• Title/Summary/Keyword: 신뢰성 지수

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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.

Development of Real-time Inflow Forecasting Models for Securing Reservoir Conservation Storage (이수용량 확보를 위한 실시간 저수지 유입량 예측모형의 개발)

  • Jang, Su-Hyung;Yoon, Jae-Young;Ahn, Jae-Hyun;Kim, Won-Seock;Yoon, Yong-Nam
    • Proceedings of the Korea Water Resources Association Conference
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    • 2005.05b
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    • pp.821-825
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    • 2005
  • 본 연구에서는 홍수조절 용 저수지의 예비방류 시행을 충분히 효과적으로 시행하고 강우종료 후에도 충분한 이수용량이 확보되도록 실시간 강우자료를 이용한 저수지 유입량 예측모형을 개발하였다. 사전예보(기상청 등)에 의한 총 예상강우량과 선행강우량, 현재 저수지 수위를 입력자료로 저수지 유입 총량과 수위변화량을 계산하여 홍수조절 응 저수지의 초기수위저하 및 하류 하도의 홍수방어를 사전에 대비할 수 있는 자료를 제시하였다. 또한, 유역을 하나의 통합시스템으로 구성하고 실제 강우가 시작되면 매시간 현시간 이후 강우가 중단된다는 가정 하에 현시점까지의 우량주상도를 통합시스템에 적용하여 이후 저수지 유입량을 예측하였다. 무한천 예당저수지에 적용하였으며 통합시스템의 구성은 저수지유역을 10개 소유역으로 분할하고 소유역별 홍수유출량은 Clark의 유역추적법, 하도구간은 Muskingum의 하도홍수추적 방법으로 계산되도록 하였다. 그리고 홍수유출시스템 내에는 강우관측소별 티센가중치에 따라 소유역별 평균강우량이 자동으로 입력되도록 하였으며, 예측정확도를 위해 현시간 이전까지 매시간마다 저수지의 수위변동과 실제 방류량으로부터 실측유입량을 산정하여 모형의 매개변수가 자동 보정되도록 하였다. 1995년 8월 23일$\~$8월 26일과 1999년 8월 2일$\~$8월 4일의 집중호우에 대하여 적용한 결과 모형의 예측정확도는 신뢰수준에 있었으며, 이와 같은 자료는 장수형 등(2005)이 제시한 효율적 저수지 운영관리 시스템과 하나로 통합되어 하류 하도의 통수능력을 고려한 홍수방어능력을 극대화한 예비방류의 시행과 강우종료 후에도 이수용량에는 손실이 없는 저수지의 관리방안의 지침이 되는데 효율적이라 판단되었다. 방법을 개발하여 개선시킬 필요성이 있다.>$4.3\%$로 가장 근접한 결과를 나타내었으며, 총 유출량에서도 각각 $7.8\%,\;13.2\%$의 오차율을 가지는 것으로 분석되어 타 모형에 비해 실유량과의 차가 가장 적은 것으로 모의되었다. 향후 도시유출을 모의하는 데 가장 근사한 유출량을 산정할 수 있는 근거가 될 것이며, 도시재해 저감대책을 수립하는데 기여할 수 있을 것이라 판단된다.로 판단되는 대안들을 제시하는 예비타당성(Prefeasibility) 계획을 수립하였다. 이렇게 제시된 계획은 향후 과학적인 분석(세부평가방법)을 통해 대안을 평가하고 구체적인 타당성(feasibility) 계획을 수립하는데 토대가 될 것이다.{0.11R(mm)}(r^2=0.69)$로 나타났다. 이는 토양의 투수특성에 따라 강우량 증가에 비례하여 점증하는 침투수와 구분되는 현상이었다. 경사와 토양이 같은 조건에서 나지의 경우 역시 $Ro_{B10}(mm)=20.3e^{0.08R(mm)(r^2=0.84)$로 지수적으로 증가하는 경향을 나타내었다. 유거수량은 토성별로 양토를 1.0으로 기준할 때 사양토가 0.86으로 가장 작았고, 식양토 1.09, 식토 1.15로 평가되어 침투수에 비해 토성별 차이가 크게 나타났다. 이는 토성이 세립질일 수록 유거수의 저항이 작기 때문으로 생각된다. 경사에 따라서는 경사도가 증가할수록 증가하였으며 $10\% 경사일 때를 기준으로 $Ro(mm)=Ro_{10}{\times}0.797{\times}e^{-0.021s(\%)}$로 나타났다.천성 승모판 폐쇄 부전등을 초래하는 심각한 선천성 심질환이다. 그러나 진단 즉시 직접 좌

