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Floristic features of upland fields in South Korea (우리나라 밭 경작지에 출현하는 식물상 특성)

  • Kim, Myung-Hyun;Eo, Jinu;Kim, Min-Kyeong;Oh, Young-Ju
    • Korean Journal of Environmental Biology
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    • v.38 no.4
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    • pp.528-553
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    • 2020
  • Upland fields are characterized by dry environments, a high degree of disturbance by farming practices such as double-cropping, and a high diversity of crops compared to other field types. This study focused on the floristic composition and characteristics of upland fields in South Korea. Flora surveys were conducted in 36 areas in nine provinces at two times (June and August) in 2015. The results showed that the vascular plants in the upland fields in South Korea included 532 taxa, containing 100 families, 322 genera, 483 species, nine subspecies, 37 varieties, one form, and two hybrids. Among the 100 families, Asteraceae was the most diverse in species (75 taxa), followed by Poaceae (68 taxa), Fabaceae (34 taxa), Polygonaceae (21 taxa), Rosaceae (19 taxa), and Liliaceae (17 taxa). Based on the occurrence frequency of each species, Acalypha australis L. (100%), and Artemisia indica Willd. (100%) were the highest, followed by Humulus scandens (Lour.) Merr., Rorippa palustris (L.) Besser, Conyza canadensis (L.) Cronquist, Erigeron annuus (L.) Pers., Lactuca indica L., Commelina communis L., Digitaria ciliaris (Retz.) Koeler, Echinochloa crus-galli(L.) P.Beauv., Cyperus microiria Steud., and Oxalis corniculata L. The biological type of upland fields in South Korea was determined to be Th-R5-D4-e type. Rare plants were found in 11 taxa: Taxus cuspidata Siebold & Zucc, Magnolia kobus DC, Clematis trichotoma Nakai, Aristolochina contorta Bunge, Buxus sinica (Rehder & E.H.Wilson) M.Cheng var. koreana (Nakai ex Rehder) Q.L.Wang, Melothria japonica (Thunb.) Maxim, Mitrasacme indica Wight, Lithospermum arvense L., Carpesium rosulatum Miq., Allium senescens L., and Pseudoraphis sordida (Thwaites) S.M.Phillips & S.L.Chen. Ninety-seven taxa contained naturalized plants composed of 24 families, 68 genera, 97 species, one variety, and one form. The urbanization and naturalization indices were 30.5% and 18.4%, respectively.

Resveratrol Ameliorates NMDA-induced Mitochondrial Injury by Enhanced Expression of Heme Oxygenase-1 in HT-22 Neuronal Cells (NMDA를 처리한 HT-22 신경세포에서 미토콘드리아 손상을 완화하는 레스베라트롤의 보호 효과와 헴 산화효소-1의 역할)

  • Kang, Jae Hoon;Woo, Jae Suk
    • Journal of Life Science
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    • v.32 no.1
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    • pp.11-22
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    • 2022
  • N-methyl-D-aspartate (NMDA) receptors have received considerable attention regarding their involvement in glutamate-induced neuronal excitotoxicity. Resveratrol has been shown to exhibit neuroprotective effects against this kind of overactivation, but the underlying cellular mechanisms are not yet clearly understood. In this study, HT-22 neuronal cells were treated with NMDA in Mg2+-free buffer and subsequently used as an experimental model of glutamate excitotoxicity to elucidate the mechanisms of resveratrol-induced neuroprotection. We found that NMDA treatment causes a drop in MTT reduction ability, disrupts inside-negative transmembrane potential of mitochondria, depletes cellular ATP levels, and stimulates intracellular ROS production. Double fluorescence imaging studies demonstrated an increased formation of mitochondrial permeability transition (MPT) pores accompanied by apoptotic cell death, while cobalt protoporphyrin and bilirubin showed protective effects against NMDA-induced mitochondrial injury. On the other hand, zinc protoporphyrin IX significantly attenuated the protective effects of resveratrol which was itself shown to enhance heme oxygenase-1 (HO-1) mRNA and protein expression levels. In cells transfected with HO-1 small interfering RNA, resveratrol failed to suppress the NMDA-induced effects on MTT reduction ability and MPT pore formation. The present study suggests that resveratrol may prevent mitochondrial injury in NMDA- treated HT-22 cells and that enhanced expression of HO-1 is involved in the underlying cellular mechanism.

