Spatial Dependences in the Stylized Hedge Fund Returns

조정근 성균관대학교 경영연구소 2020 자산운용연구 Vol.8 No.1

We apply an exploratory spatial data analysis framework for integrating the time series of hedge fund returns to its neighborhood, mapping, and local analysis for the feasible spatial modeling. Our approach takes into account option-like features and serial correlations in the stylized hedge funds' risk-return payoffs. By comparing the classic risk factor analysis of hedge fund performance of ordinary least squares regression with spatial autoregressive models, we investigate each model’s respective ability to estimate the stylized risk premiums. The time series analysis of hedge fund returns from the Barclays Hedge indicates that, for some of the sub-investment styles such as equity long-short, equity long-bias, event-driven arbitrage, convertible arbitrage, fixed-income arbitrage, distressed securities, multi-strategies, and commodity trading advisors, the spatial autoregressive modeling may provide consistent estimates of factor risk-premiums by correcting structural spatial dependence through the measure of endogeneity of implied volatilities. We employ spatial specifications including spatial lag (SLM) and spatial error (SEM) models to minimize the overestimation bias in factor risk premiums by exploring some practical implications in an ad hoc screening through the missing spatial autoregressive heterogeneity in the ordinary least squares approach. Both SLM and SEM models are applied to verify a ‘meant-to-be’ spatial dependence to a relatively short time series of a recently failed credit hedge fund previously marketed its vanishingly rare talent of return predictability and consistency.

자주포 유개화 포상 신축 우선순위 선정방법 연구

조정근,김병덕,박승환 한국국방경영분석학회 2018 한국국방경영분석학회지 Vol.44 No.2

After North Korea's attack on Yeonpyeong Island in 2010, the army is promoting new project to build the new gun emplacement in order to immediately carry out the mission while guaranteeing the survival of self-propelled gun. However, it is required to verify the feasibility of the project because it is being carried out collectively without selection the priotity of the project. The need for priority of the new gun emplacement has been raised for the efficient promotion of project. This study is to determine the order of priority of the new gun emplacement by applying multi-criteria decision making techniquies. To do this, we first reviewed the criteria to consider when building the covered gun emplacement, and then classified the types of newly built units based on the review. By using the Fire Effect Analysis Model, it resulted in the operational effects before and after the covered gun emplacement and the generation of the basic data of the analysis. Based on the result of the operational effects, the order of priority was selected using the four methods such as AHP, SAW, ELECTRE, POMETEE. and then the final order of priority was selected by comprehensively evaluating the results. The selection result of the order of priority confirmed that the mission and threat posed by each unit had a great influence on the order of priority decision. The results of this study are expected to be used for prioritization of priorities based on various evaluation data.

Angiolocalizer를 사용하여 얻어진 Linac-Gram을 이용한 조사야 중심의 정확도 평가 (FSRT의 진보된 Quality Assurance)

조정근,박영환,주상규,김영곤,조현상,Cho, Jung-Keun,Park, Young-Hwan,Ju, Sang-Kyu,Kim, Young-Gon,Cho, Hyun-Sang 대한방사선치료학회 1997 大韓放射線治療技術學會誌 Vol.9 No.1

With the advances in radiation therapy technology and equipment, the need for more accurate and safer radiation delivery to the target region has been continuously growing. Stereotactic Radiosurgery(SRS) is a good example of $^{\ast}Accuracy^{\ast}$ but has a substantial risk of causing severe late neurological damages. Fractionated Stereotactic Radiation Therapy(FSRT) is a modification of SRS enabling conventional fractionation with maintaining accuracy using noninvasive and relocatable frame. Verification of mechanical accuracy in FSRT has been done according to the manufacture's recommendations using RLPP, LTLF, and Depth-helmet. In order to reinforce this, we have developed additional novel verification procedure using Linac-grams with the Angiolocalizer attached on the GTC frame, which are then digitized into the planning software(X-Knife) to generate the three dimensional coordinates for cmoparison. This method has been successful in such ways that the anatomical landmarks are identifiable on the Linac-gram films and that the serial comparisons of the stereotactic coordinates of the isocenter are possible with more certainty a along the FSRT course than before.

