Asset allocation efficiency from dynamic and static strategies in underfunded pension funds

( Chunsuk Park ),( Dong-soon Kim ),( Kaun Y. Lee ) 한국파생상품학회 2022 선물연구 Vol.30 No.1

This study attempts to conduct a comparative analysis between dynamic and static asset allocation to achieve the long-term target return on asset liability management (ALM). This study conducts asset allocation using the ex ante expected rate of return through the outlook of future economic indicators because past economic indicators or realized rate of returns which are used as input data for expected rate of returns in the “building block” method, most adopted by domestic pension funds, does not fully reflect the future economic situation. Vector autoregression is used to estimate and forecast long-term interest rates. Furthermore, it is applied to gross domestic product and consumer price index estimation because it is widely used in financial time series data. Based on asset allocation simulations, this study derived the following insights: first, economic indicator filtering and upper-lower bound computation is needed to reduce the expected return volatility. Second, to reach theALMgoal, more stocks should be allocated than low-yielding assets. Finally, dynamic asset allocation which has been mirroring economic changes actively has a higher annual yield and risk-adjusted return than static asset allocation.

Dynamic Asset Allocation under Mispricing, Predictability and Portable Alpha

Kang, Hyoung Goo Institute for International Trade and Cooperation, 2010 Asian International Studies Review Vol.11 No.1

The existing literature about portfolio management has investigated how to update a portfolio allocation, conditional on the information that possibly predicts asset returns and volatilities. We add several innovations to fill the lacuna of prior research in the contexts of global asset allocation. First, we suggest a simple method of how to rebalance portfolios automatically and dynamically in order to exploit potential market inefficiencies. The existing literature has not developed such a strategy. Out-of-sample tests demonstrate that our strategy dominates both static allocation and dynamic strategies that do not account for possible mispricing. Thus, our strategy can contribute not only to academia, but also to practical portfolio managers who endeavor to beat markets. Second, we elaborate portable alpha strategies using the new dynamic strategy. Once we add an alpha portfolio to existing portfolios, then they perform better in terms of mean and risk. Thus, it makes our alpha portfolio portable, i.e., we can apply the alpha portfolio to any fund and can enhance its performance. Third, our dynamic strategy implies a convenient method to estimate a conditional mean and covariance matrix as functions of predictive information while ensuring positive definiteness of the covariance matrix without consuming much computational power. Such estimation strategy can be useful to practical risk managers and traders who need to control the risks of large target portfolios on a real time basis.

이더넷 PON에서 다중 클래스 서비스를 위한 계층적 구조 기반의 동적 대역 할당 알고리듬

한경은,안계현,김영천 한국통신학회 2004 韓國通信學會論文誌 Vol.29 No.3A

본 논문에서는 이더넷 PON(Passive Optical Network)에서 다중 클래스 서비스를 효율적으로 제공하기 위한 동적 대역 할당 알고리듬을 제안한다. 제안한 알고리듬은 OLT(Optical Line Terminal)에 존재하는 상위 단계 스케줄러와 ONU(Optical Network Unit)에 존재하는 하위 단계 스케줄러로 구성된다. 계층적 구조 기반의 대역 할당 알고리듬은 대역 할당을 수행하는 스케줄러와 스케줄의 대상이 되는 큐가 거리 상으로 분산되어 있는 이더넷 PON 시스템에서 확장성과 자원의 효율성을 제공할 수 있다. 또한 본 논문에서는 ONU에서 수행하는 하위 단계 대역 할당 알고리듬으로 비례 할당 알고리듬, 최대 요구 우선 할당(Maximum Request First Allocation: MRFA) 알고리듬, 우선 순위 우선 할당(High Priority First Allocation: HPFA) 알고리듬을 제안한다. 제안한 알고리듬의 성능 평가를 위해 OPNET을 이용하여 IEEE 802.3ah 기반의 이더넷 PON 시스템을 설계하고 시뮬레이션을 수행하였으며 각 알고리듬의 채널 이용률, 큐잉 지연, 잔여대역 관점에서 성능을 평가하고 분석하였다. In this paper we propose the hierarchical-based dynamic bandwidth allocation algorithm for multi-class services in Ethernet-PON. The proposed algorithm consists of the high level scheduler in OLT and the low level scheduler in ONU. The hierarchical architecture is able to provide scalability and resource efficiency in Ethernet-PON which has the distributed nature of the scheduling domain, with queues and the scheduler located at a large distance from each other. We also propose three dynamic bandwidth allocation algorithms for the low level scheduler: Proportional Allocation algorithm, Maximum Request First Allocation (MRFA) algorithm and High Priority First Allocation (HPFA) algorithm. We implement the Ethernet-PON standardized in the IEEE 802,3ah using OPNET. We also evaluate and analyze the performance for the proposed algorithms in terms of channel utilization, queuing delay and the amount of remainder.