Gene Expression of Detoxification Enzymes in Tenebrio molitor after Fungicide Captan Exposure (살진균제인 캡탄 처리 후 갈색거저리의 해독효소 유전자 발현)

  • Jang, Ho am;Baek, Hyoung-Seon;Kim, Bo Bae;Kojour, Maryam Ali Mohammadie;Patnaik, Bharat Bhusan;Jo, Yong Hun;Han, Yeon Soo
    • Korean journal of applied entomology
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    • v.61 no.1
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    • pp.155-163
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    • 2022
  • The application of fungicides is indispensable to global food security, and their use has increased in recent times. Fungicides, directly or indirectly, have impacted insects, leading to genetic and molecular-level changes. Various detoxification mechanisms allow insects to eliminate reactive oxygen species (ROS) toxicity induced by agrochemicals including fungicides. In the present study, we analyzed the mRNA expression levels of detoxifying enzymes in Tenebrio molitor larvae following exposure to non-lethal doses (0.2, 2, and 20 ㎍/µL) of a fungicide captan. Transcripts of peroxidases (POXs), catalases (CATs), superoxide dismutases (SODs), and glutathione-s-transferases (GSTs) were screened from the T. molitor transcriptome database. RT-qPCR analysis showed that TmPOX5 mRNA increased significantly 24 h post-captan exposure. A similar increase was noticed for TmSOD4 mRNA 3 h post-captan exposure. Moreover, the expression of TmCAT2 mRNA increased significantly 24 h post-treatment with 2 ㎍/µL captan. TmGST1 and TmGST3 mRNA expression also increased noticeably after captan exposure. Taken together, these results suggest that TmPOX5 and TmSOD4 mRNA can be used as biomarkers or xenobiotics sensors for captan exposure in T. molitor, while other detoxifying enzymes showed differential expression.

Quantitative Electroencephalogram Markers for Predicting Cerebral Amyloid Pathology in Non-Demented Older Individuals With Depression: A Preliminary Study (비치매 노인 우울증 환자에서 대뇌 아밀로이드 병리 예측을 위한 정량화 뇌파 지표: 예비연구)

  • Park, Seon Young;Chae, Soohyun;Park, Jinsick;Lee, Dong Young;Park, Jee Eun
    • Sleep Medicine and Psychophysiology
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    • v.28 no.2
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    • pp.78-85
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    • 2021
  • Objectives: When elderly patients show depressive symptoms, discrimination between depressive disorder and prodromal phase of Alzheimer's disease is important. We tested whether a quantitative electroencephalogram (qEEG) marker was associated with cerebral amyloid-β (Aβ) deposition in older adults with depression. Methods: Non-demented older individuals (≥ 55years) diagnosed with depression were included in the analyses (n = 63; 76.2% female; mean age ± standard deviation 73.7 ± 6.87 years). The participants were divided into Aβ+ (n = 32) and Aβ- (n = 31) groups based on amyloid PET assessment. EEG was recorded during the 7min eye-closed (EC) phase and 3min eye-open (EO) phase, and all EEG data were analyzed using Fourier transform spectral analysis. We tested interaction effects among Aβ positivity, condition (EC vs. EO), laterality (left, midline, or right), and polarity (frontal, central, or posterior) for EEG alpha band power. Then, the EC-to-EO alpha reactivity index (ARI) was examined as a neurophysiological marker for predicting Aβ+ in depressed older adults. Results: The mean power spectral density of the alpha band in EO phase showed a significant difference between the Aβ+ and Aβ- groups (F = 6.258, p = 0.015). A significant 3-way interaction was observed among Aβ positivity, condition, and laterality on alpha-band power after adjusting for age, sex, educational years, global cognitive function, medication use, and white matter hyperintensities on MRI (F = 3.720, p = 0.030). However, post-hoc analyses showed no significant difference in ARI according to Aβ status in any regions of interest. Conclusion: Among older adults with depression, increased power in EO phase alpha band was associated with Aβ positivity. However, EC-to-EO ARI was not confirmed as a predictor for Aβ+ in depressed older individuals. Future studies with larger samples are needed to confirm our results.

