• KSII Transactions on Internet and Information Systems (TIIS)
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• v.13 no.10
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• pp.5260-5275
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• 2019

In the process of constructing the traditional offensive and defensive game theory model, these are some shortages for considering the dynamic change of security risk problem. By analysing the critical indicators of the incomplete information game theory model, incomplete information attack and defense game theory model and the mathematical engineering method for solving Bayes-Nash equilibrium, the risk-averse income function for information assets is summarized as the problem of maximising the return of the equilibrium point. To obtain the functional relationship between the optimal strategy combination of the offense and defense and the information asset security probability and risk probability. At the same time, the offensive and defensive examples are used to visually analyse and demonstrate the incomplete information game and the Harsanyi conversion method. First, the incomplete information game and the Harsanyi conversion problem is discussed through the attack and defense examples and using the game tree. Then the strategy expression of incomplete information static game and the engineering mathematics method of Bayes-Nash equilibrium are given. After that, it focuses on the offensive and defensive game problem of unsafe information network based on risk aversion. The problem of attack and defense is obtained by the issue of maximizing utility, and then the Bayes-Nash equilibrium of offense and defense game is carried out around the security risk of assets. Finally, the application model in network security penetration and defense is analyzed by designing a simulation example of attack and defense penetration. The analysis results show that the constructed income function model is feasible and practical.

• KDI Journal of Economic Policy
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• v.27 no.2
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• pp.89-121
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• 2005

This paper investigates the empirical relationship between investment and uncertainty using the firm level data of Korean manufacturing sector. Empirical results show that uncertainty is negatively correlated with investment only for the post-crisis sample period. In particular, the negative effect of uncertainty on investment is more significant for low interest coverage ratio firms, high debt-asset ratio firms and small firms. The results are consistent with the claim that firms act in a more risk-averse manner after the financial crisis. This paper also finds a significant sensitivity of investment to cash flows only for the pre-crisis sample period, suggesting that financial constraint is not relatively important in explaining low investment after the financial crisis.

• Proceedings of the Korea Water Resources Association Conference
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• 2020.06a
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• pp.171-171
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• 2020

Decision making strategies should consider both adaptiveness and robustness in order to deal with two main characteristics of climate change: non-stationarity and deep uncertainty. Especially, robust strategies are different from traditional optimal strategies in the sense that they are satisfactory over a wider range of uncertainty and may act as a key when confronting climate change. In this study, a new framework named Robust Stochastic Dynamic Programming (R-SDP) is proposed, which couples previously developed robust optimization (RO) into the objective function and constraint of SDP. Two main approaches of RO, feasibility robustness and solution robustness, are considered in the optimization algorithm and consequently, three models to be tested are developed: conventional-SDP (CSDP), R-SDP-Feasibility (RSDP-F), and R-SDP-Solution (RSDP-S). The developed models were used to derive optimal monthly release rules in a single reservoir, and multiple simulations of the derived monthly policy under inflow scenarios with varying mean and standard deviations are undergone. Simulation results were then evaluated with a wide range of evaluation metrics from reliability, resiliency, vulnerability to additional robustness measures. Evaluation results were finally visualized with advanced visualization tools that are used in multi-objective robust decision making (MORDM) framework. As a result, RSDP-F and RSDP-S models yielded more risk averse, or conservative, results than the CSDP model, and a trade-off relationship between traditional and robustness metrics was discovered.

• The Korean Journal of Financial Management
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• v.26 no.4
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• pp.191-234
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• 2009

This study examined on the volatility feedback hypothesis through the use of threshold GARCH-in-Mean (GJR-GARCH-M) model developed by Glosten, Jaganathan, and Runkle (1993) in the stock markets of 14 emerging countries during the period of January, 1996 to May, 2009. On this study, I found successful evidences which can support the volatility feedback hypothesis through the following three estimation procedures. First, I found relatively strong positive relationship between the expected market risk premiums and their conditional standard deviations from the GARCH-M model in the basis of daily return on each representative stock market index, which is appropriate to investors' risk-averse preferences. Second, I can also identify the significant asymmetric time-varying volatility originated from the investors' differentiated reactions toward the unexpected market shocks by applying the GJR-GARCH-M model and further find the lasting positive risk aversion coefficient estimators. Third, I derived the negative signs of the regression coefficient of unpredicted volatility on the stock market return by re-applying the GJR-GARCH-M model after I controlled the positive effect of predicted volatility through including the conditional standard deviations from the previous GARCH-M model estimation as an independent explanatory variable in the re-applied new GJR-GARCH-M model. With these consecutive results, the volatility feedback effect was successfully tested to be effective also in the various emerging stock markets, although the leverage hypothesis turned out to be insufficient to be applied to another source of explaining the negative relationship between the unexpected volatility and the ex-post stock market return in the emerging countries in general.

• The Journal of Society for e-Business Studies
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• v.22 no.4
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• pp.117-128
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• 2017

The increased national utilization of Bitcoin results in multiple complications. Therefore, there are continuous debates on the subject, the main point being how to characterize Bitcoin's asset nature. The following study bases, focusing on the function value, justifies Bitcoin's asset characterization. Using regression analysis to construct relations between gold and indexes such as CPI, DXY, and S&P500 as well as the relation between Bitcoin and the previously mentioned indexes, the question of whether gold and Bitcoin reacted in a similar fashion to the same indicators was examined. The results conclude that Bitcoin has similarities with gold, showing that it is risk averse and an investable commodity in lieu to profitability when it comes to inflation and currency value. When considered with price volatility, the main force behind the function of investment asset, categorizing Bitcoin as a high-risk financial investment asset rather than as a currency within the system would be more effective for management.

