• Journal of the Korea Convergence Society
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• v.10 no.9
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• pp.199-207
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• 2019

This study aims to analyze the profitability of Robo-Advisors portfolio combined with the analysts' forecasts on the Korean stock prices. Sample stocks are 8 blue-chips and sample period is from 2003 to 2019. Robo-Advisor portfolio was suggested using the Black-Litterman model combined with the analysts' forecasts and its profitability was analyzed. Empirical result showed the suggested Robo-Advisor algorithm produced 1% annual excess return more than that of the benchmark. The study documented that the analysts' forecasts had an economic value when applied in the Robo-Advisor portfolio despite the prevalent blames from investors. The profitability on small or medium-sized stocks will need to be analyzed in the Robo-Advisor context because their information is relatively less known to investors and as such is expected to be strongly influenced by the analysts' forecasts.

• KSCE Journal of Civil and Environmental Engineering Research
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• v.26 no.4D
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• pp.573-580
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• 2006

The Saturation headway is a major parameter in estimating the intersection capacity and setting the signal timing. But Existing algorithms are still far from being robust in dealing with factors related to the variation of saturation headways at signalized intersections. So this study apply the fuzzy inference system using ANFIS. The ANFIS provides a method for the fuzzy modeling procedure to learn information about a data set, in order to compute the membership function parameters that best allow the associated fuzzy inference system to track the given input/output data. The climate conditions and the degree of brightness were chosen as the input variables when the rate of heavy vehicles is 10-25 %. These factors have the uncertain nature in quantification, which is the reason why these are chosen as the fuzzy variables. A neuro-fuzzy inference model to estimate saturation headways at signalized intersections was constructed in this study. Evaluating the model using the statistics of $R^2$, MAE and MSE, it was shown that the explainability of the model was very high, the values of the statistics being 0.993, 0.0289, 0.0173 respectively.

• The Korean Journal of Financial Management
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• v.15 no.1
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• pp.1-30
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• 1998

본(本) 연구(硏究)는 한국증권시장에서 대표적 대용시장(代用市場)포트폴리오인 한국종합주가지수(韓國綜合株價指數)와 동일가중지수(同一加重指數)의 효율성에 대한 검증을 Hansen(1982)의 다변량의 GMM에 의하여 실시하고자 하였다. 이를 위하여 먼저, 주식수익률자료(株式收益率資料)에 근거한 산업별(産業別)포트폴리오수익률과 초과시장수익률모형(超過市場收益率模型)의 오차항(誤差項)이 정규분포(正規分布)를 벗어남을 증명함으로써 GMM검증방법(檢證方法)의 정당성을 찾고자 하였다. 정규분포에 대한 검증방법(檢證方法)으로서 왜도와 첨도의 검증과 이를 결합한 Jarque-Bera(1980)검증(檢證)을 실시하였다. 둘째로, Hansen(1982)의 GMM을 대용시장(代用市場)포트폴리오의 효율성(效率性) 검증(檢證)에 적용하는 방법에 대한 연구들인 Mackinlay-Richardson(1991), Harvey-Zhou(1993)와 Campbell-Lo-Mackilay(1997) 등을 기초로하여 이들의 방법론을 개선한 3가지의 효율성(效率性) 검증방법(檢證方法)을 제시하였다. 셋째로, 이상의 검증방법(檢證方法)들을 토대로 1980년 1월부터 1997년 6월까지 월별주식수익률(月別株式收益率)의 자료(資料)를 11업종으로 분류하여 산업별(産業別)포트폴리오수익률(收益率)과 초과시장수익률모형(超過市場收益率模型)에 의한 오차항(誤差項)이 정규분포(正規分布)를 따르는지와 아울러 대용시장(代用市場)포트폴리오의 효율성을 검증하였다. 검증결과(檢證結果), 산업별(産業別)포트폴리오수익률과 오차항(誤差項)은 대부분 정규성이 기각(棄却)되어 GMM검증방법(檢證方法)의 정당성이 입증되었다. 따라서 GMM에 의한 효율성(效率性)을 검증한 결과, 한국종합주가지수(韓國綜合株價指數)의 경우에는 평균-분산(平均-分散)프론티어(mean-variance frontier)상(上)에서의 대용시장(代用市場)포트폴리오의 효율성(效率性)은 기각(棄却) 할 수 없는 것으로 나타났으나 평균수익률(平均收益率)이 GMVP의 수익률보다 낮았기 때문에 효율적(效率的) 프론티어(efficient frontier)상(上)의 대용시장(代用市場)포트폴리오의 효율성(效率性)은 기각(棄却)되어 대용시장지수로서의 문제점이 있는 것으로 나타났다. 그러나 동일가중지수(同一加重指數)는 평균수익률이 GMVP의 수익률보다 높을 뿐만아니라 효율적(效率的) 프론티어상(上)의 대용시장(代用市場)포트폴리오의 효율성(效率性)도 채택되어 한국종합주가지수(韓國綜合株價指數)보다 우월한 지수(指數)인 것으로 나타났다.