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Preparation Conditions of Hydrolyzed Vegetable Protein Soy Sauce for the Reduction of 3-Monochloropropane-1,2-Diol (3-MCPD) (3-Monochloropropane-1,2-diol(3-MCPD) 저감화를 위한 아미노산 간장의 제조조건)

  • Chung, Yong-Il;Lee, Ji-Soo;Lee, Hyeon-Gyu
    • Korean Journal of Food Science and Technology
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    • v.41 no.5
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    • pp.522-527
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    • 2009
  • The principal objective of this study was to assess the effects of various manufacturing conditions of soy sauce containing hydrolyzed vegetable protein (HVP) (HVP-soy sauce) on 3-monochloropropane-1,2-diol (3-MCPD) contents. Various HVP soy sauces were prepared under different conditions of alkaline treatment and retention process. Derivatives of heptafluorobutylimidazole (HFBI) 3-MCPD were determined via GC/MS below $0.010{\mu}g/g$, which was sensitive with a good recovery rate. The quantity of 3-MCPD decreased with the pH and temperature of alkaline treatment, and the time and temperature of the retention process increased. Alkaline treatment at pH 10.0-10.5 and a 72 hr retention process were shown to reduce effectively the 3-MCPD contents of HVP-soy sauces. This result indicates that the manufacturing process, particularly alkaline treatment, and retention process would be critical steps in managing 3-MCPD contents in HVP-soy sauce.

Gender differences in the impact of socioeconomic, health-related, and health behavioral factors on the health-related quality of life of the Korean elderly (노인의 사회경제적 상태, 건강상태, 건강행태와 건강관련 삶의 질의 관계: 성별 차이를 중심으로)

  • Moon, Seongmi
    • Journal of Digital Convergence
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    • v.15 no.6
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    • pp.259-271
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    • 2017
  • The present study was designed to examine the impact of socioeconomic, health-related, and health behavioral factors on the health-related quality of life (HRQoL) of the Korean elderly by gender. The subjects comprised 688 men and 898 women aged 65 or more who had participated in the Sixth Korea National Health and Nutrition Examination Survey conducted in 2014. The associations of factors with the HRQoL as measured with the European Quality of Life 5 Dimensions (EQ-5D) Index were examined in a general linear model. The most influential factor on the HRQoL was depression in both men and women. The perceived health status and walking activity were also associated with the HRQoL in both men and women. The living arrangement and educational status were associated with the HRQoL in women, while the body mass index was associated with the HRQOL in men. Depression management and the promotion of walking activity are essential to the HRQoL of the Korean elderly. Particular attention must be paid to the HRQoL of older women who live alone and have a lower level of education.

Reliability and Validity of Korean Version of the Nurse-Patient Interaction Scale (한국판 간호사-환자 상호작용 측정도구의 신뢰도 및 타당도 검증)

