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- 저자 : 구본열(Koo, Bon-yeol) (검색결과 61 건)
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구본열 ( Bon Yul Koo ),남윤명 ( Yun Myung Nam ),유수연 ( Su Yeon Ryu ),김병기 ( Pyung Kee Kim ) 한국금융공학회 2015 금융공학연구 Vol.14 No.3
대용시장지수에 대한 사전적 효율성에 대한 연구는 연구접근의 방법의 차이에 따라 크게 두 분류로 나누어 질 수 있는데, Ross(1980)에 의한 무위험자산이 존재하는 경우의 효율성 검증과 Shanken(1985)에 의한 무위험자산이 존재하지 않을 경우인 제로베타(zero-beta)모형에 의한 효율성 검증이다. 그런데 이에 대한 국내의 연구는 대부분 1990년대에 이루어졌고, 구본열-남윤명-김병기(2010)는 비교적 최근에 검증을 실시하였으나 KOSDAQ시장을 중심으로 효율성을 검증하였다. 따라서 한국경제 및 환경의 변화에 따라 KOSPI시장에 대한 효율성을 최근의 자료를 이용하여 새롭게 검증하는 것은 큰 의의가 있다고 하겠다. 이에 본 연구는 KOSPI시장에서 무위험자산이 존재하는 경우에는 Ross(1980)의X2 통계치에 의한 대용시장지수의 효율성 검증과 무위험자산이 존재하지 않을 경우에는 Shanken(1985)의 F 통계치에 의한 효율성 검증을 시행하고자 하였다. 효율성 검증을 위하여 채택된 대용시장지수들은 KOSPI지수, KRX100지수와 EW지수이다. 실증적 연구결과, Ross(1980)에 의한 효율성 검증에서 KOSPI지수와 KRX100지수는 대용시장지수가 효율적이라는 귀무가설을 기각하였다. 그러나 EW지수는 대용시장지수가 효율적이라는 귀무가설을 기각하지 못하였으며 EW지수의 평균수익률도 GMVP의 수익률보다 크기 때문에 효율적 프론티어상의 효율성이 성립하였다. 그리고 Shanken(1985)에 의한 효율성 검증에서 KOSPI지수, KRX100지수와 EW지수 모두 대용시장지수가 효율적이라는 귀무가설을 기각하지 못하였다. 그러나 KOSPI지수와 KRX100지수의 평균수익률은 GMVP의 평균수익률보다 작기 때문에 효율적 프론티어상에 있는가에 대한 효율성 검증이라기보다 단순히 평균-분산 프론티어상의 효율적이라는 것에 불과하였다. 그러나 EW지수의 평균수익률은 GMVP의 수익률보다 크기때문에 효율적 프론티어상의 효율성이 성립하였다. 결론적으로, KOSPI지수와 KRX100지수는 GMVP의 평균수익률보다 낮아 효율성 측정에 문제가 있기 때문에 성과측정지수나 CAPM의 실증적 연구시에 대용시장지수로 사용할 경우, 연구결론이 오도될 위험이 있어 EW지수의 사용이 보다 바람직한 것으로 판단된다. Whether a proxy market index is ex-ante efficient is a basic question of investment analysis. Thus, the test of efficiency has been a significant interest to financial economics since the Markowitz``s seminal work. To test the efficiency of a proxy market index, we use two types of test methods. First, in case there is a riskless asset, we employ Ross``s(1980) method which derives the analytical solution for the likelihood ratio test(LRT). The method derives the exact forms of the maximum likelihood estimators and the LRT statistic. Secondly, in case where there is no riskless asset, we employ Shanken``s(1985) method which derives a cross-sectional regression of the GLS estimators and the Hotelling``s T2 statistic. Using the two methods, we test the hypotheses to find out whether three proxy market indexes in KOSPI Stock Market are ex-ante efficient. The three proxy market indexes are KOSPI Index, KRX100 Index and Equally-weighted Index. To carry out the efficiency test, the stocks with monthly returns are grouped into ten portfolios on the basis of beta-size. Each portfolio contains the same number of stocks with the length of T=168(months) from January, 2001 to December, 2014. The X2 statistics for Ross``s(1980) test and F statistics for Shanken``s(1985) test are computed with significant values α=0.05. We find that, in Ross``s X2 test, the null hypothesis that such market indexes as KOSPI Index and KRX100 Index are efficient is rejected. However, the null hypothesis that Equally-weighted Index is efficient is not rejected. We also find that, in Shanken``s F test, the null hypothesis that all three indexes are efficient in terms of the proxy market index is not rejected. But, as both KOSPI Index``s and KRX100 Index``s expected returns are lower than GMVP``s expected return, these two indexes are efficient only on the mean-variance frontier, not on the efficient frontier. In contrast, as the expected return of Equally-weighted Index is higher than that of GMVP, Equally-weighted Index is truly efficient on the viewpoint of efficient frontier. In sum, the results suggest that Equally-weighted Index is a better proxy market index than KOSPI Index and KRX100 Index in the KOSPI stock market.