Influence of Land Cover Map and Its Vegetation Emission Factor on Ozone Concentration Simulation (토지피복 지도와 식생 배출계수가 오존농도 모의에 미치는 영향)

  • Kyeongsu Kim;Seung-Jae Lee
    • Korean Journal of Agricultural and Forest Meteorology
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    • v.25 no.1
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    • pp.48-59
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    • 2023
  • Ground-level ozone affects human health and plant growth. Ozone is produced by chemical reactions between oxides of nitrogen (NOx) and volatile organic compounds (VOCs) from anthropogenic and biogenic sources. In this study, two different land cover and emission factor datasets were input to the MEGAN v2.1 emission model to examine how these parameters contribute to the biogenic emissions and ozone production. Four input sensitivity scenarios (A, B, C and D) were generated from land cover and vegetation emission factors combination. The effects of BVOCs emissions by scenario were also investigated. From air quality modeling result using CAMx, maximum 1 hour ozone concentrations were estimated 62 ppb, 60 ppb, 68 ppb, 65 ppb, 55 ppb for scenarios A, B, C, D and E, respectively. For maximum 8 hour ozone concentration, 57 ppb, 56 ppb, 63 ppb, 60 ppb, and 53 ppb were estimated by scenario. The minimum difference by land cover was up to 25 ppb and by emission factor that was up to 35 ppb. From the modeling performance evaluation using ground ozone measurement over the six regions (East Seoul, West Seoul, Incheon, Namyangju, Wonju, and Daegu), the model performed well in terms of the correlation coefficient (0.6 to 0.82). For the 4 urban regions (East Seoul, West Seoul, Incheon, and Namyangju), ozone simulations were not quite sensitive to the change of BVOC emissions. For rural regions (Wonju and Daegu) , however, BVOC emission affected ozone concentration much more than previously mentioned regions, especially in case of scenario C. This implies the importance of biogenic emissions on ozone production over the sub-urban to rural regions.

Anti-inflammatory Effects of Rumohra adiantiformis Extracts Fermented with Bovista plumbea Mycelium in LPS-stimulated RAW 264.7 Cells (LPS로 자극된 RAW 264.7 세포에서 찹쌀떡버섯 균사체로 생물전환된 루모라고사리 추출물의 항염증 효과)

  • Ji-Hye Hong;Eun-Seo Jang;Myung-Chul Gil;Gye Won Lee;Young Ho Cho
    • Journal of Life Science
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    • v.33 no.6
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    • pp.471-480
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    • 2023
  • This study was designed to evaluate the anti-inflammatory effects of Rumohra adiantiformis extracts fermented with Bovista plumbea mycelium (B-RAE) in LPS-stimulated RAW 264.7 cells. The total polyphenol and total flavonoid content of B-RAE were 379.26±7.77 mg/g and 50.85±3.08 mg/g, respectively. The results of measuring the antioxidant activity of B-RAE showed that it scavenges 2, 2-diphenyl-1-picrylhydrazyl (DPPH), 2, 2'-azino-bis-3-ethylbenzothiazoline-6-sulfonic acid (ABTS), and superoxide anion radical in a dose-dependent manner. B-RAE inhibited nitric oxide (NO) production in a dose-dependent manner without affecting cell viability. The gene expression of pro-inflammatory cytokines such as tumor necrosis factor-α (TNF-α), interleukin-lβ (IL-1β), and IL-6 was measured using real time quantitative reverse transcription PCR (qRT-PCR). We found that, compared to the LPS-treated group, B-RAE significantly reduced the mRNA levels of the pro-inflammatory cytokines in a concentration-dependent manner. The expression of inducible nitric oxide synthase (iNOS) and cyclooxygenase-2 (COX-2), the phosphorylation of transcription factors such as nuclear factor-κB (NF-κB), and the mitogen-activated protein kinase (MAPK) signaling pathway proteins were assessed using Western blot analysis. We found that B-RAE significantly suppressed the expression of iNOS and COX-2, but their expression was increased by LPS treatment. In addition, the phosphorylation of NF-κB and IκB, which was increased by LPS treatment, was reduced with B-RAE treatment. The effect of B-RAE on the phosphorylation of the MAPK signaling pathway proteins was measured, and the phosphorylation of extracellular signal-regulated kinase (ERK) and the p38 MAPK proteins decreased in a dose-dependent manner, while the phosphorylation of c-Jun N-terminal kinase (JNK) increased. These anti-inflammatory effects of B-RAE may thus have been achieved through the high antioxidant activity, the inhibition of NO production through the suppression of iNOS and COX-2 expression, the inhibition of the NF-κB pathway, and the suppression of pro-inflammatory cytokine expression.

