• Industrial Engineering and Management Systems
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• 제12권2호
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• pp.74-84
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• 2013

Modern companies have been facing devastating impacts from unexpected events such as demand uncertainties, natural disasters, and terrorist attacks due to the increasing global supply chain complexity. This paper proposes a multi stage logistic network model under disruption risk. To formulate the problem practically, we consider the effect of continuity rate, which is defined as a percentage of ability of the facility to provide backup allocation to customers in the abnormal situation and affect the investments and operational costs. Then we vary the fixed charge for opening facilities and the operational cost according to the continuity rate. The operational level of the company decreases below the normal condition when disruption occurs. The backup source after the disrup-tion is recovered not only as soon as possible, but also as much as possible. This is a concept of the business continuity plan to reduce the recovery time objective such a continuity rate will affect the investments and op-erational costs. Through numerical experiments, we have shown the proposed idea is capable of designing a resilient logistic network available for business continuity management/plan.

• The Journal of Asian Finance, Economics and Business
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• 제9권1호
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• pp.1-11
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• 2022

The study incorporates model uncertainty into the private equity (PE) valuation model (SWY model) (Sorensen et al., 2014) to evaluate how model uncertainty distorts the leverage and valuations of PE funds. This study applies a continuous-time model to PE project valuation, modeling the LPs' goal as multiplier preferences provided by Anderson et al. (2003), and assuming that LPs' aversion to model uncertainty causes endogenous belief distortions with entropy as a measure of model discrepancies. Concerns regarding model uncertainty, according to the theoretical model, have an unclear effect on LPs' risk attitude and GPs' decision, which is based on the value of the PE asset. It also demonstrates that model uncertainty lowers the certainty-equivalent valuation of the LPs. Finally, we compare the outcomes of the Full-spanning risk model with the Non-spanned risk model, and they match the intuitive economic reasoning. The most important implication is that model uncertainty will have negative effects on the LPs' certainty-equivalent valuation but has ambiguous effects on the portfolio allocation choice of liquid wealth. Our works contribute to two literature streams. The first is the literature that models the PE funds. The second is the literature introduces model uncertainty into standard finance models.

• 재무관리연구
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• 제24권3호
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• pp.133-152
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• 2007

손실기피(limited down side risk) 선호를 가진 투자자의 경우 통상적으로 사용하는 위험도의 척도인 분산 혹은 표준편차 대신에 하방 위험성에 더 관심을 가지게 되는데, 이러한 경우 평균-VaR 모형이 평균-분산 모형보다 더 적합한 모형일 수 있다. 이 논문에서는 두 모형을 이용하여 최적자산배분 문제를 실증분석하고 그 결과의 차이를 비교하였다. 수익률의 분포에 정규분포 가정이 아닌 두터운 꼬리(fat tail) 분포 가정을 도입하여 극단적인 위험을 고려한 최적자산배분 문제를 분석을 하였다. 각 이론이나 가정들의 강건성(robustness)을 살펴보기 위하여 역사적 분포를 이용한 분석을 비교 기준으로 하였다. 경험적 혹은 역사적 분포를 이용한 분석을 통해서, 극단적인 위험을 고려하는 손실기피적인 선호체계에서의 최적화 행위는 정규분포의 가정이나 평균-분산 모형이 적절하지 않은 것으로 확인되었다. 일상적인 수준을 능가하는 극단적인 손실 위험성을 고려하기에 적합한 모형은 수익률의 두터운 꼬리를 반영하는 분포 가정에 기초한 평균-VaR 모형인 것으로 나타났다.

• 한국주거학회논문집
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• 제26권1호
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• pp.109-118
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• 2015

The purpose of this research is to examine generational distinctions of housing investment and household wealth for two different age cohorts - 'baby-boomers' and 'eco-boomers'. In so doing, national survey data of two different periods were analyzed and the primary results are summarized as follows; aggregate assets of both generations have risen, and the rising household debt for baby-boomers was related to loans for living expenses while eco-boomer's debt was ascribed to home-buying loans. In the midst of economic slowdown, the age cohorts had conservative asset allocation in preference for risk-averting investment like savings. The main purpose of saving and investment was distinctive across the groups? retirement for baby-boomers and home purchase for eco-boomers. Both groups prioritized reduction of household liabilities and also were cautious on investing in real estate. Still home-buying was considered to be an important driver for asset accumulation. While baby-boomers were unwilling to dispose any form of owned real estate, eco-boomers found it challenging to take on a long-term investment like home-buying, especially in economic uncertainties. Rather the young generation would diversify asset allocation with better-returning investment commodities like stocks, bonds and derivatives.

