• Proceedings of the Korea Information Processing Society Conference
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• 2018.05a
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• pp.388-391
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• 2018

최근, 자산 매매 및 포트폴리오에 인공지능을 활용한 연구들이 활발히 진행되고 있다. 본 논문은 기존 재귀 강화학습(Recurrent Reinforcement Learning)을 기반으로 한 운용 모델의 성능을 향상시키고자 자산들의 예측값을 사용한다. 예측값 사용 유무에 따른 재귀 강화학습의 성능을 비교분석을 통하여 예측값의 활용이 포트폴리오 운용 성능에 미치는 효과에 대해 분석하였다.

• Proceedings of the Korean Operations and Management Science Society Conference
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• 2008.10a
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• pp.76-94
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• 2008

This paper investigates performance of the Markowitz's portfolio selection model with applications to Korean stock market. We choose Samsung-Group-Funds and KOSPI index for performance comparison with the Markowitz's portfolio selection model. For the most recent one and a half year period between March 2007 and September 2008, KOSPI index almost remains the same with only 0.1% change, Samsung-Group-Funds shows 20.54% return, and Markowitz's model, which is composed of the same 17 Samsung group stocks, reaches 52% return. We perform sensitivity analysis on the duration of financial data and the period of portfolio change in order to maximize the return of portfolio. In conclusion, according to our empirical research results with Samsung-Group-Funds, investment by Markowitz's model, which periodically changes portfolio by using nonlinear programming with only financial data, outperforms investment by the fund manager who possesses rich experiences on stock trading and actively changes portfolio based on minute-by-minute market news and business information.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.16 no.10
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• pp.6511-6516
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• 2015

This paper examines the relationship between idiosyncratic volatility(IVOL) puzzle and trading volumes by trader types in the Korean stock market. The data set includes all stock in both KRX and KOSDAQ for the period from January 1999 through December 2013. Idiosyncratic volatility is measured by using the Fama-French's three-factor model. Traders are classified into individual, institution, and foreign trader. We construct (5X5) portfolios based on each trader's net buying and idiosyncratic volatility. We find that there are some special portfolios that show the idiosyncratic volatility puzzle. For individual investors, top net buying portfolios show clear the idiosyncratic volatility puzzle. However, for institution and foreign investors, lowest net buying portfolio show the idiosyncratic volatility puzzle. This results imply that the idiosyncratic volatility puzzle in the Korean stock market is mainly caused by individual investors.

• Journal of The Korean Association For Science Education
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• v.18 no.2
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• pp.233-243
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• 1998

Many science educators concern about the problems of assessment using paper & pencil test. Performance assessment is believed to be a very promising alternatives to traditional assessment. Portfolio assessment, a kind of performance assessment, has many desirable characteristics to foster students' creativity and increase students' responsibility for their own learning. However few research study has been dealt with this assessment method and few teacher adopts this method in science class. The characteristics and structures of portfolio assessment were explored by reviewing related literatures. The appropriate portfolio assessment was designed based on the results of exploration. For our primary science class, general and specific objectives are needed, depending on the nature of the instructional topics. The children's evidences for portfolio may be limited in their forms because of insufficient learning materials and reproducing facilities in classrooms. Large portions of children's evidence should be collected during class hours to reduce burdens of children. The evaluation criteria may be holistic rather than analytical because of large class size. Portfolio assessment will bring about many changes in primary science classes. Students' have more responsibility in science learning. Teachers will focus major instructional objectives, and concern more about students' meaningful learning. Although portfolio assessment requires more work to teachers and children it could be applicable to our science classroom.