Isotopic Determination of Food Sources of Benthic Invertebrates in Two Different Macroalgal Habitats in the Korean Coasts (동위원소 분석에 의한 동해와 남해 연안의 상이한 해조류 군락에 서식하는 저서무척추동물 먹이원 평가)

  • Kang, Chang-Keun;Choy, Eun-Jung;Song, Haeng-Seop;Park, Hyun-Je;Soe, In-Soo;Jo, Q-Tae;Lee, Kun-Seop
    • The Sea:JOURNAL OF THE KOREAN SOCIETY OF OCEANOGRAPHY
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    • v.12 no.4
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    • pp.380-389
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    • 2007
  • Stable carbon and nitrogen isotopes were analyzed in suspended particulate organic matter, macroalgae and macrobenthic invertebrates in order to determine the importance of primary organic matter sources in supporting food webs of rocky subtidal and intertidal macroalgal beds in the Korean coasts. Investigations were conducted at the inter tidal sites within Gwangyang bay, a semi-enclosed and eutrophicated bay, and the subtidal sites of the east coast, a relatively oligotrophic and open environment, in May and June 2005. Water-column suspension feeders showed more negative $\delta^{13}C$ values than those of the other feeding guilds, indicating trophic linkage with phytoplankton and thereby association with pelagic food chains. In contrast, animals of the other feeding guilds, including interface suspension feeders, herbivores, deposit feeders, omnivores and predators, displayed relatively less negative $\delta^{13}C$ values than those of the water-column suspension feeders and similar with that of macroalgae, indicating exclusive use of macroalgae-derived organic matter and association with benthic food chains. Most the macrobenthic species were considered to form strong trophic links with benthic food chains. In addition, the distribution of higher $\delta^{15}N$ values in macrobenthic consumers and macroalgae at the intertidal sites of Gwangyang Bay than those at the subtidal sites of the east coast suggests that anthropogenic nutrients may enhance the macroalgal production at the intertidal sites and in turn be incorporated into the particular littoral food web in Gwangyag Bay. These results confirm the dominant role of macroalgae in supporting rocky subtidal and intertidal food webs in the Korean coasts.

Studies on the Physical Properties of Major Tree Barks Grown in Korea -Genus Pinus, Populus and Quercus- (한국산(韓國産) 주요(主要) 수종(樹種) 수피(樹皮)의 이학적(理學的) 성질(性質)에 관(關)한 연구(硏究) -소나무속(屬), 사시나무속(屬), 참나무속(屬)을 중심(中心)으로-)