• 자동차안전학회지
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• 제5권2호
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• pp.11-16
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• 2013

This paper presents a unified control algorithm of independent braking and steering for collision avoidance. The desired motion of the vehicle in the yaw plane is determined using the probabilistic risk assessment method based on target state estimation. For the purpose of coordinating the independent braking and steering, a non-linear vehicle model has been developed, which describes the vehicle dynamics in the yaw plane in both linear and extended non-linear ranges of handling. A control allocation algorithm determines the control inputs that minimize the difference between the desired and actual vehicle motions, while satisfying all actuator constraints. The performance of the proposed control algorithm has been investigated via computer simulations conducted using the vehicle dynamics software CARSIM and Matlab/Simulink.

• 산업경영시스템학회지
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• 제21권47호
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• pp.1-10
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• 1998

Testing high reliability devices under nomal operating condition is difficult, because the devices are not likely to fail in the relatively short time available for tests. For most applications it is necessary to accelerate the causes of failure by increasing a stress above its nomal value. Previous accelerated life test(ALT) plans have shown how to find optimum allocation, lowest stress and sample size subject to minimizing the variance of mean life estimator. In these ALT plans, the highest acceptable test-stress was assumed to be specified in advance by the experimenter but there is no guidance for selecting it. This assumption is, however, inappropriate for many applications. Testing devices at too-high stress levels can invalidate the extrapolation model, or introduce failure mechanisms that are not anticipated under nomal operating conditions. In this paper, we propose new 4:2:1 compromise plans using Min-Max method to minimize this risk and present minimized test-stress levels(max, middle, min), and find sample allocation based on Min-Max 4:2:1 compromise plans. In result, we compare previous 4:2:1 compromise plans specified maximum test-stress with Min-Max 4:2:1 compromise plans minimized maximum test-stress.

• 재무관리연구
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• 제2권1호
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• pp.55-75
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• 1986

This article is to analyse the economic efficiency of capital market, which plays a role of resource allocation in terms of financial claims such as stock and bond. It provides various contributions to the welfare theoretical aspects of modern capital market theory. The key feature that distinguishes the theory described here from traditional welfare theory is the presence of uncertainty. Securities has time dimensions and the state and outcome of the future are really uncertain. This problem resulting from this uncertainty can be solved by complete market, but it has a weak power to explain real stock market. Capital Market is faced with the uncertainity because it is a kind of incomplete market. Individuals and firms in capital market made their consumption-investment decision by their own criteria, i. e. the maximization of expected utility form intertemporal consumption and the maximization of the market value of firm. We noted that allocative decisions that had to be made in the economy could be naturally subdivided into two groups. One set of decisions concerned the allocation of first-period resources among consumption $C_i$, investment in risky firms $I_j$, and riskless investment M. The other decisions concern the distribution among individuals of income available in the second period $Y_i(\theta)$. Corresponing to this grouping, the theoretical analysis of efficiency has also been dichotomized. The optimality of the distribution of output in the second period is distributive efficiency" and the optimality of the allocation of first-period resources is 'the efficiency of investment'. We have found in the distributive efficiency that the conditions for attainability is the same as the conditions for market optimality. The necessary and sufficient conditions for attainability or market optimality is that (1) all utility functions are such that -$\frac{{U_i}^'(Y_i)}{{U_i}^"(Y_i)}={\mu}_i+{\lambda}Y_i$-linear risk tolerance function where the coefficients ${\mu}_i$ and $\lambda$ are independent of $Y_i$, and (2) there are homogeneous expectations, i. e. ${\Large f}_i(\theta)={\Large f}(\theta)$ for every i. On the other hand, the efficiency of investment has disagreement about optimal investment level. The investment level for market rule will not generally lead to Pareto-optimal allocation of investment. This suboptimality is caused by (1)the difference of Diamond's decomposable production function and mean-variance valuation model and (2) the selection of exelusive investment or competitive investment. In conclusion, this article has made an analysis of conditions and processes of Pareto-optimal allocation of resources in capital marker and tried to connect with significant issues in modern finance.

• 지능정보연구
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• 제25권2호
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• pp.39-55
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• 2019

