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A Comparison of the Kelly Criterion and a Mean-Variance Model to Portfolio Selection with KOSPI 200
Gyutai Kim,Jong-Ho Shin 대한산업공학회 2017 Industrial Engineeering & Management Systems Vol.16 No.3
The Markowitz’s mean-variance model has been extensively discussed and widely used to solve an investment portfolio optimization problem. Like the model, the Kelly criterion has been also used for the same purpose. But the latter has received much less attention than the former from the academic and financial world. Now, it is strongly believed that the Kelly criterion provides investors with an investment performance better than or equal to the Markowitz’s model. In this paper, we constructed the portfolio optimization models corresponding to each of two models and made a comparison of their results to investigate which model would lead investors to achieve a better investment performance. To this end, we carried out a case study with KOSPI 200. As one of the findings derived from of the case study, we found that the Kelly criterion model generated much higher return and risk, and a less diversified portfolio than the Markowitz’s model.
김규태(Gyutai Kim),정수희(Suhee Jung),오치재(Chijae Oh) 한국경영과학회 2009 한국경영과학회 학술대회논문집 Vol.2009 No.5
In a real world, we are supposed to usually obtain an uncertain information on the revenues and expenses which will be used for an economic analysis of investment projects. One of the most widely used methods to deal with the uncertain situation is to rely on the usage of the expected values. However, it is not desirable to use the expected value for the economic analysis because it does not provide a variety of the ways to look into. Recently there exist a number of methods such as a Monte Carlo simulation, risk premium, capital asset pricing model, and real options pricing theories to effectively cope with uncertainty inherent in the investment projects. One of the advantages of scrutinize the investment project through a various number of lens is that investment decision makers may come by the valuable insight into the reality of the underlying investment project. For this purpose, we will present many different methods to handle an uncertainty of the investment projects, which have been widely used by so far. The presentation will be made with the numerical examples along with the commercialized softwares like Crystal Ball, MS-Excel, Mathematica, etc.
김규태(Gyutai Kim),정수희(Suhee Jung),오치재(Chijae Oh) 대한산업공학회 2009 대한산업공학회 춘계학술대회논문집 Vol.2009 No.5
In a real world, we are supposed to usually obtain an uncertain information on the revenues and expenses which will be used for an economic analysis of investment projects. One of the most widely used methods to deal with the uncertain situation is to rely on the usage of the expected values. However, it is not desirable to use the expected value for the economic analysis because it does not provide a variety of the ways to look into. Recently there exist a number of methods such as a Monte Carlo simulation, risk premium, capital asset pricing model, and real options pricing theories to effectively cope with uncertainty inherent in the investment projects. One of the advantages of scrutinize the investment project through a various number of lens is that investment decision makers may come by the valuable insight into the reality of the underlying investment project. For this purpose, we will present many different methods to handle an uncertainty of the investment projects, which have been widely used by so far. The presentation will be made with the numerical examples along with the commercialized softwares like Crystal Ball, MS-Excel, Mathematica, etc.
Justification of A Product Design with A Multiple Attribute Decision Making
Kim, Gyutai,Choi, Jungsang CHOSUN UNIVERSITY 1997 Basic Science and Engineering Vol.1 No.2
The development of computer technologies makes it possible to simultaneously perform a product and process design. A special project team for a concurrent product and process design can generate, test, analyze and evaluate a various number of a product design with an aid of computer technologies and thereafter come to determine the most favorable alternative of a product design. Since a product design significantly affects the strategic factors such as quality, delivery time, flexibility, cost and etc. to a business success in a highly competitive world market of today, this paper is concerned with proposing a decision model for the way to judiciously justify a product design in a multiple attribute decision making(MADM) environment. As a fina note, it is recommended that after determining the best product design alternative, the analytical economic analysis about the effect of a product design should be followed to create a general consent from the memers of a team.
차량용 레이더에 적용된 CFAR(Constant False Alram Rate) 알고리즘의 모델 기반 설계
정규태(GyuTai Jung),이기구(Kigu Lee),박병권(ByungKwon Park),박민하(MinHa Park) 한국자동차공학회 2010 한국자동차공학회 학술대회 및 전시회 Vol.2010 No.11
Nowadays for enhancing driving convenience and safety, radar has been installed in the car. Automotive radar has to detect a velocity and distance of target with accuracy. In this paper for reliable target detection in multitarget environment common CFAR algorithm has been discussed Model based design is a efficient and cost-effective way to develop embedded systems. Model based design has been more stable in many aspect. So many automotive applications have been developed with model based design. In this paper, CFAR algorithm that is applied for our automotive radar has been developed by using model based design. And also source code of CFAR algorithm is generated with code generation tool.
An Economic Decision on Designing X ̄-Control Charts When Point Estimates Are Inaccurate
Kim, Gyutai,Cheon, Taewoong 조선대학교 생산기술연구소 1996 生産技術硏究 Vol.18 No.1
경제적인 품질 관리도를 작성하기 위해서는 여러 변수들에 관한 기초적인 자료가 요구된다. 그러나 이러한 자료를 기초로 측정된 변수 값들은 흔히 부정확하고 측정자의 주관이 많이 개입되는 것이 일반적이다. 현재까지 연구된 분석적 기법들은 부정확한 측정값을 효과적으로 처리하는 데 부적합하여, 본 논문에서는 오차 전달 기법 (propagation of errors technique)을 사용하여 새로운 분석적 기법을 제안하고 있다. 본 논문에서 제안한 분석적 기법을 경제적 X-관리도에 적용하였고, 수치적 예제를 통하여 제안된 기법에 대한 이해를 돕고자하였다.