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ETF와 블랙리터만 모형을 이용한 인핸스드 인덱스 전략
박기경(Gigyoung Park),이영호(Youngho Lee),서지원(Jiwon Seo) 한국경영과학회 2013 經營 科學 Vol.30 No.3
In this paper, we deal with an enhanced index fund strategy by implementing the exchange trade funds (ETFs) within the context of the Black-Litterman approach. The KOSPI200 index ETF is used to build risk-controlled portfolio that tracks the benchmark index, while the proposed Black-Litterman model mitigates estimation errors in incorporating both active investment views and equilibrium views. First, we construct a Black-Litterman model portfolio with the active market perspective based on the momentum strategy. Then, we update the portfolio with the KOSPI200 index ETF by using the equilibrium return ratio and weighted averages, while devising optimization modeling for improving the information ratio (IR) of the portfolio. Finally, we demonstrate the empirical viability of the proposed enhanced index strategies with KOSPI 200 data.
A New Conceptual Framework for Designing Cloud Computing Business Model
Jiae Park(박지애),Youngho Lee(이영호),Gigyoung Park(박기경) 한국경영과학회 2009 한국경영과학회 학술대회논문집 Vol.2009 No.10
In this paper, we explore the cloud computing system that provides new business opportunities in IT industry. We clarify cloud computing environment and analyze key drivers of cloud service market. Motivated by the distribution process of cloud services, we design a set of cloud service models that pave the way for firm to identify profitable business cases. In addition, we propose revenue model for cloud service models according to services transaction system. Furthermore, we develop a modeling framework for selecting a suitable business model.
RLT Approaches for Solving the Steiner Ring Star Problem
유준상(Junsang Yuh),이영호(Youngho Lee),박기경(Gigyoung Park),정주영(Juyoung Jung) 대한산업공학회 2012 대한산업공학회 춘계학술대회논문집 Vol.2012 No.5
In this paper, we deal with a Steiner Ring Star (SRS) problem arising from the design of survivable telecommunication networks. We develop two mixed integer programming formulations for SRS problem based on Miller-Tucker-Zemlin (MTZ) and Sarin-Sherali-Bhootra (SSB) subtour elimination constraints, and apply the reformulationlinearization technique (RLT) to enhance the LPrelaxation lower bound. By exploiting the ring-star structure of underlying networks, we devise some valid inequalities that tighten the LP relaxation. Computational results demonstrate the effectiveness of the proposed solution procedure.
Steiner Ring Star 문제를 해결하기 위한 새로운 Mixed-Integer Programming Modeling
유준상(Junsang Yuh),이영호(Youngho Lee),박기경(Gigyoung Park) 한국경영과학회 2014 한국경영과학회지 Vol.39 No.1
In this paper, we deal with a Steiner Ring Star (SRS) problem arising from the design of survivable telecommunication networks. We develop two mixed integer programming formulations for the SRS problem by implementing Miller- Tucker-Zemlin (MTZ) and Sarin-Sherali-Bhootra (SSB) subtour elimination constraints, and then apply the reformulationlinearization technique (RLT) to enhance the lower bound obtained by the LP relaxation. By exploiting the ring-star structure of underlying network, we devise some valid inequalities that tighten the LP relaxation. Computational results demonstrate the effectiveness of the proposed solution procedure.
Portfolio Optimization Modeling for Enhanced Index Funds
Hyunjin So(소현진),Youngho Lee(이영호),Gigyoung Park(박기경) 한국경영과학회 2010 한국경영과학회 학술대회논문집 Vol.2010 No.10
Th is paper deals with a portfolio optimization problem for designing enhanced index funds. The problem seeks to find an optimal portfolio maximizing Farinelli-Tibiletti ratio (the reward over the risk of portfolio). We formulate the portfolio optimization problem as a mixed-integer linear programming problem. We suggest a beta strategy of a combination of KOSPI 200 index, ETF and other stocks in Korean market. Computational results are presented for demonstrating the validity of proposed models.
RLT Approaches for Solving the Steiner Ring Star Problem
유준상(Junsang Yuh),이영호(Youngho Lee),박기경(Gigyoung Park),정주영(Juyoung Jung) 한국경영과학회 2012 한국경영과학회 학술대회논문집 Vol.2012 No.5
In this paper, we deal with a Steiner Ring Star (SRS) problem arising from the design of survivable telecommunication networks. We develop two mixed integer programming formulations for SRS problem based on Miller-Tucker-Zemlin (MTZ) and Sarin-Sherali-Bhootra (SSB) subtour elimination constraints, and apply the reformulationlinearization technique (RLT) to enhance the LPrelaxation lower bound. By exploiting the ring-star structure of underlying networks, we devise some valid inequalities that tighten the LP relaxation. Computational results demonstrate the effectiveness of the proposed solution procedure.
이영호(Youngho Lee),송정민(Jungmin Song),박기경(Gigyoung Park),정익균(Ikkyun Jung) 대한산업공학회 2011 대한산업공학회 추계학술대회논문집 Vol.2011 No.11
In this paper, we deal with sector investment strategy by implementing the black-litterman model that expert evaluation and sector rotation momentum. Expert evaluation expresses the relative performance of a sector compared with the market and sector rotation momentum strategy measures actively a significant sector anomaly. In addition, we consider cardinality constraint and weight constraint. Finally, computational results show that the proposed investment strategy provides better performance.