• 제목/요약/키워드: Financial Index

검색결과 614건 처리시간 0.021초

PORTFOLIO CHOICE UNDER INFLATION RISK: MARTINGALE APPROACH

  • Lim, Byung Hwa
    • 충청수학회지
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    • 제26권2호
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    • pp.343-349
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    • 2013
  • The optimal portfolio selection problem under inflation risk is considered in this paper. There are three assets the economic agent can invest, which are a risk free bond, an index bond and a risky asset. By applying the martingale method, the optimal consumption rate and the optimal portfolios for each asset are obtained explicitly.

시계열 자료에 나타나는 장기 기억 속성에 대한 추정 및 검정 :NYSE composite index에 대한 실증분석

  • 남재우;이회경
    • 한국경영과학회:학술대회논문집
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    • 한국경영과학회 1998년도 추계학술대회 논문집
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    • pp.271-274
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    • 1998
  • In this paper we examine long-term memory of the financial time-series by employing the R/S analysis, the Hurst exponent estimation, and the modified R/S analysis. The null hypothesis of white-noise is tested using the NYSE daily indexes from January 1966 to July 1998, and the results show that long-range dependence exists before the apparent structural break of the Black Monday in 1987.

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TIME STEPWISE LOCAL VOLATILITY

  • Bae, Hyeong-Ohk;Lim, Hyuncheul
    • 대한수학회보
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    • 제59권2호
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    • pp.507-528
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    • 2022
  • We propose a path integral method to construct a time stepwise local volatility for the stock index market under Dupire's model. Our method is focused on the pricing with the Monte Carlo Method (MCM). We solve the problem of randomness of MCM by applying numerical integration. We reconstruct this task as a matrix equation. Our method provides the analytic Jacobian and Hessian required by the nonlinear optimization solver, resulting in stable and fast calculations.

Graphical Estimation of the Parameters of the Stable Laws

  • Paulson, Albert-S.;Won, Hyung-Gyoo
    • Management Science and Financial Engineering
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    • 제2권1호
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    • pp.103-122
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    • 1996
  • This paper presents an easily used graphical procedure for simultaneous estimation of the index, skewness, scale, and location parameters of the stable laws. First, the index $\alpha$ and skewness $\beta$ are estimated through the joint use of a tail length statistic $\widetilde{K_t}$ and a skewness statistic $\widetilde{K_s}$, both of which are functions of order statistics. Next, the function of order statistics needed for estimation of scale $\sigma$ and location $\mu$ are determined from a nomogram indexed on the estimates of $\alpha$ and $\beta$. Some applications and examples are provided.

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A Study on Developing a Profitable Intra-day Trading System for KOSPI 200 Index Futures Using the US Stock Market Information Spillover Effect

  • Kim, Sun-Woong;Choi, Heung-Sik;Lee, Byoung-Hwa
    • Journal of Information Technology Applications and Management
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    • 제17권3호
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    • pp.151-162
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    • 2010
  • Recent developments in financial market liberalization and information technology are accelerating the interdependence of national stock markets. This study explores the information spillover effect of the US stock market on the overnight and daytime returns of the Korean stock market. We develop a profitable intra-day trading strategy based on the information spillover effect. Our study provides several important conclusions. First, an information spillover effect still exists from the overnight US stock market to the current Korean stock market. Second, Korean investors overreact to both good and bad news overnight from the US. Therefore, there are significant price reversals in the KOSPI 200 index futures prices from market open to market close. Third, the overreaction effect is different between weekdays and weekends. Finally, the suggested intra-day trading system based on the documented overreaction hypothesis is profitable.

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A class of CUSUM tests using empirical distributions for tail changes in weakly dependent processes

  • Kim, JunHyeong;Hwang, Eunju
    • Communications for Statistical Applications and Methods
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    • 제27권2호
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    • pp.163-175
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    • 2020
  • We consider a wide class of general weakly-dependent processes, called ψ-weak dependence, which unify almost all weak dependence structures of interest found in statistics under natural conditions on process parameters, such as mixing, association, Bernoulli shifts, and Markovian sequences. For detecting the tail behavior of the weakly dependent processes, change point tests are developed by means of cumulative sum (CUSUM) statistics with the empirical distribution functions of sample extremes. The null limiting distribution is established as a Brownian bridge. Its proof is based on the ψ-weak dependence structure and the existence of the phantom distribution function of stationary weakly-dependent processes. A Monte-Carlo study is conducted to see the performance of sizes and powers of the CUSUM tests in GARCH(1, 1) models; in addition, real data applications are given with log-returns of financial data such as the Korean stock price index.