• Journal of The Korean Association For Science Education
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• v.21 no.1
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• pp.22-29
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• 2001

The purpose of this study is to investigate the effects of lessons adopting portfolio assessment regarding feedback on elementary school student's scientific knowledges, inquiry abilities and their perceptions of it. For this study, two classes of 5th grade elementary school in suburb were selected. As an experimental group, one class was selected to apply the lessons adopting portfolio assessment regarding feedback, and the other class as a control group was selected to apply the lessons adopting portfolio assessment without feedback. The investigator taught and assessed both group students. The results showed a significant difference in scientific knowledge between the experimental group and the control group (p<.05). More detailed analysis of scientific knowledge found that the feedback effect was statistically positive in the memory and the understanding domain, but there was no effect in the application domain. No statistical difference was identified in inquiry abilities. The results of the questionnaire on the perceptions of portfolio assessment showed that students of the experimental group had higher positive responses on the 'perception about the effects of lesson' and on the 'perception in scientific attitudes' than the control group. However, the control group students had higher positive responses on the 'perception about self-evaluate of their own portfolio' and the 'perception about need of feedback' than the experimental group.

• Korean Journal of Construction Engineering and Management
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• v.14 no.1
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• pp.23-31
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• 2013

Following the U.S sub-prime mortgage crisis and a slump in properties market, the probability is rising that housing investment would not yield high profit as it used to do until early 2000s. For this reason, the nature of properties market is undergoing a change from a source of lucrative investment to a source of a relatively low but stable profit, such as profit-oriented real estate. This trend is likely to promote REITs market, which is a leading product for indirect investment. Until now, the REITs market has been growing slowly compared to a general housing market or financial markets. However, as the importance of risk management based on portfolio theories increases, stable profit generation of REITs can be effective in risk management. This study conducts an empirical analysis on how investment risks can be diversified by including REITs-a source of relatively stable profit in the equity market-in investment portfolio. The analysis results showed that, similar to food and beverage stocks of highly defensive nature, REITs has a relatively weak correlation with KOSPI that reflects the overall market performance. It also showed very low standard deviation in case of minimum variance portfolio. This suggests that including REITs in investment portfolio can be as effective as including food and beverage stocks for risk diversification. Due to uncertainties, investment always accompanies risks, and balancing potential profits and risks is essential.

• Journal of Technology Innovation
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• v.27 no.1
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• pp.45-77
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• 2019

The balance between exploration for new possibility and exploitation for existing certainty is an important issue in strategy, innovation, R&D as well as organization learning. Among the convergence trends of technologies, many firms seek to have the wider technological knowledge assets and the deeper technology capabilities for the sustainable competitive advantage at the same time. While firms plan technology portfolio strategies, they should consider the attribute of the technology. Nanotechnology, a cutting-edge technology, is a general purpose technology, unlike conventional product-oriented technologies. This empirical study was focused on how multi-national firms' exploration and exploitation strategies for nanotechnology affect their innovative and financial performance. It uses multiple regression analysis on panel data. This result shows that the more diversified and specialized nanotechnology as platform technology is positively related to their innovative and financial performance, unlike the research results for product-oriented technologies. In addition, exploratory innovation is more effective to firm performance than exploitation. This implies how global firms can manage effectively platform technology strategies under the constraints of resources.

• Proceedings of the Technology Innovation Conference
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• 2009.02a
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• pp.391-412
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• 2009

국가의 신성장 동력을 찾고 국가 연구개발과제를 기획 평가하는 것은 국가 경쟁력에 직결되는 것이라 할 수 있으며, 이것은 해당 기술에 대한 철저한 분석을 토대로 정확한 기술궤적 (technology trajectory)을 도출할 수 있을 때 효과적으로 수행될 수 있다. 기존에는 이러한 과정이 직관에 의한 판단이나 경험에 의존하는 경향이 높았으나, 최근에는 기술이 보유하고 있는 지식과 정보에 대한 정량적인 수치화, 즉 계량화를 기반으로 분석하려는 시도가 미국, 일본 등 선진국을 중심으로 이뤄지고 있으며, 계량정보분석은 과학기술정책 수립에 주요 방법론으로 자리잡고 있다. 그러나 계량정보분석에 대한 기존 연구들은 방법론 적용 및 활용 프로세스 등과 관련된 한계를 가지고 있다. 따라서 본 연구는 이러한 한계를 극복하기 위하여 선진국의 계량정보분석방법론의 적용 사례를 바탕으로 방법론의 유형 및 활용영역을 분석함으로써 활용목적에 맞는 계량정보분석방법론 포트폴리오 구축하는 것을 목표로 한다. 이를 위해 과학기술정책 수립에 활용될 수 있는 계량정보분석방법론 적용 가이드라인을 제공하고 활용 목적에 맞는 적용 프로세스를 제시하였다. 본 연구의 결과는 유망 기술 영역과 핵심 기술을 탐색하고 모니터링하는 방향으로 계량정보분석방법론의 활용영역이 확장될 수 있는 토대가 되며, 기술 지능(technology intelligence)적인 정보를 창출하여 실질적인 업무 지원 역할을 할 수 있는 계기가 될 것이다.

