• Journal of Korean Society of Industrial and Systems Engineering
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• v.22 no.51
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• pp.151-161
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• 1999

For many decades, Deterministic DCF approach has been widely used to evaluate investment opportunities. Under new manufacturing conditions involving uncertainty and risk, the DCF approach is not appropriate. In DCF, Risk is incorporated in two ways: certainty equivalent method, risk adjusted discount rate. This paper proposes a determination method of the Risk Adjusted Discount Rate for economically decision making advanced manufacturing technologies. Conventional DCF techniques typically use discount rate which do not consider the difference in risk of differential investment options and periods. Due to their relative efficiency, advanced manufacturing technologies have different degree of risk. The risk differential of investments is included using $\beta$ coefficient of capital asset pricing model. The comparison between existing and proposed method investigated. The DCF model using proposed risk adjusted discount rate enable more reasonable evaluation of advanced manufacturing technologies.

• Journal of the Korean Operations Research and Management Science Society
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• v.24 no.1
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• pp.13-25
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• 1999

This paper presents a model of competitive positioning and pricing of new products in a multi-segmented market. The segments in the market are located on a multi-dimensional discrete attribute space with fixed demands. Firms launch products sequentially on the attribute space, incurring fixed and variable costs, and then decide on their product prices. Each firm acts to maximize its profit. Market share of a firm is determined by the position and price of Its product. We provide sufficient conditions for the existence and uniqueness of Nash equilibrium Another equilibrium concept is Introduced and related to the Nash equilibrium. A heuristic algorithm based on genetic algorithms is designed to obtain the Nash equilibrium.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.58 no.2
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• pp.264-269
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• 2009

Marginal Loss Factor(MLF) is represented as the sensitivity of transmission loss, which is computed from the change of the generation at slack bus by the change of the load at the arbitrary bus. The MLF dependent on the selection of slack bus is one of the key factors affecting nodal pricing, Genco's profits, social welfare(SW) and Nash Equilibrium in a competitive electricity market. This paper addresses the methodology of slack bus selection by using Cournot model of Cost Based Pool market. Numerical results from sample cases show that the slack bus of MLF of the highest average is beneficial from the view points of SW.

• The Korean Journal of Financial Management
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• v.8 no.2
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• pp.111-129
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• 1991

본 논문에서는 재정가격결정모형(裁定價格決定模型)(Arbitrage Pricing Model)을 기초로 우리나라 주식시장에 영향을 주는 거시경제변수가 무엇인가를 찾고자 하였다. 방법론면에서는 과거변수(過去變數)(lagged variables)에 의해서만 기대치를 형성시키는 AIRMA(Autoregressike Integrated with Moving Average) 방법을 이용하기보다는 마코프속성(屬性)(Markov Property)을 갖는 상태공간모형(狀態空間模型) (State Space Model)을 이용하여 보다 합리적인 거시경제 요인의 이노베이션을 하였다. 또한 단순한 요인분석(要因分析)(factor analysis)에 의한 요인추출은 요인의 표본의존성(標本依存性)(Sample dependency)이 심하므로 그룹간 요인분석(inter-battery factor analysis)을 행하여 추정(推定)된 요인(要因)(요인값 : factor score)과 요인수를 결정하여 관련 거시경제변수를 선택한다. 그룹간 요인분석을 위한 그룹을 형성할 때 그룹내에서는 동질성을 그룹간에는 이질성을 최대한 살리는 것이 필요한데, 이를 위해 군집분석(群集分析)(Cluster Analysis)을 사용한 것이 특징이다. 결론적으로 우리나라 주식시장에 영향을 미치는 거시경제요인(巨視經濟要因)으로 단위노동비율, 제조업제품재고지수, 채권프리미엄, 수출물가지수, 정부부문 통화공급, 회사채수익률, 종합주가지수 등 7가지가 있는 것으로 분석되고 있다.

• Journal of Korean Institute of Industrial Engineers
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• v.27 no.2
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• pp.181-189
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• 2001

The proliferation of the Internet and related technologies and applications has led to a new form of market place known as the electronic store. In this paper, we study competition between two shopping channels, an electronic store and traditional retailers. Based on the circular spatial market model, we derive the Nash and Stackelberg equilibria as a function of the efficiency of the electronic store. The result shows that the Stackelberg equilibrium is always superior to the Nash equilibrium for both channels. It is also shown that, in some cases, the electronic store has incentive to decrease its efficiency to gain more profit.