• Journal of dental hygiene science
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• v.9 no.1
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• pp.53-59
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• 2009

Infection control is now recognized as an important quality indicator in dental health service setting. The purpose of this study was to develop and validate Dental Hygienist's Infection Control Practice Scale for quality management of dental health service in Korea. The data of 254 dental hygienists was subjected to exploratory factor analysis using SPSS 16.0 and confirmatory factor analysis using AMOS 16.0. The total items of preliminary scale were 21 items and 5 subscale. Principal component analysis was completed with Varimax rotation. The results show a change in factor structure from 5 factor solution to 4 factor solution. The confirmatory factor analysis confirmed the four subscales(Immunization and periodic tests, Clinical procedure, Handwashing, Personal protection) which have a total of 12 items. After the item deleted because factor loading was low, measured model was tested. The results of the measurement model indicated fit indices: $x^2$= 79.593(df = 38, 0 = 0.000), RMR = 0.045, GFI = 0.940, CFI = 0.904, AGFI = 0.896, NFI = 0.837, TLI = 0.861, RMSEA = 0.67. The squared correlation between four constructs were less than the average variance extracted(AVE) of four constructs. Multiple regression analysis was completed. Dependent variable was the perceived infection control practice by dental hygienist. Independent variables were four summated subscales(R = 0.552, $R^2$= 0.304, Adjusted $R^2$= 0.431, F = 25.813, p = 0.000). Unstandardized coefficients of three independent variables were statistically significant.

• Journal of Korea Water Resources Association
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• v.34 no.5
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• pp.499-509
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• 2001

2-D transport model based on a discrete probability distribution for a particle displacement was developed too solve advection-diffusion problems in natural stream. In this proposed model, the probabilities expressed as an average and variance function were used to predict the mass transfer between cells in one time step. The proposed model produces solutions without numerical dispersion for constant velocity, diffusion coefficient, and cross-sectional area. When the stability and positivity restrictions were satisfied, the model produced excellent results compared to analytical solutions and other finite difference methods. The proposed model is tested against the dispersion data collected in the Grand River, Canada. The simulation results show that the proposed model can properly describe the two-dimensional mixing phenomena in the natural stream.

• Journal of Korean Society of Transportation
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• v.33 no.5
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• pp.449-460
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• 2015

The reliability of air quality evaluation results for green transportation could be improved by applying correct emission factors. Unlike previous studies, which estimated emission factors that focused on vehicles in laboratory experiments, this study investigates emission factors according to road types and time using real driving data. The real driving data was collected using a Portable Activity Monitoring System (PAMS) according to road types and time, which it compared and analyzed fuel consumption from collected data. The result of the study shows that fuel consumption on national highway is 17.33% higher than the fuel consumption on expressway. In addition, the average fuel consumption of peak time is 4.7% higher than that of non-peak time for 22.5km/h. The difference in fuel consumption for road types and time is verified using ANOCOVA and MANOVA. As a result, the hypothesis of this study - that fuel consumption differs according to road types and time, even if the travel speed is the same - has proved valid. It also suggests correction factor of emission factors by using the difference in fuel consumption. It is highly expected that this study can improve the reliability of emissions from mobile pollution sources.

• The Korean Journal of Applied Statistics
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• v.8 no.2
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• pp.147-161
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• 1995

The primary objective of this paper is to review parametric models and test statistics related to overdspersion of count data. Poisson or binomial assumption often fails to explain overdispersion. We reviewed real examples of overdispersion in count data that occurred in toxicological or teratological experiments. We also reviewed several models that were suggested for implementing experiments. We also reviewed several models that were suggested for implementing the extra-binomial variation or hyper-Poisson variability, and we noted how these models were generalized and further developed. The approaches that have been suggested for the overdispersion fall into two broad categories. The one is to develop a parametric model for it, and the other is to assume a particular relationship between the variance and the mean of the response variable and to derive a score test staistics for detecting the overdispersion. Recently, Dean(1992) derived a general score test statistics for detecting overdispersion from the exponential family.

• The Korean Journal of Applied Statistics
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• v.6 no.1
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• pp.145-162
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• 1993

We review sampling schemes on successive occasions with partial replacement of units and propose a Rao-Hartley-Cochran(RHC) type's sampling scheme over two successive occasions with probability proportionate to observations on the previous occasion. For comparison of the reviewed and proposed sampling schemes, optimal estimator of population mean on second occasion and its variance are derived. The relative efficiency of the proposed sampling scheme is compared with other equal and unequal probability sampling scheme by theoretical and numerical simulation study. For simulation study, three artificial populations are generated by a time series model. It is observed that RHC type's sampling scheme has small variance and deviation in general.

• Journal of Korea Water Resources Association
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• v.49 no.11
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• pp.913-922
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• 2016

A long-term precipitation record is typically required for establishing the reliable water resources plan in the watershed. However, the observations in the hourly precipitation data are not always consistent and there are missing values within the time series. This study aims to develop a hourly rainfall simulator for extending rainfall data, based on the well-known Neyman-Scott Rectangular Pulse Model (NSRPM). Moreover, this study further suggests a multisite hourly rainfall simulator to better reproduce areal rainfalls for the watershed. The proposed model was validated with a network of five weather stations in the Uee-stream watershed in Seoul. The proposed model appeared a reasonable result in terms of reproducing most of the statistics (i.e. mean, variance and lag-1 autocovariance) of the rainfall time series at various aggregation levels and the spatial coherence over the weather stations.

• The Korean Journal of Applied Statistics
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• v.30 no.4
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• pp.529-538
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• 2017

The Ghosh and Kim zero-altered distribution model is used to analyze count data that have too many or too few zeros. The dispersion type parameter ${\delta}$ in the zero-altered distribution model consists of mean, variance and zero probability and has two forms depending on the relation between ${\mu}$ and ${\sigma}^2$. We derived the influence function on ${\delta}$ when ${\sigma}^2{\geq}{\mu}$. To show the validity of the influence function, we used the Census data on the number of births of married women in Korea to compare the estimated changes in ${\delta}$ using this function with those obtained using the direct deletion method. The result proved that the obtained influence function is very accurate in estimating changes in ${\delta}$ when an observation is deleted.