Evaluation of Creative Space Efficiency in China' Provinces Based on AHP Method

  • Hu, Shan-Shan;Kim, Hyung-Ho
    • International journal of advanced smart convergence
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    • 제9권4호
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    • pp.52-61
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    • 2020
  • The AHP method was used in 30 provinces of China to construct the index system of creative space efficiency evaluation and determine the weight of each index. The fuzzy comprehensive evaluation method was further used to score the indexes at all levels, and then the total efficiency score was sorted. The purpose of this study is to adjust the regional layout of creative space reasonably and implement financial policies accurately through the evaluation of the efficiency of creative space. The results is ranking top in weight of several indicators, which include the number of incubated Startups, the number of innovation and entrepreneurship mentors, the survival rate of incubator, the innovative training activities, etc. It was also found that Beijing, Shanghai, Jiangsu, Guangdong and Zhejiang ranked first in the score of creative space efficiency. This study is meaningful in that it was In order to effectively solve the problem of the imbalance of the creative space efficiency in China's province, by coordinating the regional pattern, establishing a sound service system and improving the efficiency evaluation system.

요인분석을 활용한 서울시 자치구/행정동의 지역균형지수 개발 (Development of Regional Balanced Index for Administrative Districts and Dongs in Seoul using Factor Analysis)

  • 김동근;박귀원;하소미;김도현
    • 품질경영학회지
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    • 제49권3호
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    • pp.375-392
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    • 2021
  • Purpose: Regional gaps and conflicts between regions due to Korea's economic development and industrialization have become important issues, and the issue of balanced regional development at regional level has been discussed as the size of the region has increased recently. Although evaluation of regional balance was attempted through various regional balanced development indexes, it is inappropriate as a standard for determining regional balance in Seoul. Therefore, this study aims to develop objective evaluation methodologies and evaluation indicators for balanced development of administrative districts in Seoul, not existing city and national units. Methods: We looked at existing regional balanced development indexes, and suggested a new regional balanced index reflecting regional development, backwardness, and spatial characteristics in Seoul using factor analysis. Results: As a result of factor analysis, the regional balanced development index for administrative districts and administrative dongs consists of two factors (regional revitalization, financial power) and three factors (commercial density, social security demand, regional retardness), respectively. Then the regional balanced development index scores for 116 administrative districts and 423 administrative dongs are calculated by multiplying each factor by a weight obtained through experts' survey. Conclusion: The proposed regional balanced development index can be used as an objective and quantitative basis for regional balanced development within a city. Further research may include continuously adding new indicators that reflect the direction and scale of development.

국내 건설기업의 효율성 및 생산성 분석 (An Analysis of the Efficiency and Productivity of Domestic Construction Companies)

  • 주수민;이수철;홍종의
    • Journal of Information Technology Applications and Management
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    • 제27권1호
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    • pp.1-13
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    • 2020
  • This study aims to measure the efficiency and productivity change of 30 domestic construction companies from 2010 to 2018 using data envelopment analysis(DEA) and Malmquist productivity index (MI). In particular, we used the number of employees, capital stock, and non-current assets as input variables, and sales and net income as ouput variables for the analysis. The dataset used for the analysis of efficiency and productivity changes is the employee profile and financial statements for the companies from 2010 to 2018. We found that the MI of the 30 companies is greater than one since 2013. This is because many years of TEC (Technical Efficiency Change) is greater than 1, which means that the productivity index increases as the TEC increases. In addition, the MI value was less than 1, which lowered the productivity of construction firms in 2018. The results of the study may help decision makers to find effective future management plans by analyzing the internal and external factors.

가구 소득과 보건의료비 지출의 형평성 : 누진성과 소득재분배 효과 (Fairness of Health care financing: Progressivity and Retstributive Effect)

  • 신호성;김명기;김진숙
    • 보건행정학회지
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    • 제14권2호
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    • pp.17-33
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    • 2004
  • The present study attempts to examine the progressivity of health care financial sources based on the income approach, for which it decomposes redistributive effects into vertical, horizontal, and re-ranking components. The study data include Korean Household Expenditure Survey (2000) conducted every 5 year by Korea National Statistical Office. The data were sampled from the national population by the multistage probabilistic sampling method, and amounts to 23,270 households. For the better application of the income approach, the study employs household total expenditure in Korea instead of total income, because the former data source is more reliable and less fluctuated over time. Progressivity of health care financing was measured by Kakwani index. Aronson's decomposition equation was used in case of the analysis where differential treatment of health care expenditure needs to be considered. Despite the progressivity of Korea's governmental contributions, total expenditure of health care showed regressive pattern, which may largely be attributable to the higher regressivity in out-of-pocket money. With the result of negative Kakwani index, differential treatment increased income redistribution biased for better-off. It is worth to note that social insurance displays not only negative Kakwani index, but also horizontal inequality, suggesting that the first step of health care financing reform should be the revision of social insurance premium rates toward effective and equable way.