• Korean Management Science Review
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• v.33 no.4
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• pp.51-64
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• 2016

The maximum weight of single stock in mutual fund is limited by regulations to enforce diversification. Under incomplete information with added constraints on portfolio weights, enhanced performance had been reported in previous researches. We analyze a weight vector to examine the effects of additional constraints on the portfolio's performance by computing the Euclidean distance from the in-sample tangency portfolio, as opposed to previous researches which analyzed ex-post return only. Empirical experiment was performed on Mean-variance and Minimum-variance model with Fama French's 30 industry portfolio and 10 industry portfolio for the last 1,000 months from August 1932 to November 2015. We find that diversification-constrained portfolios have 7% to 26% smaller Euclidean distances with the benchmark portfolio compared to those of unconstrained portfolios and 3% to 11% greater Sharpe Ratio.

• East Asian Economic Review
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• v.25 no.3
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• pp.310-336
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• 2021

We use iterative numerical procedures combined with analytical methods due to Rapach and Wohar (2009) to solve for the dynamic asset allocation strategy for optimal portfolio demand. We compare different optimal portfolio demands when investors in each country have different access to overseas and domestic investment opportunities. The optimal dynamic asset allocation strategy without foreign investment opportunities leads domestic investors in Korea, Hong Kong, and Singapore to allocate more funds to domestic bonds than to domestic stocks. However, the U.S. investors allocate more wealth to domestic stocks than to domestic bonds. Investors in all countries short bills at a low level of risk aversion. Next, we investigate dynamic asset allocation strategy when domestic investors in Korea have access to foreign markets. The optimal portfolio demand leads investors in Korea to allocate most resources to domestic bonds and foreign stocks. On the other hand, the portfolio weights on foreign bonds and domestic stocks are relatively low. We also analyze dynamic asset allocation strategy for the investors in the U.S., Hong Kong, and Singapore when they have access to the Korean markets as overseas investment opportunities. Compared to the results when the investors only have access to domestic markets, the investors in the U.S. and Singapore increase the portfolio weights on domestic stocks in spite of the overseas investment opportunities in the Korean markets. The investors in the U.S., Hong Kong, and Singapore short domestic bills to invest more than initial funds in risky assets with a varying degree of relative risk aversion coefficients without exception.

• The Journal of the Korea Contents Association
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• v.7 no.12
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• pp.83-94
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• 2007

The portfolio can be used as a methodology supporting the learning of constructivism. Recently, the use of portfolios has been increased gradually in the education field, but a study on the current state analysis and design direction of portfolios leaves much to be desired. In this paper, we analyze statistical data on the portfolio application of teachers in domestic elementary, middle, and high school. We also propose a design direction of e-portfolio needed in the society of knowledge information based on this analysis. The results of research show that the following problems will be improved: understanding portfolio, analyzing the current state according to the types of portfolio application, designing a distinguished system according to the level of school, expanding education of teachers with high career, and developing a guide helper. The design of total system that combines the learning and evaluation is needed to improve a problem that spends lots of time to make portfolio, and operates temporally and formally achievement evaluation. In addition, the design of e-portfolio supporting efficiently interaction and self-directed teaming is required.

• Journal of the Korean Operations Research and Management Science Society
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• v.38 no.4
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• pp.35-52
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• 2013

Markowitz's portfolio selection model is used to construct an optimal portfolio which has minimum variance, while satisfying a minimum required expected return. The model uses estimators based on analysis of historical data to estimate the returns, standard deviations, and correlation coefficients of individual stocks being considered for investment. However, due to the inaccuracies involved in estimations, the true optimality of a portfolio constructed using the model is questionable. To investigate the effect of estimation inaccuracy on actual portfolio performance, we study the changes in a portfolio's realized return and standard deviation as the accuracy of the estimations for each stock's return, standard deviation, and correlation coefficient is increased. Furthermore, we empirically analyze the portfolio's performance by comparing it with the performance of active mutual funds that are being traded in the Korean stock market and the KOSPI benchmark index, in terms of portfolio returns, standard deviations of returns, and Sharpe ratios. Our results suggest that, among the three input parameters, the accuracy of the estimated returns of individual stocks has the largest effect on performance, while the accuracy of the estimates of the standard deviation of each stock's returns and the correlation coefficient between different stocks have smaller effects. In addition, it is shown that even a small increase in the accuracy of the estimated return of individual stocks improves the portfolio's performance substantially, suggesting that Markowitz's model can be more effectively applied in real-life investments with just an incremental effort to increase estimation accuracy.

