• Proceedings of the Korean Operations and Management Science Society Conference
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• 2000.04a
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• pp.65-68
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• 2000

The problem of selecting a portfolio is to find Un investment plan that achieves a desired return while minimizing the risk involved. One stream of algorithms are based upon mixed integer linear programming models and guarantee an integer optimal solution. But these algorithms require too much time to apply to real problems. Another stream of algorithms are fur a near optimal solution and are fast enough. But, these also have a weakness in that the solution generated can't be guaranteed to be integer values. Since it is not a trivial job to tansform the scullion into integer valued one simutaneously maintaining the quality of the solution, they are not easy to apply to real world portfolio selection. To tackle the problem more efficiently, we propose an algorithm which generates a very good integer solution in reasonable amount of time. The algorithm is tested using Korean stock market data to verify its accuracy and efficiency.

• Korean Management Science Review
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• v.29 no.1
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• pp.57-71
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• 2012

In this paper, we deal with a sector investment strategy by implementing the black-litterman model that incorporates expert evaluation and sector rotation momentum. Expert evaluation analyzes the relative performance of the industry sector compared with the market, while sector rotation momentum reflects the price impact of significant sector anomaly. In addition, we consider the portfolio impact of sector cardinality and weight constraints within the context of mean-variance portfolio optimization. Finally, we demonstrate the empirical viability of the proposed sector investment strategy with KOSPI 200 data.

• Journal of The Korean Society of Agricultural Engineers
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• v.58 no.2
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• pp.11-20
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• 2016

Korea has 17,500 irrigation dams and facing variety of causes that jeopardize dam safety. With limited resources available to manage large inventory, a portfolio risk analysis application method for numerous irrigation dam safety is essential. The purpose of this study is to find an optimum way to adopt the risk analysis to the large number of irrigation dams in Korea and to propose the portfolio risk analysis process for irrigation dams. In this study, the necessity of the risk analysis for reservoirs safety has been suggested and a phased process using pre-screening and screening methodology has been proposed. This proposed procedure will help to effectively introduce the risk analysis for reservoirs safety in Korea.

• Asian Journal of Innovation and Policy
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• v.9 no.3
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• pp.360-393
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• 2020

The space industry is a comprehensive and technology-intensive industry involving different converging technologies. However, most of the companies in Korea's space industry are small and medium-sized enterprises (SMEs) and need to strengthen global capacity to export their products. However, the link between the destination country and the product remains insufficient. Consequently, the purpose of this study is to propose an export roadmap for space products to provide SMEs with export opportunities and strategic guidelines. For this, technology roadmap and portfolio analysis are applied to this purpose. This study is expected to be helpful to SMEs and government agencies.

• Nonlinear Functional Analysis and Applications
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• v.26 no.4
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• pp.811-837
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• 2021

In this paper, we propose a new conjugate gradient method for solving unconstrained optimization models. By using exact and strong Wolfe line searches, the proposed method possesses the sufficient descent condition and global convergence properties. Numerical results show that the proposed method is efficient at small, medium, and large dimensions for the given test functions. In addition, the proposed method was applied to solve practical application problems in portfolio selection.

• Journal of Engineering Education Research
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• v.8 no.4
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• pp.20-30
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• 2005

The purpose of this study is the development of SPMP(Student Portfolio Management Program) to aid performance of student program outcomes related to program educational objectives. SPMP is developed to manage accreditation conditions, student materials, academic results through system database and to provide synthetic data for engineering education through statistical process. There are three functions to construct SPMP. First, the function of student information management is organized on various input data related to academic program, resume, etc. Second, the function of accreditation condition management is identified by the evaluation of program outcomes, subject grades, etc. Third, the function of course work data management is made by the operation of the academic reports and productions. The result of this study is expected to effectively provide constructive directions for continuous management in accreditation of engineering education and to support student portfolio for submission in required application.

• Journal of Educational Research in Mathematics
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• v.18 no.1
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• pp.63-80
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• 2008

In this paper, we suggested generally some samples and cases of portfolio but centered on elementary mathematics in New Zealand elementary school in the aspects of the assessment for learning activity of learner and so we have found some suggestive points by comparing New Zealand portfolio with ours. Finally, we have an objects that the teachers here in Korea can use these results as a cases which are benchmarked by them. We had known through this paper that portfolio assessment in New Zealand elementary school deals with various aspects and it was accessing in the direction of creating knowledge positively through the real life, not textbookish or artificial problem and also it had a characteristics dealing with real life situation or context without filtering. Especially, it always dealt with all regions of curriculum and looked like focusing on the connections of curriculum relatively.