EPON 시스템의 적응적 Limited 동적 대역 할당 방식

황준호,유명식,Hwang Jun-Ho,Yoo Myung-Sik 한국통신학회 2006 韓國通信學會論文誌 Vol.31 No.5b

멀티미디어 응용의 발달과 통합형 인터넷 서비스가 등장함에 따라, 광 가입자 망에 대한 연구가 활발히 진행되고 있다. 특히, Ethernet Passive Optical Network(EPON)은 경제성과 더불어 높은 대역폭 제공으로 인해 많은 관심을 받고 있다. EPON 시스템에서의 데이터 전송은 OLT(Optical Line Terminal) 가 ONU(Optical Networks Units)에게 데이터를 전송하는 하향 전송과 ONU가 OLT에게 데이터를 전송하는 상향 전송, 두 가지 방식으로 이루어져 있다. 하향 전송의 경우 모든 ONU들에게 데이터를 브로드캐스트 방식으로 전송한다. 반면 상향 전송의 경우 OLT와 ONU가 점대점 형식으로 연결되어 데이터를 전송하는데, 이때 하나의 상향 링크를 다수의 ONU가 TDMA 기반으로 공유하여 사용한다. 이러한 상향 전송에서의 대역 할당 알고리즘은 효율적인 대역폭 관리를 위해 반드시 필요하다. Limited 방식은 상향 전송에 있어서 효율적인 대역폭 할당을 위해 제안되었다. 본 논문에서는 기존 Limited 방식의 단점을 보완한 적응적 Limited 방식을 제안한다. 적응적 Limited 방식은 보다 탄력적인 대역할당이 가능하고, 패킷 지연 기반의 공평성을 제공한다. 컴퓨터 시뮬레이션을 통해 적응적 Limited 방식이 기존 Limited 방식보다 더욱 탄력적인 대역폭 할당이 가능함을 확인할 수 있었으며, 패킷 지연 기반의 공평성 유지 및 요구 기반의 대역폭 할당 공평성이 우수하게 유지됨을 확인할 수 있었다. Due to advance in multimedia applications and integrated Internet services, the optical access networks have been actively studied. In particular, Ethernet passive optical network (EPON) has received much attention due to high bandwidth provision with low cost. In EPON system, the data transmission is carried out in two directions: downstream (from OLT to ONU) and upstream (from ONU to OLT). The downstream data is broadcasted to every ONUs, while the upstream data is point-to-point transmitted between each ONU and OLT, where the uplink is shared by all ONUs in the form of TDMA. The bandwidth allocation algorithm is required to efficiently manage the bandwidth on the uplink. The limited algorithm was proposed to enhance the capability of dynamic bandwidth allocation. In this paper, we propose the adaptive limited algorithm to enhance the shortcomings of limited algorithm. The adaptive limited algorithm enhances the dynamics on bandwidth allocation, and at the same time controls the fairness on packet delay. Through the computer simulations, it is shown that the adaptive limited algorithm achieves high dynamic on bandwidth allocation, maintains a good fairness on packet delay between ONUs, and keeps the fairness on the bandwidth on the demand basis.