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구본열 ( Bon Yul Koo ) 한국금융공학회 2005 금융공학연구 Vol.4 No.1
본 연구는 Mehra-Prescott(1985)와 Hansen-Jagannathan(1991)의 연구에 기초하여 C-CAPM의 검증방법에 대하여 살펴보고 미국의 금융자료와 독일의 금융자료를 이용하여 이 두 가지의 검증방법과 실증 예를 제시하고 C-CAPM의 적합성에 대하여 살펴보고자 하였다. 구체적으로 먼저 Mehra-Prescott(1985)에 의하여 제시된 주식프레미엄모형의 유도과정을 살펴보고 Mehra-Prescott(1985)의 미국의 금융자료를 이용하여 C-CAPM을 검증하는 방법과 실증 예를 제시하였다. 두 번째는 Hansen-Jagannathan(1991)에 의하여 제시된 H-J 경계의 유도과정을 살펴보고 Mehra-Prescott(1985)의 미국의 금융자료와 Cuthbertson-Nitzsche(2004)의 독일자료에 의하여 C-CAPM을 검증하는 방법과 실증예를 제시하였다. 특히 H-J 경계에 의한 C-CAPM의 검증방법은 두 가지를 제시하였는데 첫째로, 주식시장을 대표하는 시장지수(market index)만을 이용하여 C-CAPM을 검증하는 방법과 실증 예를 제시하고 나아가 보다 일반적인 N자산의 경우에 H-J 경계를 유도하고 이를 통하여 C-CAPM을 검증하는 방법과 실증 예를 제시하였다. We have examined the test methodology on consumption-CAPM whether the C-CAPM fits the time series behavior for stock returns. Two test methodologies which are called Mehra-Prescott`s an equity premium model and Hansen-Jagannathan bounds are discussed. For the first test, the C-CAPM to fit an equity premium model requires a risk averse coefficient of γ = 48.4. But in empirical several papers from U.S. data, γ is thought to be under 2. Thus, the C-CAPM with equity premium of γ = 48.4 is rejected because the C-CAPM does not explain the high equity premium. The second test methodology by the H-J bounds with Germany data shows that the values of γ are from γ = 31 to γ = 34 which are very high coefficients of risk aversion. We find that the performance of the C-CAPM deteriorates in statistical terms. Hence, we find against the C-CAPM. Overall the C-CAPM with power utility is a poor representation of the time-series behavior of asset returns in term of statistical test on γ and cross-equation restrictions. Thus, other functional forms are needed. Epstein-Zin(1989) propose a generalized expected utility functions which separate the degree of risk aversion and the elasticity of intertemporal substitution. Cambell-Cochrane(1999) also propose the curvature of the power utility function which depends on the current level of consumption relative to its habit level of the recent past.
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개방형 근위경골절골술의 3차원 수술계획을 위한 절골해석모델
구본열(Bon-yeol Koo),박병건(Byoung-keon Park),최동권(Dong-kwon Choi),김재정(Jay-jung Kim) (사)한국CDE학회 2013 한국CDE학회 논문집 Vol.18 No.6
Opening wedge high tibial osteotomy (OWHTO) is widely used to treat unicompartmental osteoarthritis of the knee caused by degenerative deformations of the anatomical axes of the leg. However, since it is difficult to accurately plan the surgical degrees of adjustment such as coronal correction angle and tibial posterior slope angle to align the axes before the actual procedure, a number of studies have proposed analytical models to solve this problem. While previous analytical models for OWHTO were limited to specific cases, this study proposes an analytical osteotomy model (AOM) and a surgical planning system (SPS) that are suitable for a wide range of tibial morphologies and tibia conditions. The validity and generality of the model were verified in a total of 60 OWHTO cases. Results of the test showed that, as predicted, surgical degrees are affected quite significantly by tibia shape and slope of the resected surface. Comparison of the required surgical degrees and the degrees estimated from virtual surgery simulations using AOM showed a very small average difference of 0.118˚. SPS, based on AOM, allows the operating surgeon to easily calculate surgical parameters needed to treat a patient.