  • Lee, Hwa Hyoung
    • Journal of Korean Society of Forest Science
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    • v.33 no.1
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    • pp.33-58
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    • 1977
  • A bark comprises about 10 to 20 percents of a typical log by volume, and is generally considered as an unwanted residue rather than a potentially valuable resourses. As the world has been confronted with decreasing forest resources, natural resources pressure dictate that a bark should be a raw material instead of a waste. The utilization of the largely wasted bark of genus Pinus, Quercus, and Populus grown in Korea can be enhanced by learning its physical and mechanical properties. However, the study of tree bark grown in Korea have never been undertaken. In the present paper, an investigative study is carried out on the bark of three genus, eleven species representing not only the major bark trees but major species currently grown in Korea. For each species 20 trees were selected, at Suweon and Kwang-neung areas, on the same basis of the diameter class at the proper harvesting age. One $200cm^2$ segment of bark was obtained from each tree at brest height. Physical properties of bark studied are: bark density, moisture content of green bark (inner-, outer-, and total-bark), fiber saturation point, hysteresis loop, shrinkage, water absorption, specific heat, heat of wetting, thermal conductivity, thermal diffusivity, heat of combustion, and differential thermal analysis. The mechanical properties are studied on bending and compression strength (radial, longitudinal, and tangential). The results may be summarized as follows: 1. The oven-dry specific gravities differ between wood and bark, further more even for a given bark sample, the difference is obersved between inner and outer bark. 2. The oven-dry specific gravity of bark is higher than that of wood. This fact is attributed to the anatomical structure whose characters are manifested by higher content of sieve fiber and sclereids. 3. Except Pinus koraiensis, the oven-dry specific gravity of inner bark is higher than that of outer bark, which results from higher shrinkage of inner bark. 4. The moisture content of bark increases with direct proportion to the composition ratio of sieve components and decreases with higher percent of sclerenchyma and periderm tissues. 5. The possibility of determining fiber saturation point is suggested by the measuring the heat of wetting. With the proposed method, the fiber saturation point of Pinus densiflora lies between 26 and 28%, that of Quercus accutissima ranges from 24 to 28%. These results need be further examined by other methods. 6. Contrary to the behavior of wood, the bark shrinkage is the highest in radial direction and the lowest in longitudinal direction. Quercus serrata and Q. variabilis do not fall in this category. 7. Bark shows the same specific heat as wood, but the heat of wetting of bark is higher than that of wood. In heat conductivity, bark is lower than wood. From the measures of oven-dry specific gravity (${\rho}d$) and moisture fraction specific gravity (${\rho}m$) is devised the following regression equation upon which heat conductivity can be calculated. The calculated heat conductivity of bark is between $0.8{\times}10^{-4}$ and $1.6{\times}10^{-4}cal/cm-sec-deg$. $$K=4.631+11.408{\rho}d+7.628{\rho}m$$ 8. The bark heat diffusivity varies from $8.03{\times}10^{-4}$ to $4.46{\times}10^{-4}cm^2/sec$. From differential thermal analysis, wood shows a higher thermogram than bark under ignition point, but the tendency is reversed above ignition point. 9. The modulus of rupture for static bending strength of bark is proportional to the density of bark which in turn gives the following regression equation. M=243.78X-12.02 The compressive strength of bark is the highest in radial direction, contrary to the behavior of wood, and the compressive strength of longitudinal direction follows the tangential one in decreasing order.

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Brief Introduction of Research Progresses in Control and Biocontrol of Clubroot Disease in China

