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연구개발투자프로젝트의 가치가 상업화 단계에서 이항격자모델을 따를 경우 투자자본의 최적 배분율 결정
김규태 ( Gyutai Kim ) 한국경영공학회 2012 한국경영공학회지 Vol.17 No.3
Strategic investment projects such as R&D projects generally require a huge amount of initial capital over a long period of time. To effectively manage them, project managers need to pay a careful and prudent attention on an economic justification process at the outset, especially focusing on the optimal allocation of the investment resources on them. In this paper, we propose the methodology to determine the optimal ratio of investment capital in the R&D projects. It is established based on the Kelly criterion combined together with real options value theories for the commercial stage of the R&D projects.
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.
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.
3점 견적법으로 사전정보가 주어졌을 경우 품질검사 정보가치 결정 방법론
김규태 ( Kim Gyutai ) 조선대학교 공학기술연구원 2016 공학기술논문지 Vol.9 No.3
When a product quality inspection is performed in a production field, it is inevitable to make a mistake in judging a defective and defect-free products, ultimately causing a defect rate to involve some degree of error. Considering the error rage of the defect rate, this paper is concerned with calculating a value of information obtained in the inspection implementation phase under which a prior is specified with 3-point estimates. These 3-point estimates are provided for the prior information and transformed into the beta prior probability distribution. With these probability information, we will calculate the expected values of perfect and sampling information which requires a Bayesian revision process, and set those to the criterion to identify whether or not the current inspection cost is adequately spent. It is believed that the criterion will play an effective role in improving the efficiency of the inspection activity in the production field and setting up the budget regarding to the activity when used together with other quality control program such an economic control chart and minimum sampling size. For an understanding of the procedure suggested in the paper, we will present a hypothetical short numeral example which was taken from the existing.
엔지지니어링 프로젝트의 가치평가 측면에서 실물옵션가치론에 관한 소고
김규태 ( Kim Gyutai ),김성준 ( Kim Seongjoon ) 한국경영공학회 2018 한국경영공학회지 Vol.23 No.2
Nothing new but understandably integrated context of an real options theory may be hopefully found in this paper. An abundant research on the real options theory has been made since the beginning of the 2000s being conceived that it effectively deals with uncertainty inherent in engineering projects. However, when engineers are faced with the theory at first, they usually have difficulty in understanding it for four major drawbacks observed by many researchers: (1) the unfamiliar financial terminologies, (2) a disconnection between real options and financial option theories, (3) a variety of real options implementation methods sporadically proposed by many a different researcher, and (4) the unmatched interpretation of the real options value with the financial option one. In this paper, each drawback will be explained in an introductory level with hope that the paper will provide for the engineers to grasp a rough but right glimpse of the real options theories.
Three Issues on the Kelly Criterion with Engineering Inverstment Projects
김규태 ( Gyutai Kim ),김창현 ( Changhyun Kim ) 조선대학교 공학기술연구원 2020 공학기술논문지 Vol.13 No.3
This paper is concerned with three issues associated with the applicability of the Kelly criterion to engineering investment projects instead of financial investment ones. It is believed that the criterion involves a high potential of being applied to the economic analysis of the engineering investment projects. From this perspective, this paper addresses three relevant issues: i) a violation of an existing popular stochastic dominance theorem, ii) the Kelly criterion with a time value of money, and iii) its optionality with a binomial lattice option pricing model. The presentation regarding the issues is primarily relied on as part of the author’s research work, with the aid of previously existing literature.
김규태,김윤배 조선대학교 생산기술연구소 2007 生産技術硏究 Vol.29 No.1
실물옵션가치이론은 전통적인 현금할인 기법을 대체한 새로운 투자분석기법으로 최근에 학계와 산업계에서 많은 관심을 갖고 활발하게 연구되고 있다. 이 이론은 신약약품연구개발, 인터넷구축, 공장자동화구축 등 다양한 전략적 투자분석기법에 적용되고 있다. 그러나 실물옵션가치이론에 관심을 갖고 있는 많은 사람들이 실물옵션가치가 경제적으로 어떤 의미를 이해하는 데 상당한 어려움이 존재한다고 불평하고 있다. 이러한 불평에 대한 이유가 여러가지가 있을 수 있으나 그 중 가장 큰 이유는 실물옵션가치를 계산하는 방법이 여러 가지가 있음에 있다고 주장하고 있다. 그러므로 본 논문에서는 이항격자실물옵션가치 이론을 위한 가정하에서 복제포트폴리오방법,위험중립확률방법, 위험보정할인방법, 그리고 기회비용개념을 이용한 방법 등을 기술하고 각 방법들의 특징을 기술하고 있다.