• KOREAN JOURNAL OF CROP SCIENCE
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• v.22 no.1
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• pp.135-166
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• 1977

Some biochemical features of varietal variation in seed protein and their implications for soybean breeding for high protein were pursued employing 86 soybean varieties of Korea, Japan, and the U.S.A. origins. Also, studied comparatively was the temporal pattern of protein components accumulation during seed development characteristic to the high protein variety. Seed protein content of the 86 soybean varieties varied 34.4 to 50.6%. Non-existence of variety having high content of both protein and oil, or high protein content with average oil content as well as high negative correlation between the content of protein and oil (r=-0.73$^{**}$) indicate strongly a great difficulty to breed high protein variety while conserving oil content. The total content of essential amino acids varied 32.82 to 36.63% and the total content of sulfur-containing amino acids varied 2.09 to 2.73% as tested for 12 varieties differing protein content from 40.0 to 50.6%. The content of methionine was positively correlated with the content of glutamic acid, which was the major amino acid (18.5%) in seed protein of soybean. In particular, the varieties Bongeui and Saikai ＃20 had high protein content as well as high content of sulfur-containing amino acids. The content of lysine was negatively correlated with that of isoleucine, but positively correlated with protein content. The content of alanine, valine or leucine was correlated positively with oil content. The seed protein of soybean was built with 12 to 16 components depending on variety as revealed on disc acrylamide gel electrophoresis. The 86 varieties were classified into 11 groups of characteristic electrophoretic pattern. The protein component of Rm=0.14(b) showed the greatest varietal variation among the components in their relative contents, and negative correlation with the content of the other components, while the protein component of Rm=0.06(a) had a significant, positive correlation with protein content. There was sequential phases of rapid decrease, slow increase and stay in the protein content during seed development. Shorter period and lower rate of decrease followed by longer period and higher rate of increase in protein content during seed development was of characteristic to high protein variety together with earlier and continuous development at higher rate of the protein component a. Considering the extremely low methionine content of the protein component a, breeding for high protein content may result in lower quality of soybean protein.n.

• 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.