• The Korean Journal of Financial Management
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• v.11 no.2
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• pp.109-130
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• 1994

이 논문에서는 3대 투자신탁회사의 주식형 펀드의 투자성과를 측정하고자 하는 데 목적이 있다. 추가적으로 자산운용의 실무적 현실을 고려하여 각 펀드의 속성(주식편입비율 한도, 대상투자자, 운용회사)의 차이가 투자성과와 어떤 관련을 갖고 있는가를 분석함으로써 투자신탁에 내재하는 도덕적 위해의 문제를 노출시켜 보고자 한다. 이 논문에서는 우리나라 3대 투신사의 29개 주식형 펀드에 대한 1984. 2분기${\sim}$1993. 1분기의 분기수익률 자료를 사용하여 시장예측능력과 포트폴리오 선택 능력을 측정하였다. 시장예측능력의 척도로서 Henriksson & Merton(1981)이 제시한 척도를 사용하였으며, 선택 능력의 척도로서 Treynor & Black(1973)의 평가비율과 Fama(1972)의 순선택능력 을 사용하였다. 그 결과 자산운용을 담당하는 투신사와 주식편입비율 한도에 관계없이 주식형 펀드들의 시장예측능력과 선택능력 모두가 음의 값을 보이 고 있다. 예외적으로 외국인전용 펀드의 투자성과는 내국인을 대상으로 하는 투자신탁에 비하여 다소 우수한 성과를 보이고 있다. 표본으로 사용한 5개 외국인전용 펀드는 다른 펀드와 마찬가지로 음의 시장예측능력을 보여주고 있으나, 평가비율은 다른 포트폴리오들과는 달리 양의 값을 갖고 있고, 이들의 순선택능력은 음의 값을 보이긴 하지만 다른 포트폴리오보다 그 절대 값이 보다 작다. 이러한 결과는 외국인전용 펀드의 포트폴리오선택능력이 보다 우수하였다는 것을 의미한다. 외국인전용펀드가 보다 나은 선택능력을 보여준 이유는 이들이 투자자문위원회라는 감시 장치를 갖고 있기 때문인 것으로 판단된다. 환언하면 국내투자자용 펀드의 열등한 투자성과는 감시장치가 없는 데 따른 일종의 도덕적(道德的) 위해(危害)로 해석된다.

• Proceedings of the Safety Management and Science Conference
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• 2010.11a
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• pp.209-231
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• 2010

외국인투자가들의 분산투자(diversification) 요인은 한 가지로서 요약할 수는 없다. 이들 중에 상당수의 투자가들의 투자목적은 투기적요인(speculation)에 근거하거나 자국 내의 저조한 포트폴리오 투자 성과를 만회하기 위해 한국을 비롯한 다른 국가들에 눈을 돌리고 있는 것이다. 이에 따라 한국에 대한 실증분석을 실시한 결과를 보면, 외국인투자가들이 포트폴리오 수익극대화를 위한 투자에 보다 치중하였음을 알 수 있었다. 한편 외국인투자가들이 한국에 대한 주식을 거래할 때 다른 거시지표에 비하여 경기변동(business cycle0 지표를 가장 중요시하고 있음을 나타내고 있다.