최근 은행과 증권회사를 중심으로 다양한 로보어드바이저 금융상품들이 출시되고 있다. 로보어드바이저는 사람 대신 컴퓨터가 포트폴리오 자산배분에 대한 투자 결정을 실행하기 때문에 다양한 자산배분 알고리즘이 활용되고 있다. 본 연구에서는 대표적 로보어드바이저 알고리즘인 블랙리터만모형의 강점을 살리면서 객관적 투자자 전망을 도출할 수 있는 지능형 전망모형을 제안하고 이를 내재균형수익률과 결합하여 최종 포트폴리오를 도출하는 로보어드바이저 자산배분 알고리즘을 새로이 제안하며, 실제 주가자료를 이용한 실증분석 결과를 통해 전문가의 주관적 전망을 대신할 수 있는 지능형 전망모형의 실무적 적용 가능성을 보여주고자 한다. 그동안 주가 예측에서 우수한 성과를 보여주었던 기계학습 방법 중 SVM 모형을 이용하여 각 자산별 기대수익률에 대한 예측과 예측 확률을 도출하고 이를 각각 기대수익률에 대한 투자자 전망과 전망에 대한 신뢰도 수준의 입력변수로 활용하는 지능형 전망모형을 제안하였다. 시장포트폴리오로부터 도출된 내재균형수익률과 지능형 전망모형의 기대수익률, 확률을 결합하여 최종적인 블랙리터만모형의 최적포트폴리오를 도출하였다. 주가자료는 2008년부터 2018년까지의 132개월 동안의 8개의 KOSPI 200 섹터지수 월별 자료를 분석하였다. 블랙리터만모형으로 도출된 최적포트폴리오의 결과가 기존의 평균분산모형이나 리스크패리티모형 등과 비교하여 우수한 성과를 보여주었다. 구체적으로 2008년부터 2015년까지의 In-Sample 자료에서 최적화된 블랙리터만모형을 2016년부터 2018년까지의 Out-Of-Sample 기간에 적용한 실증분석 결과에서 다른 알고리즘보다 수익과 위험 모두에서 좋은 성과를 기록하였다. 총수익률은 6.4%로 최고 수준이며, 위험지표인 MDD는 20.8%로 최저수준을 기록하였다. 수익과 위험을 동시에 고려하여 투자 성과를 측정하는 샤프비율 역시 0.17로 가장 좋은 결과를 보여주었다. 증권계의 애널리스트 전문가들이 발표하는 투자자 전망자료의 신뢰성이 낮은 상태에서, 본 연구에서 제안된 지능형 전망모형은 현재 빠른 속도로 확장되고 있는 로보어드바이저 관련 금융상품을 개발하고 운용하는 실무적 관점에서 본 연구는 의의가 있다고 판단된다.

• 한방재활의학과학회지
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• 제24권4호
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• pp.49-60
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• 2014

Objectives The purpose of this study is to research current trends of acupuncture treatment of lumbar herniated intervertebral disc using the PubMed database. Methods We set up the search strategy and investigated clinical trials on acupuncture treatment of lumbar herniated intervertebral disc through PubMed search. This study analyzed previous researched papers published from January 1st, 2000 to April 30th, 2014, and classified them by publication year, journal names, types of literature, treatment methods and evaluation scales. To assess the quality of the reviewed literature, randomized controlled trial (RCT) studies were assessed by Cochrane's risk of bias (ROB) tool and non-RCT studies were assessed by risk of bias for non-randomized studies (RoBANS). Results We found 35 studies on the acupuncture treatment of lumbar herniated intervertebral disc. Papers on this topic have been published, on average, three to four times annually in 9 journals since the mid-2000's. The journal with the largest number of publications was Chinese Acupuncture & Moxibustion, and most of articles were classified as RCT. Acupuncture treatment was performed individually or together with other treatments. The most frequently used pain evaluation index was visual analogue scale (VAS). The index of effective rate was used frequently but there was a lack of objectivity. In regards to the quality of the studies, outcome assessment in RCT showed that random sequence generation, allocation concealment, and the blinding of participants and personnel increase potential of risk of bias. For non-RCT assessment, outcome showed that confounding variable, measurement of intervention were at high risk of bias. Conclusions In order to obtain objective clinical evidence of acupuncture treatment of lumbar herniated intervertebral disc, further clinical studies should be designed to minimize the risk of bias, using STRICTA with larger sample sizes.

• Asian Pacific Journal of Cancer Prevention
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• 제16권6호
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• pp.2323-2326
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• 2015

It is urgently necessary to be aware of the distribution and risk areas of liver fluke, Opisthorchis viverrini, for proper allocation of prevention and control measures. This study aimed to investigate the human behavior, and environmental factors influencing the distribution in Surin Province of Thailand, and to build a model using stepwise multiple regression analysis with a geographic information system (GIS) on environment and climate data. The relationship between the human behavior, attitudes (<50%; $X_{111}$), environmental factors like population density ($148-169pop/km^2$; $X_{73}$), and land use as wetland ($X_{64}$), were correlated with the liver fluke disease distribution at 0.000, 0.034, and 0.006 levels, respectively. Multiple regression analysis, by equations OV= -0.599 + 0.005(population density ($148-169pop/km^2$); $X_{73}$) + 0.040 (human attitude (<50%); $X_{111}$) +0.022 (land used (wetland; X64), was used to predict the distribution of liver fluke. OV is the patients of liver fluke infection, R Square= 0.878, and, Adjust R Square= 0.849. By GIS analysis, we found Si Narong, Sangkha, Phanom Dong Rak, Mueang Surin, Non Narai, Samrong Thap, Chumphon Buri, and Rattanaburi to have the highest distributions in Surin province. In conclusion, the combination of GIS and statistical analysis can help simulate the spatial distribution and risk areas of liver fluke, and thus may be an important tool for future planning of prevention and control measures.