  • Chang, Hee-Kyung;Lee, Ji-Yeon;Kim, Mi-Kyoung;Yang, Eun-Ok;Gil, Cho-Rong
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.20 no.12
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    • pp.747-757
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    • 2019
  • This study examined the reliability and validity of the Korean version of the Nurse-Patient Interaction Scale (K-NPIS) for the elderly, at long-term care hospitals in Korea. The original NPIS was developed to identify important characteristics of elderly patient experiences regarding nurse-patient interactions in nursing homes. Totally, 202 hospitalized elderly patients at 4 long-term hospitals in Jinju-si, Suncheon-si, and Namwon-si, were enrolled in the study and completed the questionnaire. For internal consistency, Cronbach's α of K-NPIS was 0.96 after item analysis. K-NPIS was validated using the confirmatory factor analysis and content validity. The content validity score was more than 0.80, establishing the appropriateness and readiness of the tool through group discussions between clinical experts and elderly patients. The K-NPIS is a 10-point scale comprising 12 questions. K-NPIS scores between different residential groups were significantly different, and showed no ceiling or floor effect. The internal consistency reliability, construct validity, and discriminative validity of K-NPIS was adequate. However, criterion validity requires further examination. Our findings suggest that K-NPIS serves as an appropriate measure of nurse-patient interaction when applying the nursing care intervention for elderly.

A Study on the Long-Term Variations of Annual Maximum Surge Heights at Sokcho and Mukho Harbors (속초와 묵호항의 연간 최대해일고의 장기간 변동성에 대한 고찰)

  • Kwon, Seok-Jae;Moon, Il-Ju;Lee, Eun-Il
    • Journal of Korean Society of Coastal and Ocean Engineers
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    • v.20 no.6
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    • pp.564-574
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    • 2008
  • This study investigates a long-term variation of annual maximum surge heights(AMSH) and main characteristics of high surge events, which is influenced by the global warming and intensifying typhoons, using sea level data at Sokcho and Mukho tidal stations over 34 years ($1974{\sim}2007$). It is found that the there is a longterm uptrend of the AMSH at Sokcho (8.3 cm/34yrs) and at Mukho (8.7 cm/34yrs), which is significant within 95% confidence level based on the linear regression. The statistical analysis reveals that 53% of the AMSH occurs during typhoon's event in both tidal stations and the highest surge records are mostly produced by the typhoon. It is concluded that the uptrend in the AMSH is attributed by the increasing typhoon activities globally as well as locally in Korea due to the increased sea surface temperature in tropical oceans. The continuous efforts monitering and predicting the extreme surge events in the future warm environments are required to prevent the growing storm surge damage by the intensified typhoon.

Translation and Content: Validity Verification Study of the Korean Version of the School Setting Interview (K-SSI) (School Setting Interview(SSI)의 번안 및 내용타당도 검증)

  • Park, Min-kyoung;Kim, Hee
    • The Journal of Korean Academy of Sensory Integration
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    • v.17 no.2
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    • pp.41-55
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    • 2019
  • Objective : This study was conducted to validate the content validity of the Korean version of the school setting interview (SSI) that assesses the adequacy of school environments for students aged 9-19. Methods : The Korean version of the SSI, which was completed via a translation-reverse translation process, was verified by conducting a questionnaire on category suitability two times with 35 experts. Results : The content validity index (CVI) for the entire K-SSI tool was .90 in the first test. The "Maps and diagrams" measurement in reading items and the "Taking a shower" measurement in sports activities were both below .75. A second round of verification was conducted after the CVI was modified. As a result, the secondary verification CVI results were further raised to .93. Conclusion : This study confirmed that the K-SSI contains items that are appropriate to Korean culture; it has been proven to have high content validity. Future continuous research and clinical use are required to study the validity and reliability of the K-SSI. Further, this tool should also be applied to students with diverse disabilities who face difficulties in school settings.

Analysis of Model of Intentions of University Students to Watch Mega Sports Events with People with Disabilities Based on the Theory of Planned Behavior (계획행동이론을 적용한 장애인 메가 스포츠 이벤트에 대한 대학생의 관람 의도 모형 분석)