• The Korean Journal of Financial Management
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• v.23 no.1
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• pp.165-191
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• 2006

I examine the relationship between values and security designs of MBS(mortgage-backed securities), using four different types of them. To this end I consider a pass-through and three different kinds of CMOs(collateralized mortgage obligations). It turns out that the pass-through has the lowest value and that, among CMOs, that of a senior-mezzanine-subordinate design has the highest value. This implies that CMOs of a simple and extreme design, like that of a senior-subordinate design, are not likely to be the best CMOs for risk averse buyers. Another critical finding is that the optimal security design of CMOs or MBS does exist in the form of an interior solution. This indicates that MBS issuers could charge higher prices of MBS given their underlying mortgages by tailoring MBS security designs to the needs or utilities of MBS buyers, usually by removing and combining risks of component tranches of MBS. Accordingly a thorough study of realistic utility functions of MBA buyers could enhance the values or prices of MBS to be issued.

• Journal of Technology Innovation
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• v.5 no.1
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• pp.206-222
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• 1997

The conventional analysis with which justifies government intervention of the private sector's innovation activities is the market failure approach. According to such analysis, fund allocation through autonomous market mechanisms is not optimal in technology financing because of the disparity between the desirable level of investment for society as a whole and that for private firms. To optimize the fund allocation, public policies such as subsidy, preferencial loan and venture capital investment programs are designed for technology development projects performed by private firms. They, however, have not been effective in increasing private investment for such projects. In most cases, it was found that little considerations given to the relationship between uncertainty embodied in technology development projects and each types of financing. With respect to optimizing fund allocation, technology development projects should be financed by different means according to their probability of success and the expected value of technology. Employing various theoretical models on financing decision-making we verify here that technology development projects to be supported by commercial banks or venture capital institutions is limited contingent upon levels of uncertainty adn expected value. Under the assumption that financial institutions are risk averse, loan or investment can be available only if the probability of success of the project is higher than the probability premium and the current market rate of interest. Therefore, the projects that have lower probability of success and/or small expected return are excluded from commercial loan or investment programs. However, the remaining projects, whose probability of success is low but with high expected return, may be applied under government subsidy programs. To achieve optimality of fund allocation and to activate technology financing, we conclude that there should be a systematic division of role among financial institutions including government commercial banks, and venture capital institutions.

• The Korean Journal of Financial Management
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• v.26 no.1
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• pp.165-188
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• 2009

This paper has suggested the methodology for the frontier portfolios and the optimal portfolio under the mean-VaR framework, not assuming the normal distribution and considering the investor's preferences for the higher moments of return distributions. It suggested the grid and rank approach which did not need an assumption about return distributions to find the frontier portfolios. And the optimal portfolio was selected using the utility function that considered the 3rd and the 4th moments. For the application of the methodology, weekly returns of the developed countries index, the emerging market index and the KOSPI index were used. After the frontier portfolios of the mean-variance framework and the mean-VaR framework were selected, the optimal portfolios of each framework were compared. This application compared not only the difference of the standard deviation but also the difference of the utility level and the certainty equivalent expressed by weekly expected returns. In order to verify statistical significances about the differences between the mean-VaR and the mean-variance, this paper presented the statistics which were obtained by the historical simulation method using the bootstrapping. The results showed that an investor under the mean-VaR framework had a tendency to select the optimal portfolio which has bigger standard deviation, comparing to an investor under the mean-variance framework. In addition, the more risk averse an investor is, the bigger utility level and certainty equivalent he achieves under the mean-VaR framework. However, the difference between the two frameworks were not significant in statistical as well as economic criterion.

• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.29-62
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• 2007

We examine the methods to increase MBS values given parameters of default risks of individual mortgages and their correlation, and analyze the effects of these parameters on the efficiency of the methods. First, the values of MBS can be improved when they are comprised of low-correlation mortgages regardless of specific forms of investors' utility functions. Second, the values of MBS can also be raised even after their components mortgages are determined. More specifically, when investors' utilities are heterogeneous, CMO's of a less risky tranche and a riskier tranche are highly valued compared with pass-through securities of two identical tranches. When investors' utilities are homogeneous(risk averse), however, the latter meets the needs of investors better than the former does. Third, it can be shown that the efficiency of the methods in this paper is an increasing function of default risks of mortgage loans or of the correlation between them, and a decreasing function of the amount of the price fall of MBS when in default.

• The Journal of the Korea Contents Association
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• v.20 no.11
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• pp.184-191
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• 2020

Using 850 disclosures of individual executive compensation from 2014 to 2017, this study examines the impact of female auditors on the sensitivity of executive compensation-performance relation. The major findings as follow: First, Female auditors have positive effects on the sensitivity of executive compensation to performance, implying that when auditors are appointed to be females who are more ethical, of high moral development, risk averse and conservative as well, they play an efficient monitoring role in aligning executive compensation to performance. Second, the monitoring effects of female auditors on the sensitivity of executive compensation to performance are significant when they are full time employed, suggesting that gender-based differences are more likely to be realized on the condition that they are in position to commit to their jobs for their owns. The results overall support that female auditors exercise efficient monitoring roles in aligning executive compensation to performance in Korean listed firms. The research contribute to complement the study of gender effects on corporate decision making, which have been focused on gender diversity of the board, by providing empirical evidence of the impact of female auditors on the sensitivity of executive compensation-performance relation.