Part Release in FMS under Dynamic Tool Allocation Strategy

Oh, Hyung-Sool,Lee, Choong-Soo 三陟大學校 産業科學技術硏究所 2002 産業科學技術硏究論文集 Vol.7 No.2

A recent trend in flexible manufacturing systems (FMS) is to compose of the identical versatile machines and to use dynamic tool allocation strategy, sharing tools between machines with fast tool delivery system. Unlike a conventional FMS where parts are fed to the machines with the required tools, tools are acquired from other machines using a tool delivery system and parts can be finished on the same machine in these FMS. Therefore it is more important problem to plan tool flow using tool delivery system in these FMS rather than part flow in conventional FMS. According to the existing study, in FMS 20∼30 percent of the total management cost is the cost related with tools and it is possible to reduce the tool inventory by 40 percent using efficient tool allocation. In this study, in FMS under dynamic tool allocation strategy, a new method of part release considering tool flow at the stage of part release is proposed. In order to prove the efficiency of the proposed part release it is compared with other part release through simulation experiments. Performance measures in these experiments are the throughput and the number of tardy parts.

범용 메모리 할당 기법에 따른 응용프로그램 성능 연구

오덕재(Deok-Jae Oh),안정호(Jung Ho Ahn) 한국정보과학회 2021 정보과학회 컴퓨팅의 실제 논문지 Vol.27 No.11

많은 응용프로그램의 동적 메모리 할당은 범용 메모리 할당자를 통해 관리된다. Warehouse-scale system에서 동적 메모리 할당은 상당한 CPU (중앙 처리 장치) 사이클 비중을 차지하는 요소 중 하나로 제시되어 왔으며, 이를 최적화하기 위해 다양한 메모리 할당자들이 제안되어 왔다. 본 논문에서는 널리 사용되고 있는 메모리 할당자들을 응용프로그램에 적용하여 이들의 성능을 비교 분석하고 이를 통해 성능에 영향을 미치는 메모리 할당자의 요소들을 살펴보았다. 메모리 할당자의 구조는 메모리 할당과 해제하는 과정에서 소요되는 CPU 사이클에 큰 영향을 미칠 뿐만 아니라, 메모리 배치 전략에 따라 메모리 시스템의 사용률을 향상시키는 것이 가능하다. 본 논문에서는 이러한 분석 결과들을 바탕으로 범용 메모리 할당자의 메모리 배치 전략의 중요성을 확인한다. Dynamic memory allocation is managed through a general-purpose memory allocator. Dynamic memory allocation has been identified as a factor that spends a significant portion of CPU(Central Processing Unit) cycles in a warehouse-scale system, and various memory allocators have been proposed to optimize it. In this paper, we analyzed the performance of widely used memory allocators by comparing them with applications to identify the factors that affected the performance. The architecture of a memory allocator not only substantially affected the CPU cycles required during memory allocation and deallocation but it was also possible to improve the utilization of the memory system according to how the memory space was laid out. However, since the memory allocator could not identify the memory access pattern of the program that occured at runtime, there was a limitation in optimizing the layout of the memory space. Based on our analysis results, we explained the importance of memory layout strategy in memory allocators.