  • Kim, Kyungjin;Kim, Jaehwa
    • Journal of the Korea Convergence Society
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    • v.13 no.4
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    • pp.433-439
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    • 2022
  • The purpose of the study was to determine the suitability of the research model on the intentions of university students to watch mega sports events for people with disabilities to which the theory of planned behavior was applied, and to examine the influence relationship between variables. Based on the items of sub-variables derived from the previous research, the questionnaire was optimally constructed through expert meetings, validity, and reliability verification. For data analysis, Cronbach's 𝛼 and exploratory factor analysis were performed using SPSS 21.0, and structural equation model analysis (SEM) and confirmatory factor analysis (CFA) were performed using AMOS 18.0. The results were as follows; first, as a result of verification of the research model of intentions of university students to watch mega sports events with people with disabilities to which the theory of planned behavior was applied, the evaluation indices of CFI, NFI, and IFI met the acceptance criteria, indicating that this research model was well suited. Second, as a result of examining the influence relationship of the research model on the intentions of university students to watch mega sports event for people with disabilities, it was found that the behavioral beliefs and normative beliefs of university students had a significantly positive (+) influence to intentions. However, it was found that there was a significantly negative (-) influence on the control beliefs to intentions.

Using Trophic State Index (TSI) Values to Draw Inferences Regarding Phytoplankton Limiting Factors and Seston Composition from Routine Water Quality Monitoring Data (영양상태지수 (trophic state index)를 이용한 수체 내 식물플랑크톤 제한요인 및 seston조성의 유추)

  • Havens, Karl E
    • Korean Journal of Ecology and Environment
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    • v.33 no.3 s.91
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    • pp.187-196
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    • 2000
  • This paper describes a simple method that uses differences among Carlson's (1977) trophic state index (TSI) values based on total phosphorus (TP), chlorophyll a (CHL) and Secchi depth (SD) to draw inferences regarding the factors that are limiting to phytoplankton growth and the composition of lake seston. Examples are provided regarding seasonal and spatial patterns in a large subtropical lake (Lake Okeechobee, Florida, USA) and inter- and intra-lake variations from a multilake data set developed from published studies. Once an investigator has collected routine water quality data and established TSI values based on TP, CHL, and SD, a number of inferences can be made. Additional information can be provided where it also is possible to calculate a TSI based on total nitrogen (TN). Where TSI (CHL)<>TSI (SD), light attenuating particles are large (large filaments or colonies of algae), and the phytoplankton may be limited by zooplankton grazing. Other limiting conditions are inferred by different relationships between the TSI values. Results of this study indicate that the analysis is quite robust, and that it generally gives good agreement with conclusions based on more direct methods (e.g., nutrientaddition bioassays, zooplankton size data, zooplankton removal experiments). The TSI approach, when validated periodically with these more costly and time-intensive methods, provides an effective, low cost method for tracking long-term changes in pelagic structure and function with potential value in monitoring lake ecology and responses to management.

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A Reliability Analysis of Shallow Foundations using a Single-Mode Performance Function (단일형 거동함수에 의한 얕은 기초의 신뢰도 해석 -임해퇴적층의 토성자료를 중심으로-)

  • 김용필;임병조
    • Geotechnical Engineering
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    • v.2 no.1
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    • pp.27-44
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    • 1986
  • The measured soil data are analyzed to the descriptive statistics and classified into the four models of uncorrelated-normal (UNNO), uncorrelated-nonnormal (VNNN), correlatedonnormal(CONN), and correlated-nonnormal(CONN) . This paper presents the comparisons of reliability index and check points using the advanced first-order second-moment method with respect to the four models as well as BASIC Program. A sin91e-mode Performance function is consisted of the basic design variables of bearing capacity and settlements on shallow foundations and input the above analyzed soil informations. The main conclusions obtained in this study are summarized as follows: 1. In the bearing capacity mode, cohesion and bearing-capacity factors by C-U test are accepted for normal and lognormal distribution, respectively, and negatively low correlated to each other. Since the reliability index of the CONN model is the lowest one of the four model, which could be recommended a reliability.based design, whereas the other model might overestimate the geotechnical conditions. 2. In the case of settlements mode, the virgin compression ratio and preccnsolidation pressure are fitted for normal and lognormal distribution, respectively. Constraining settlements to the lower ones computed by deterministic method, The CONN model is the lowest reliability of the four models.

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