• Journal of Korean Elementary Science Education
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• v.26 no.4
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• pp.372-384
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• 2007

The purposes of this study was to analyze qualitatively changes in students' experience and perceptions in relation to studying science using portfolios and any resultant effects on the portfolio itself. Five fourth-grade elementary students from one small city participated in this study. Data was collected through interviews as well as through student portfolios containing the science content matter of two units over two weeks. Observational diaries recorded by a teacher were also used to test the reliability of data collection. All interviews with students were transcribed to develop a suitable network to categorize students' responses. Students' portfolios were analyzed in order to reveal their essential characteristics in combination with their teacher's observational diaries. The results were as follows. First, student perceptions of their portfolios were categorized into three different levels; superficial, extended, and moderate perceptions. The changes in perception could also be divided into three levels; consistent-superficial, unstable, and a progressive-extended pattern. Second, the experience of students with their portfolio were investigated in terms of the following; successfully completing the elements of the portfolio, development of evidence, interaction with peers, teachers, and parents, and the standards of evaluation used for the portfolios. Third, the perceptions and experience of working on the portfolio by students had a number of direct effects on the way in which students actually created and developed their portfolios. Finally, students with positive attitudes towards their portfolios actively participated in the portfolio experience and finally understood what it meant completely. However, students with negative attitudes regarding portfolio based work, did not leave the experience with any heightened awareness of the utility or indeed, purpose of portfolio based work.

• Communications for Statistical Applications and Methods
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• v.27 no.3
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• pp.327-347
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• 2020

We consider a credit portfolio with highly skewed exposures. In the portfolio, small number of obligors have very high exposures compared to the others. For the Bernoulli mixture model with highly skewed exposures, we propose a new importance sampling scheme to estimate the tail loss probability over a threshold and the corresponding expected shortfall. We stratify the sample space of the default events into two subsets. One consists of the events that the obligors with heavy exposures default simultaneously. We expect that typical tail loss events belong to the set. In our proposed scheme, the tail loss probability and the expected shortfall corresponding to this type of events are estimated by a conditional Monte Carlo, which results in variance reduction. We analyze the properties of the proposed scheme mathematically. In numerical study, the performance of the proposed scheme is compared with an existing importance sampling method.

• Asia pacific journal of information systems
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• v.27 no.4
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• pp.233-244
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• 2017

IT portfolio, meaning the ratio of investment with four different purposes of IT, is widely used for evaluating the adequacy of investment and its performance within firms. Despite of such a useful framework looking at investment on IT, IT portfolio in agriculture industry seems to be differentiated from other industries. In this study, we compared IT portfolios of farms: grain, field fruit and vegetable, greenhouse fruit, greenhouse vegetable, beef cattle and pig. We classified farms by their return on equity (ROE) in order to analyze the relationship between IT portfolio of each crop and performance. Then, we found patterns of IT portfolios of top-performance farms compared to all farms for each agricultural product. Lastly, peculiarities of each crop are interpreted and discussed to find out top-performance farms' IT investment patterns. From our study, it could be inferred that monotonous IT investments may not be as effective.

• Journal of Energy Engineering
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• v.14 no.2 s.42
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• pp.82-97
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• 2005

RPS (Renewable Portfolio Standards) is a policy tool to disseminate renewable energies through market mechanism. RPS promotes renewable power generation by obligating electricity market participants to deliver the required amount of electricity from renewable energies. To promote and encourage renewable energies, Korean government is considering to introduce RPS to domestic market in the near future. The purpose of this paper is to analyze the definition and market mechanism of RPS and to review key considerations in its design. In conclusion, we recommend some prerequisite in its introduction to Korea.

• Journal of Korea Spatial Information System Society
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• v.9 no.3
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• pp.81-89
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• 2007

We analyzed the technology portfolio matrix for the car navigation technology using QFD method and accordingly suggested the navigation technology development direction. QFD is a useful tool to analyze the customer demands and the technologies. Depending on the survey results from the latent customers and the technology capabilities from the study of the national institutions, we suggested technology portfolio matrix. The visual HMI technology, safe driving support technology, and the navigator information management technology are the most prospective area for R&D investment according to the portfolio matrix.

• Korean Medical Education Review
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• v.16 no.1
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• pp.42-49
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• 2014

The purposes of this study were to identify and analyze students' attitudes and satisfaction to the portfolio process and assessment for the Introduction to Clinical Medicine course at Ewha Womans University School of Medicine in Seoul, Korea. The subjects consisted of 64 medical school students. Questionnaires consisting of 20 5-point Likert-type items were developed, including three question domains: 1) orientation, 2) portfolios in general, 3) individualized feedback. The mean and median were found and frequency analysis was performed to identify the common characteristics of the participants. A major finding was that 54.7% of the respondents felt that the self-reflection involved in building the portfolio was a valuable learning experience. Plus, the majority of respondents perceived that the individualized feedback had a positive tone and its contents were specific, practical, and constructive. The students perceived that building and writing portfolios heightened their understanding of exit learning outcomes and enhanced their reflective thinking and self-directed learning skills. Meanwhile, some students perceived that there was too much paperwork in the portfolio process and that the process was time consuming. Furthermore, 32.8% of the respondents said that they had difficulty establishing their learning strategies by themselves and self-directing their learning during the portfolio process. In conclusion, it is expected that building a portfolio can help students not only to enhance their ability to accumulate and use their personal learning resources but also to develop the professional qualities required by doctors, such as self-directed learning, self-reflection, lifelong learning, team work, organizational skills, time management and prioritization, and professional thinking and behavior.