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Tracking-Pin과 Fluoroscopic G-arm 이미지를 이용한 경골근위부절골술 지원시스템 개발
구본열(Bon-Yeol Koo),김철웅(Cheol-Woong Kim),이순혁(Sun-Hyuk Lee),배지훈(Ji-Hoon Bae),박철우(Cheol-Woo Park),김재정(Jay-Jung Kim) (사)한국CDE학회 2011 한국CDE학회 논문집 Vol.16 No.5
High tibial osteotomy (HTO) is a widely accepted treatment for unicompartmental osteoarthritis of the knee and other lower extremity deformities, particularly for young and active patients. However, it is generally recognized as a technically demanding procedure. Thus the limitations of conventional surgical methods have been reported. Currently, the use of computer-aided surgery (CAS) system for successful surgery was increased. However it has been reported many problems such as expensive equipment, infection or fracture caused by inserting half-pin and delaying surgery. Therefore we propose a novel method which can be tracked by using tracking-pin inserted in arbitrary locations of the femur and tibia, and fluoroscopic images obtained from G-arm of antero-posterior and lateral-medial.
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Tracking-Pin과 Fluoroscopic G-arm 이미지를 이용한 경골근위부절골술 지원시스템 개발
구본열(Bon-Yeol Koo),김철웅(Cheol-Woong Kim),이순혁(Sun-Hyuk Lee),배지훈(Ji-Hoon Bae),박철우(Cheol-Woo Park),김재정(Jay-Jung Kim) (사)한국CDE학회 2012 한국 CAD/CAM 학회 학술발표회 논문집 Vol.2012 No.2
High tibial osteotomy (HTO) is a widely accepted treatment for unicompartmental osteoarthritis of the knee and other lower extremity deformities, particularly for young and active patients. However, it is generally recognized as a technically demanding procedure. Thus the limitations of conventional surgical methods have been reported. Currently, the use of computer-aided surgery (CAS) system for successful surgery was increased. However it has been reported many problems such as expensive equipment, infection or fracture caused by inserting half-pin and delaying surgery. Therefore we propose a novel method which can be tracked by using tracking-pin inserted in arbitrary locations of the femur and tibia, and fluoroscopic images obtained from G-arm of antero-posterior and lateral-medial.
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구본열(Koo Bon-Yeoul),한상현(Han Sang-Hyun) 대한방사선과학회(구 대한방사선기술학회) 2018 방사선기술과학 Vol.41 No.4
When using a mobile X-ray unit, primary radiation creates medical images and secondary radiation scatters in many directions, which reduces image quality and causes exposure to patients, care givers and medical personnel. The purpose of this study was to develop a radiation shielding system for effectively shielding secondary radiation and evaluate its effectiveness. Using a mobile X-ray unit, spatial dose according to presence of human equivalent phantom and spatial dose using the developed shielding device were measured, and the phantom at 80 cm equidistance from center of X-ray was compared with spatial dose according to use of a shield. Measurements were taken at intervals of 10 cm every 30° from the head direction(-90°) to the body direction(+90°). In the spatial dose measurement with and without the phantom, when the human equivalent Phantom was used, the spatial dose was increased by 40% in all directions from 40 cm to 100 cm from the central X-ray, and about 88% of the space dose was reduced when using the developed shields with the phantom. The equidistance dose at 80 cm from the central X-ray was increased by 39% from 5.1±0.26 μ Gy to 7.1±0.15 μGy when the human equivalent phantom was used, and when phantom was used and shielding was used, the spatial dose was reduced by about 90% from 7.1±0.15 μGy to 0.7±0.07 μGy. The spatial dose of natural radiation was measured to be about 0.2±0.04 μGy when using the developed shielding with Phantom at a distance of 1 m or more. It is expected that by using the developed shielding system, it will be possible to effectively reduce secondary radiation dose received in all directions and to ensure safe imaging.
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