Budgeted Memory Allocator for Embedded Systems

이중희(Junghee Lee),이준환(Joonhwan Yi) 대한전자공학회 2008 電子工學會論文誌-SC (System and control) Vol.45 No.2

내장형 시스템의 설계 유연성을 높이고 예측하기 어려운 입력과 출력을 다루기 위해 동적 메모리 할당기가 사용된다. 일반적으로 내장형 시스템은 사용 기간 동안 계속 수행되기 때문에 메모리 할당기를 설계하는데 있어서 단편화 문제가 중요한 고려 사항 중 하나이다. 본 논문에서는 미리 구분된 객체들에 대한 전용 영역을 활용하여 단편화를 최소화시키기는 budgeted 메모리 할당기를 제안한다. 최신의 메모리 할당기를 사용하는 대신 budgeted 메모리 할당기를 사용하면 필요한 힙 영역의 크기 를 최대 49.5% 감소시킬 수 있었다. 힙 영역의 크기가 16KB 이상이면 budgeted 메모리 할당기를 사용함으로 늘어나는 코드의 크기를 줄어든 단편화로 보상할 수 있다. Dynamic memory allocators are used for embedded systems to increase flexibility to manage unpredictable inputs and outputs. As embedded systems generally run continuously during their whole lifetime, fragmentation is one of important factors for designing the memory allocator. To minimize fragmentation, a budgeted memory allocator that has dedicated storage for predetermined objects is proposed. A budgeting method based on a mathematical analysis is also presented. Experimental results show that the size of the heap storage can be reduced by up to 49.5% by using the budgeted memory allocator instead of a state-of-the-art allocator. The reduced fragmentation compensates for the increased code size due to budgeted allocator when the heap storage is larger than 16KB.

Exploring trends in blockchain publications with topic modeling: Implications for forecasting the emergence of industry applications

이정호,조항정,Tom Steinberger 한국전자통신연구원 2023 ETRI Journal Vol.45 No.6

Technological innovation generates products, services, and processes that can disrupt existing industries and lead to the emergence of new fields. Distributed ledger technology, or blockchain, offers novel transparency, security, and anonymity characteristics in transaction data that may disrupt existing industries. However, research attention has largely examined its application to finance. Less is known of any broader applications, particularly in Industry 4.0. This study investigates academic research publications on blockchain and predicts emerging industries using academia-industry dynamics. This study adopts latent Dirichlet allocation and dynamic topic models to analyze large text data with a high capacity for dimensionality reduction. Prior studies confirm that research contributes to technological innovation through spillover, including products, processes, and services. This study predicts emerging industries that will likely incorporate blockchain technology using insights from the knowledge structure of publications.

FMS에서 공구 일정계획을 고려한 부품투입 방법

이충수,최정상 한국경영과학회 2003 한국경영과학회지 Vol.28 No.1

A recent trend in flexible manufacturing systems (FMS) is to utilize the identical versatile machines with fast tool delivery devices. Unlike a conventional FMS where parts are fed to the machines with the required tools, tools are acquired from other machines using a tool delivery system and parts can be finished on the same machine in these FMS. Therefore it is more important problem to plan tool flow using tool delivery system in these FMS rather than part flow in conventional FMS. According to the existing study, in FMS 20~30 percent of the total management cost is the cost related with tools and it is possible to reduce the tool inventory by 40 percent using efficient tool allocation. In this study, in FMS under dynamic tool allocation strategy, a new method of part release it is compared with other part release through simulation experiments. Performance measures in these experiments are the throughput and the number of tardy parts.

Adaptive Scheduling for QoS-based Virtual Machine Management in Cloud Computing

Cao, Yang,Ro, Cheul Woo The Korea Contents Association 2012 International Journal of Contents Vol.8 No.4

Cloud Computing can be viewed as a dynamically-scalable pool of resources. Virtualization is one of the key technologies enabling Cloud Computing functionalities. Virtual machines (VMs) scheduling and allocation is essential in Cloud Computing environment. In this paper, two dynamic VMs scheduling and allocating schemes are presented and compared. One dynamically on-demand allocates VMs while the other deploys optimal threshold to control the scheduling and allocating of VMs. The aim is to dynamically allocate the virtual resources among the Cloud Computing applications based on their load changes to improve resource utilization and reduce the user usage cost. The schemes are implemented by using SimPy, and the simulation results show that the proposed adaptive scheme with one threshold can be effectively applied in a Cloud Computing environment both performance-wise and cost-wise.