• International journal of advanced smart convergence
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• v.10 no.1
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• pp.62-74
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• 2021

We compare Over-the-Tops (OTTs), Netflix and Amazon Prime Video (APV) with five success factors of innovation. Firstly, Netflix offers better personalized service than APV, because APV has collaborative filtering algorithms to recommend safe bets, not the customers really want. Secondly, APV' user interface is undercooked to lock the members in, even if it has more content and better price offer than Netflix retaining its loyal customers despite the price increase. Thirdly, Netflix has simple subscription model with three tiering, but APV has complicated pricing model having annual and monthly, APV and Prime Video (AV) app, Amazon subscription and extra payment of Amazon Prime Channels (APCs). Fourthly, Amazon has fewer partnership than Netflix especially when it comes to local TV series. Instead, Amazon has live TV channel collaboration including sports content. Lastly, both have strategic and operational agility in their organization well.

• International conference on construction engineering and project management
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• 2007.03a
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• pp.106-118
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• 2007

Little attention has been focussed on a precise definition and evaluation mechanism for project management risk specifically related to contractors. When bidding, contractors traditionally price risks using unsystematic approaches. The high business failure rate our industry records may indicate that the current unsystematic mechanisms contractors use for building up contingencies may be inadequate. The reluctance of some contractors to include a price for risk in their tenders when bidding for work competitively may also not be a useful approach. Here, instead, we first define the meaning of contractor contingency, and then we develop a facile quantitative technique that contractors can use to estimate a price for project risk. This model will help contractors analyse their exposure to project risks; and also help them express the risk in monetary terms for management action. When bidding for work, they can decide how to allocate contingencies strategically in a way that balances risk and reward.

• Journal of applied mathematics & informatics
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• v.41 no.1
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• pp.33-50
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• 2023

Foreign exchange options are derivative financial instruments that can exchange one currency for another at a prescribed exchange rate on a specified date. In this study, we examine the analytic formulas for vulnerable foreign exchange options based on multi-scale stochastic volatility driven by two diffusion processes: a fast mean-reverting process and a slow mean-reverting process. In particular, we take advantage of the asymptotic analysis and the technique of the Mellin transform on the partial differential equation (PDE) with respect to the option price, to derive approximated prices that are combined with a leading order price and two correction term prices. To verify the price accuracy of the approximated solutions, we utilize the Monte Carlo method. Furthermore, in the numerical experiments, we investigate the behaviors of the vulnerable foreign exchange options prices in terms of model parameters and the sensitivities of the stochastic volatility factors to the option price.

• East Asian Economic Review
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• v.24 no.1
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• pp.61-87
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• 2020

Five diffusion models are estimated using three different foreign exchange rates to find an appropriate model for each. Daily spot exchange rates expressed as the prices of 1 euro, 1 British pound and 100 Japanese yen in US dollars, respectively denoted by USD/EUR, USD/GBP, and USD/100JPY, are used. The maximum likelihood estimation method is implemented after deriving an approximate log-transition density function (log-TDF) of the diffusion processes because the true log-TDF is unknown. Of the five models, the most general model is the best fit for the USD/GBP, and USD/100JPY exchange rates, but it is not the case for the case of USD/EUR. Although we could not find any evidence of the mean-reverting property for the USD/EUR exchange rate, the USD/GBP, and USD/100JPY exchange rates show the mean-reversion behavior. Interestingly, the volatility function of the USD/EUR exchange rate is increasing in the exchange rate while the volatility functions of the USD/GBP and USD/100Yen exchange rates have a U-shape. Our results reveal that more care has to be taken when determining a diffusion model for the exchange rate. The results also imply that we may have to use a more general diffusion model than those proposed in the literature when developing economic theories for the behavior of the exchange rate and pricing foreign currency options or derivatives.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.4
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• pp.59-70
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• 2020

The purpose of this study is to construct the ACD model for the block trading volume duration. The ACD model based on the block trading volume duration is referred to as Volume ACD (VACD) in this study. By integrating with GARCH-type models, the VACD based GARCH type models, which include VACD-GARCH, VACD-IGARCH and VACD-FIGARCH models, are set up. This study selects Chunghwa Telecom (CHT) Inc., offering the America Depository Receipt (ADR) in NYSE, to investigate the block trading volume duration in Taiwanese equity market. The empirical results indicate that the long memory in volume duration series increases dependence at level of volatility clustering by VACD (2,1)-FIGARCH (3,d,1) model. Moreover, the VACD (2,1)-IGARCH (1,1) exhibits relatively better performance of prediction on capturing block trading volume duration. This volatility model is more appropriate in this study to portray the change of the CHT Inc. prices and provides more information about the volatility process for investment strategy, which can be a reference indicator of financial asset pricing, hedging strategy and risk management.