  • He, Yueqiu;Wu, Yixin;He, Pengfei;Li, Xinyu
    • 한국균학회소식:학술대회논문집
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    • 2015.05a
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    • pp.45-46
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    • 2015
  • Clubroot disease of crucifers has occurred since 1957. It has spread to the whole China, especially in the southwest and nourtheast where it causes 30-80% loss in some fields. The disease has being expanded in the recent years as seeds are imported and the floating seedling system practices. For its effective control, the Ministry of Agriculture of China set up a program in 2010 and a research team led by Dr. Yueqiu HE, Yunnan Agricultural University. The team includes 20 main reseachers of 11 universities and 5 institutions. After 5 years, the team has made a lot of progresses in disease occurrence regulation, resources collection, resistance identification and breeding, biological agent exploration, formulation, chemicals evaluation, and control strategy. About 1200 collections of local and commercial crucifers were identified in the field and by artificiall inoculation in the laboratories, 10 resistant cultivars were breeded including 7 Chinese cabbages and 3 cabbages. More than 800 antagostic strains were isolated including bacteria, stretomyces and fungi. Around 100 chemicals were evaluated in the field and greenhouse based on its control effect, among them, 6 showed high control effect, especially fluazinam and cyazofamid could control about 80% the disease. However, fluzinam has negative effect on soil microbes. Clubroot disease could not be controlled by bioagents and chemicals once when the pathogen Plasmodiophora brassicae infected its hosts and set up the parasitic relationship. We found the earlier the pathogent infected its host, the severer the disease was. Therefore, early control was the most effective. For Chinese cabbage, all controlling measures should be taken in the early 30 days because the new infection could not cause severe symptom after 30 days of seeding. For example, a biocontrol agent, Bacillus subtilis Strain XF-1 could control the disease 70%-85% averagely when it mixed with seedling substrate and was drenching 3 times after transplanting, i.e. immediately, 7 days, 14 days. XF-1 has been deeply researched in control mechanisms, its genome, and development and application of biocontrol formulate. It could produce antagonistic protein, enzyme, antibiotics and IAA, which promoted rhizogenesis and growth. Its The genome was sequenced by Illumina/Solexa Genome Analyzer to assembled into 20 scaffolds then the gaps between scaffolds were filled by long fragment PCR amplification to obtain complet genmone with 4,061,186 bp in size. The whole genome was found to have 43.8% GC, 108 tandem repeats with an average of 2.65 copies and 84 transposons. The CDSs were predicted as 3,853 in which 112 CDSs were predicted to secondary metabolite biosynthesis, transport and catabolism. Among those, five NRPS/PKS giant gene clusters being responsible for the biosynthesis of polyketide (pksABCDEFHJLMNRS in size 72.9 kb), surfactin(srfABCD, 26.148 kb, bacilysin(bacABCDE 5.903 kb), bacillibactin(dhbABCEF, 11.774 kb) and fengycin(ppsABCDE, 37.799 kb) have high homolgous to fuction confirmed biosynthesis gene in other strain. Moreover, there are many of key regulatory genes for secondary metabolites from XF-1, such as comABPQKX Z, degQ, sfp, yczE, degU, ycxABCD and ywfG. were also predicted. Therefore, XF-1 has potential of biosynthesis for secondary metabolites surfactin, fengycin, bacillibactin, bacilysin and Bacillaene. Thirty two compounds were detected from cell extracts of XF-1 by MALDI-TOF-MS, including one Macrolactin (m/z 441.06), two fusaricidin (m/z 850.493 and 968.515), one circulocin (m/z 852.509), nine surfactin (m/z 1044.656~1102.652), five iturin (m/z 1096.631~1150.57) and forty fengycin (m/z 1449.79~1543.805). The top three compositions types (contening 56.67% of total extract) are surfactin, iturin and fengycin, in which the most abundant is the surfactin type composition 30.37% of total extract and in second place is the fengycin with 23.28% content with rich diversity of chemical structure, and the smallest one is the iturin with 3.02% content. Moreover, the same main compositions were detected in Bacillus sp.355 which is also a good effects biocontol bacterial for controlling the clubroot of crucifer. Wherefore those compounds surfactin, iturin and fengycin maybe the main active compositions of XF-1 against P. brassicae. Twenty one fengycin type compounds were evaluate by LC-ESI-MS/MS with antifungal activities, including fengycin A $C_{16{\sim}C19}$, fengycin B $C_{14{\sim}C17}$, fengycin C $C_{15{\sim}C18}$, fengycin D $C_{15{\sim}C18}$ and fengycin S $C_{15{\sim}C18}$. Furthermore, one novel compound was identified as Dehydroxyfengycin $C_{17}$ according its MS, 1D and 2D NMR spectral data, which molecular weight is 1488.8480 Da and formula $C_{75}H_{116}N_{12}O_{19}$. The fengycin type compounds (FTCPs $250{\mu}g/mL$) were used to treat the resting spores of P. brassicae ($10^7/mL$) by detecting leakage of the cytoplasm components and cell destruction. After 12 h treatment, the absorbencies at 260 nm (A260) and at 280 nm (A280) increased gradually to approaching the maximum of absorbance, accompanying the collapse of P. brassicae resting spores, and nearly no complete cells were observed at 24 h treatment. The results suggested that the cells could be lyzed by the FTCPs of XF-1, and the diversity of FTCPs was mainly attributed to a mechanism of clubroot disease biocontrol. In the five selected medium MOLP, PSA, LB, Landy and LD, the most suitable for growth of strain medium is MOLP, and the least for strains longevity is the Landy sucrose medium. However, the lipopeptide highest yield is in Landy sucrose medium. The lipopeptides in five medium were analyzed with HPLC, and the results showed that lipopeptides component were same, while their contents from B. subtilis XF-1 fermented in five medium were different. We found that it is the lipopeptides content but ingredients of XF-1 could be impacted by medium and lacking of nutrition seems promoting lipopeptides secretion from XF-1. The volatile components with inhibition fungal Cylindrocarpon spp. activity which were collect in sealed vesel were detected with metheds of HS-SPME-GC-MS in eight biocontrol Bacillus species and four positive mutant strains of XF-1 mutagenized with chemical mutagens, respectively. They have same main volatile components including pyrazine, aldehydes, oxazolidinone and sulfide which are composed of 91.62% in XF-1, in which, the most abundant is the pyrazine type composition with 47.03%, and in second place is the aldehydes with 23.84%, and the third place is oxazolidinone with 15.68%, and the smallest ones is the sulfide with 5.07%.

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Robo-Advisor Algorithm with Intelligent View Model (지능형 전망모형을 결합한 로보어드바이저 알고리즘)

  • Kim, Sunwoong
    • 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.