}28{\times}10^{-9}m^3$ for Naked barley, about $51{\sim}20{\times}10^{-6}m^2$, $23{\sim}31{\times}10^{-9}m^3$ for Eunpamill, and about $57{\sim}69{\times}10^{-6}m^2$, $27{\sim}34{\times}10^{-9}m^3$ for Gurumill, respectively. 5. The increasing rate of surface area and volume with increase of moisture content was higher in soybean than other sample grains, and that of Japonica-type was slightly higher than Indica${\times}$Japonica type in rough rice. 6. The regression equations of physical dimensions, surface area and volume were developed as a function of moisture content, the exponential equations of surface area and volume were also developed as a function of physical dimensions, and the regression equations of surface area were also developed as a function of volume in all grain samples.