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Higher Moments in Postmodern Portfolio Asset Allocation
Gunhee Lee,Ian Sutherland,Woohyung Lee 한국시뮬레이션학회 2017 한국시뮬레이션학회 학술대회집 Vol.2017 No.-
While modern portfolio theory (MPT) uses standard deviation as the measure of risk;PostModern Portfolio Theory (PMPT) develops the idea of risk further to only include that of downside-risk. Intuitively this makes sense;because investors are more worried about negative returns;and therefore;the deviation in negative returns is more important to investors. Since returns have been shown historically to not follow the normal distribution;with fatter tails and higher downside risk;the extension of the meanvariance model to incorporate mixed higher moments (i.e. coskewness and cokurtosis) in the allocation of assets has allowed investors to investigate downside risk of assets;particularly for assets that have a larger departure from normality. To evaluate negative risk;mixed higher moments (i.e. coskewness and cokurtosis) are used to optimize asset allocation. The optimization of asset allocation using higher moments is a complex problem which can be solved fairly easily through optimization software or algorithms. We use Quadratic Programming (QP) through R Optimization Infrastructure (ROI) to solve for the quadratic optimization of incorporating four moments into a asset allocation for a portfolio. Adding to the evidence of other studies;our results show that the optimization using higher moments results in drastically different weights for assets;particularly in a manner that minimizes risk. We compare the results between several optimization methods using lower and higher moments.
Navigation Behavior Selection Using Generalized Stochastic Petri Nets for a Service Robot
Gunhee Kim,Woojin Chung Institute of Electrical and Electronics Engineers 2007 IEEE Transactions on Human-Machine Systems Vol.37 No.4
<P>Appropriate design and control of behaviors of mobile robots are important for their successful autonomous navigation in a real dynamic environment. This paper proposes a formal selection framework of multiple navigation behaviors for a service robot. In the presented approach, modeling, analysis, and performance evaluation are carried out based on generalized stochastic Petri nets (GSPNs). By adopting a probabilistic approach, the proposed framework helps the robot to select the most desirable navigation behavior in run time according to environmental conditions. Moreover, after mission completion, the robot evaluates its prior navigation performance from accumulated data, and automatically uses the results to improve its future operations. Also, GSPNs have several advantages over direct use of other modeling formalisms such as finite state automata (FSA) or Markov processes (MPs). We conduct experiments on real guidance tasks with visitors by implementing the framework in the guide robot Jinny at the National Science Museum of Korea. The results show that the proposed strategy is useful for a robot's selection of an appropriate navigation behavior in a dynamic environment.</P>
Higher Moments in Postmodern Portfolio Asset Allocation
Gunhee Lee(이군희),Ian Sutherland(이안 서더렌드),Woohyung Lee(이우형) 대한산업공학회 2017 대한산업공학회 춘계학술대회논문집 Vol.2017 No.4
While modern portfolio theory (MPT) uses standard deviation as the measure of risk, Post-Modern Portfolio Theory (PMPT) develops the idea of risk further to only include that of downside-risk. Intuitively this makes sense, because investors are more worried about negative returns, and therefore, the deviation in negative returns is more important to investors. Since returns have been shown historically to not follow the normal distribution, with fatter tails and higher downside risk, the extension of the meanvariance model to incorporate mixed higher moments (i.e. coskewness and cokurtosis) in the allocation of assets has allowed investors to investigate downside risk of assets, particularly for assets that have a larger departure from normality. To evaluate negative risk, mixed higher moments (i.e. coskewness and cokurtosis) are used to optimize asset allocation. The optimization of asset allocation using higher moments is a complex problem which can be solved fairly easily through optimization software or algorithms. We use Quadratic Programming (QP) through R Optimization Infrastructure (ROI) to solve for the quadratic optimization of incorporating four moments into a asset allocation for a portfolio. Adding to the evidence of other studies, our results show that the optimization using higher moments results in drastically different weights for assets, particularly in a manner that minimizes risk. We compare the results between several optimization methods using lower and higher moments.
Higher Moments in Postmodern Portfolio Asset Allocation
Gunhee Lee(이군희),Ian Sutherland(이안 서더렌드),Woohyung Lee(이우형) 한국경영과학회 2017 한국경영과학회 학술대회논문집 Vol.2017 No.4
While modern portfolio theory (MPT) uses standard deviation as the measure of risk, Post-Modern Portfolio Theory (PMPT) develops the idea of risk further to only include that of downside-risk. Intuitively this makes sense, because investors are more worried about negative returns, and therefore, the deviation in negative returns is more important to investors. Since returns have been shown historically to not follow the normal distribution, with fatter tails and higher downside risk, the extension of the meanvariance model to incorporate mixed higher moments (i.e. coskewness and cokurtosis) in the allocation of assets has allowed investors to investigate downside risk of assets, particularly for assets that have a larger departure from normality. To evaluate negative risk, mixed higher moments (i.e. coskewness and cokurtosis) are used to optimize asset allocation. The optimization of asset allocation using higher moments is a complex problem which can be solved fairly easily through optimization software or algorithms. We use Quadratic Programming (QP) through R Optimization Infrastructure (ROI) to solve for the quadratic optimization of incorporating four moments into a asset allocation for a portfolio. Adding to the evidence of other studies, our results show that the optimization using higher moments results in drastically different weights for assets, particularly in a manner that minimizes risk. We compare the results between several optimization methods using lower and higher moments.
Tripodal Schematic Control Architecture for Integration of Multi-Functional Indoor Service Robots
Gunhee Kim,Woojin Chung IEEE 2006 IEEE transactions on industrial electronics Vol.53 No.5
<P>This paper discusses a control architecture and a system integration strategy for multifunctional indoor service robot public service robot (PSR) systems. The authors have built three versions of the PSR systems for four target service tasks, which are delivery, patrol, guidance, and floor cleaning. They clarify the requirements of the architecture in their applications, and propose the tripodal schematic control architecture as the solution to the architectural problems. The key idea of proposed architecture is to integrate robot systems using following three frameworks, layered functionality diagram, class diagram, and configuration diagram. The proposed architecture was successfully evaluated and implemented to PSR platforms for their target tasks. Experimental results clearly showed that the developed strategy was useful for developing the autonomous service robots</P>
Understanding Stock Price Movement on the COVID-19 Period Using Dynamic Time Warping Algorithm
Gunhee Lee,Jongwook Song 한국APEC학회 2021 Journal of APEC Studies Vol.13 No.1
Unlike the impact of MERS or SARS, the COVID-19 has had a huge impact on both social and economic environments. This study investigated the COVID-19 economic impact using the S&P 500 index by applying the DTW (Dynamic Time Warping) algorithm, an artificial intelligence technique. The DTW algorithm is designed for the identification of events the capital market impact resembles in the past. It is shown that the impact of the capital market on COVID-19 showed a completely different pattern from the patterns seen in MERS and SARS. Also, the results showed patterns similar to those of the 2015 China’s Stock Market Crash, the 2019 U.S.-China Trade Dispute, the 2008 Global Financial Crisis, which are specifically referred to as financial crises. However, it was unexpectedly similar to the shock of the U.S.-North Korea Conflict and the 2001 9·11 Terror. They were treated as political and diplomatic crises. These events are closely related to APEC countries, meaning that APEC countries’ economic and political activities are essential in the global economic crisis. The results imply that the policies implemented by APEC countries to overcome the economic crises are important to resolve the global economic crisis from COVID-19.