토론

조정근 언론중재위원회 2006 言論仲裁 Vol.99 No.-

Internal Revenue Code Section 962 Election and Its Cross-Border Tax Compliance Implications

조정근 서울대학교 아시아태평양법연구소 2023 Journal of Korean Law Vol.22 No.1

§ 962 “Election by Individuals to be subject to Tax at Corporate Rates” of the Internal Revenue Code (“IRC” or “Code”) of the United States (“U.S.”) was treated as an “‘obscure little backwater’ area of the law” until the enactment of the Tax Cuts and Jobs Act of 2017 (“TCJA”) reduced the corporate tax rate to 21 percent. As the Global Intangible Low-Taxed Income (“GILTI”) affects the individual U.S. taxpayers who are shareholders in foreign corporations do not get the participation exemption, this § 962 has become very important. From the basic idea of humans being taxed as if they were corporations for some specific purposes, the § 962 election toggles a different tax result under four different IRC sections; it creates less inclusion in gross income, namely § 250 Foreign-Derived Intangible Income (“FDII”) and GILTI, which creates a lower tax rate by invoking the corporate income tax rate under § 11 “Tax Imposed” rather than the human tax rate under § 1 “Tax Imposed”. It also allows human beings to take the indirect foreign tax credit permitted by § 960 “Deemed-Paid Credit for Subpart F Inclusions”. Finally, § 962 obliterates the entirely fabulous § 959 “Exclusion from Gross Income of Previously Taxed Earnings and Profits” in which all dividends from controlled foreign corporations (“CFCs”) are tax-free, and instead substitutes a new rule stipulating that some of the dividends are going to be taxable indeed. From this perspective, an individual U.S. shareholder of a Korean corporate entity can take advantage of § 962 election as her tax can be calculated using the corporate tax rate of 21 percent and applicable deemed-paid foreign tax credits but always with the caveat of additional tax payable in future when actual dividends are paid. This adds complexity but can be a significant timing benefit in the right circumstances since there is a cash-flow advantage from delaying an actual tax payment to an indefinite future year. This article covers what problems the election solves and how it solves them and provides a specific overview of § 962 from the perspective of U.S. shareholders in Korean corporations.

계란 생산비 절감 가능성 분석

조정근 대한양계협회 1987 월간 양계 Vol.19 No.9

수급과 가격의 불안정, 전근대적인 유통체제의 답보, 가공식품 개발의 미진, 생산기반의 취약 등 복합적인 문제점을 안은채 호황과 불황의 반복이라는 악순환 속에서 허덕이고 있는데 본고에서는 양계농가 경영개선을 위한 방안을 제시해 본다.

자궁경부암 강내조사 시 CT를 이용한 CTV에 근거한 치료계획과 ICRU 38에 근거한 치료계획의 비교

조정근,한태종 대한방사선방어학회 2007 방사선방어학회지 Vol.32 No.3

해외진출 지원을 위한 한국형 건설기준 해외보급방안

조정근,Jo, Jeong-Geun 한국건설관리학회 2018 건설관리 : 한국건설관리학회 학회지 Vol.19 No.6

UR 과 중소기업지원의 대응

조정근 대한지방행정공제회 1994 도시문제 Vol.29 No.304

Market Timing with the VKOSPI Refined Composite Multiscale Entropy Indicator

조정근,최우석 한국산업경제학회 2016 산업경제연구 Vol.29 No.5

For the KOSPI200 Index (“Index”), a well-known negative and statistically significant relationship exists between the returns of the Index and VKOSPI, the official model-free implied volatility index. Our primary research purpose is to test VKOSPI as an informative and meaningful trading indicator and to generate some timely trading signals. VKOSPI Refined Composite Multiscale Entropy (“VKOSPI RCMSE” or “RCMSE”) as an alternative complexity indicator was derived from the VKOSPI time series. Both long and short positions triggered by large changes in the RCMSE and the trading strategies are evaluated in terms of their ability to generate alpha through an algorithmic trading platform that will outperform the index benchmark in steady risk aversion regime. There is some empirical evidence for expecting opportunities for positive future excess and risk-adjusted returns for long and short positions triggered by large movements in the RCMSE. This finding is more prominent during the periods of steady risk aversions. Trading strategy is tested on the data period from Jan 2, 2003 to May 29, 2015. The time-varying return-volatility relation is used to implement a set of dynamic asset allocation strategies by analyzing the RCMSE with its corresponding Index. With asymmetric volatility phenomenon in the Korean stock market, selected benchmark-outperforming dynamic asset allocation strategies are developed by processing meaningful signals from RCMSE indicator on the Index Futures.