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Gyu-Sik Han(한규식) 한국경영과학회 2020 經營 科學 Vol.37 No.4
Well-known portfolio selection processes often employ either a mean-variance or expected utility framework. This paper deals with a portfolio selection process based on shortfall chance. Onerecent portfolio selection study based on shortfall chance used the nonparametric kernel method with Silverman’s bandwidth choice. This bandwidth choice assumes that the data distribution of interest is Gaussian. However, this bandwidth choice may be ineffective, as numerous empirical studies refer that financial asset returns are not Gaussian. Accordingly, an alternative method is proposed in this paper, based on the bandwidth choice with cross-validation criterion. In order to show the effectiveness of the proposed method, it is applied to simulated data from three non-Gaussian distributions and empirical data from three stock markets. The results of these experiments illustrate that the proposed method performs similarly or better than three conventional portfolio selection methods that respectively rely on Silverman’s bandwidth choice, Sharpe Ratio, and Stutzer’s PPI.
금융위기 이후 예금취급기관 가계대출과 주택가격의 동태적 관계
한규식(Gyu-Sik Han) 강원대학교 경영경제연구소 2020 Asia-Pacific Journal of Business Vol.11 No.4
Purpose - This study aims in analyzing the dynamic relationship between household loans and housing prices according to the characteristics of depository institutions after the financial crisis, identifying the recent trends between them, and making policy suggestions for stabilizing house prices. Design/methodology/approach - The monthly data used in this study are household loans, household loan interest rates, and housing prices ranging from January 2012 to May 2020, and came from ECOS of the Bank of Korea and Liiv-on of Kookmin Bank. This study used vector auto-regression, generalized impulse response function, and forecast error variance decomposition with the data so as to yield analysis results. Findings - The analysis of this study no more shows that the household loan interest rates in both deposit banks and non-bank deposit institutions had statistically significant effects on housing prices. Also, unlike the previous studies, there was statistically significant bi-directional causality between housing prices and household loans in neither deposit banks nor non-bank deposit institutions. Rather, it was found that there is a unidirectional causality from housing prices to household loans in deposit banks, which is considered that housing prices have one-sided effects on household loans due to the overheated housing market after the financial crisis. Research implications or Originality - As a result, Korea s housing market is closely related to deposit banks, and housing prices are acting as more dominant information variables than interest rates or loans under the long-term low interest rate trend. Therefore, in order to stabilize housing prices, the housing supply must be continuously made so that everyone can enjoy housing services equally. In addition, the expansion and reinforcement of the social security net should be realized systematically so as to stop households from being troubled with the housing price decline.
도달실패확률의 커널 확률 추정법을 이용한 2단계 포트폴리오 최적화 문제
한규식(Gyu-Sik Han),임태균(Tae Kyun Lim) 한국경영과학회 2018 韓國經營科學會誌 Vol.43 No.4
A popular portfolio optimization method has been based on mean-variance optimization or expected utility functions during the past decades. This paper studies an alternative and competing method based on shortfall probability, that is, the chance of realizing a return that is equal to or less than a target return value. The recent research on the shortfall-based method used simple nonparametric density estimation with Silverman’s rule-of-thumb. This simple method assumes that an unknown data distribution to estimate belongs to the family of Gaussian distributions. However, because it is well-known that financial assets never follow Gaussian distributions, the rule-of-thumb method is not as effective in terms of density estimation. Therefore, in order to sidestep the assumption, this paper proposes a modified two-stage portfolio optimization method, which shows similar or better performance with two experiments about toy data from three non-Gaussian distributions as well as empirical data from stocks in Korea Exchange than the simple estimation method and the two optimizations method with Sharpe Ratio and Stutzer’s PPI (Portfolio Performance Index).
비용과 일정의 결합확률 분포를 적용한 위험비용추정에 관한 연구
김동규,강성진,한규식,Kim, Dong-Kyu,Kang, Sung-Jin,Han, Gyu-Sik 한국군사과학기술학회 2011 한국군사과학기술학회지 Vol.14 No.5
The risk analysis plays an important role in weapon system acquisition project due to uncertainties in the acquisition process. But in domestic, studies on risk analysis are insufficient and risk cost is not included in acquisition budget in policy. Therefore, in this study, we suggest a method that measures risk or success probability of project using the stochastic model. In particular, in order to calculate the success probability, we apply the joint probability distribution model of cost and schedule that are critical factors influencing the project risk. And also we verify the applicability of this model in Korean defence industry environment through case studies.