• Asia-Pacific Journal of Business
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• v.5 no.2
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• pp.37-50
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• 2014

Banking institutions have been facing variety of difficulties but the major cause of serious banking problems relates to lax credit standards for borrowers and counterparties, poor portfolio risk management, or a lack of attention to changes in economic or other circumstances that can lead to deterioration in the credit standing of a bank's counterparties. Although credit risk is an important factor that financial institutions should cope with, but the determinants of measuring credit risk have been studied less. This paper attempts to explore the determinants of credit risk measurement and to identify the factors that contribute to credit risk measurement practices in Indian banks and to compare credit risk measurement practices followed by Indian public and private sector banks, the empirical study has been conducted and views of employees of various banks have been tested using statistical tools. This study explored the phenomenon from different perspectives and revealed that single-name credit risk measurement and portfolio credit risk measurement are the key components that contribute to credit risk measurement in Indian banks. From the descriptive and analytical results, it can be concluded that Indian banks efficiently measure credit risk. The results also indicate that there is a significant difference between the Indian public and private sector banks in single-name credit risk measurement while, these banks do not significantly differ in portfolio credit risk measurement aspect.

• Asia-Pacific Journal of Business
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• v.13 no.4
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• pp.79-89
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• 2022

Purpose - The purpose of this study was to examine the impact of ESG rating changes of companies listed in Korean Stock Exchange on stock returns. Design/methodology/approach - This study collected prices and ESG ratings of all the companies listed on the Korea Composite Stock Price Index. Based on yearly change of ESG ratings we grouped companies as 2 portfolios(upgrade and downgrade) and calculated portfolios' return. Findings - First, the difference in returns between upgraded and downgraded portfolios is small and statistically insignificant. Second, however, in the COVID-19 period (2020 ~ 2021), the upgraded portfolio outperforms the downgraded portfolio by 0.7 percentage points per month. The difference in returns between upgraded and downgraded portfolios is statistically significant after controlling for the Carhart four factors. Lastly, there are much higher volatility when the ESG rating changes are made of companies with low levels of ESG ratings. Research implications or Originality - This study is the first to examine the impact of ESG rating changes on stock returns in Korea. Furthermore, the findings can serve as a reference for managers who want to control a firm's risk by ESG rating changes. Practically, asset managers can use the findings to construct portfolios that are less risky or more profitable than the market portfolio.

• Journal of Distribution Science
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• v.13 no.9
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• pp.37-45
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• 2015

Purpose - This paper's aim is to investigate whether or not gross profitability explains the cross-sectional variation of the stock returns in the Korean stock market. Gross profitability is an alternative profitability measure proposed by Novy-Marx in 2013 to predict cross-sectional variation of stock returns in the US. He shows that the gross profitability adds explanatory power to the Fama-French 3 factor model. Interestingly, gross profitability is negatively correlated with the book-to-market ratio. By confirming the gross profitability premium in the Korean stock market, we may provide some implications regarding the well-known value premium. In addition, our empirical results may provide opportunities for the fund distribution industry to promote brand new styles of funds. Research design, data, and methodology - For our empirical analysis, we collect monthly market prices of all the companies listed on the Korea Composite Stock Price Index (KOSPI) of the Korea Exchanges (KRX). Our sample period covers July1994 to December2014. The data from the company financial statementsare provided by the financial information company WISEfn. First, using Fama-Macbeth cross-sectional regression, we investigate the relation between gross profitability and stock return performance. For robustness in analyzing the performance of the gross profitability strategy, we consider value weighted portfolio returns as well as equally weighted portfolio returns. Next, using Fama-French 3 factor models, we examine whether or not the gross profitability strategy generates excess returns when firmsize and the book-to-market ratio are controlled. Finally, we analyze the effect of firm size and the book-to-market ratio on the gross profitability strategy. Results - First, through the Fama-MacBeth cross-sectional regression, we show that gross profitability has almost the same explanatory power as the book-to-market ratio in explaining the cross-sectional variation of the Korean stock market. Second, we find evidence that gross profitability is a statistically significant variable for explaining cross-sectional stock returns when the size and the value effect are controlled. Third, we show that gross profitability, which is positively correlated with stock returns and firm size, is negatively correlated with the book-to-market ratio. From the perspective of portfolio management, our results imply that since the gross profitability strategy is a distinctive growth strategy, value strategies can be improved by hedging with the gross profitability strategy. Conclusions - Our empirical results confirm the existence of a gross profitability premium in the Korean stock market. From the perspective of the fund distribution industry, the gross profitability portfolio is worthy of attention. Since the value strategy portfolio returns are negatively correlated with the gross profitability strategy portfolio returns, by mixing both portfolios, investors could be better off without additional risk. However, the profitable firms are dissimilar from the value firms (high book-to-market ratio firms); therefore, an alternative factor model including gross profitability may help us understand the economic implications of the well-known anomalies such as value premium, momentum, and low volatility. We reserve these topics for future research.