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REFERENCE LINKING PLATFORM OF KOREA S&T JOURNALS
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Journal of the Korean Operations Research and Management Science Society
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Journal DOI :
The Korean Operations and Management Science Society
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Volume & Issues
Volume 40, Issue 4 - Nov 2015
Volume 40, Issue 3 - Aug 2015
Volume 40, Issue 2 - May 2015
Volume 40, Issue 1 - Feb 2015
Selecting the target year
Development and Evaluation of a Portfolio Selection Model and Investment Algorithm utilizing a Markov Chain in the Foreign Exchange Market
Choi, Jaeho ; Jung, Jongbin ; Kim, Seongmoon ;
Journal of the Korean Operations Research and Management Science Society, volume 40, issue 2, 2015, Pages 1~17
DOI : 10.7737/JKORMS.2015.40.2.001
In this paper, we propose a portfolio selection model utilizing a Markov chain for investing in the foreign exchange market based on market forecasts and exchange rate movement predictions. The proposed model is utilized to compute optimum investment portfolio weights for investing in margin-based markets such as the FX margin market. We further present an objective investment algorithm for applying the proposed model in real-life investments. Empirical performance of the proposed model and investment algorithm is evaluated by conducting an experiment in the FX market consisting of the 7 most traded currency pairs, for a period of 9 years, from the beginning of 2005 to the end of 2013. We compare performance with 1) the Dollar Index, 2) a 1/N Portfolio that invests the equal amount in the N target assets, and 3) the Barclay BTOP FX Index. Performance is compared in terms of cumulated returns and Sharpe ratios. The results suggest that the proposed model outperforms all benchmarks during the period of our experiment, for both performance measures. Even when compared in terms of pre- and post-financial crisis, the proposed model outperformed all other benchmarks, showing that the model based on objective data and mathematical optimization achieves superior performance empirically.
Selection of the Optimal Decision Tree Model Using Grid Search Method : Focusing on the Analysis of the Factors Affecting Job Satisfaction of Workplace Reserve Force Commanders
Jeong, Chulwoo ; Jeong, Won Young ; Shin, David ;
Journal of the Korean Operations Research and Management Science Society, volume 40, issue 2, 2015, Pages 19~29
DOI : 10.7737/JKORMS.2015.40.2.019
The purpose of this study is to suggest the grid search method for selecting an optimal decision tree model. It chooses optimal values for the maximum depth of tree and the minimum number of observations that must exist in a node in order for a split to be attempted. Therefore, the grid search method guarantees building a decision tree model that shows more precise and stable classifying performance. Through empirical analysis using data of job satisfaction of workplace reserve force commanders, we show that the grid search method helps us generate an optimal decision tree model that gives us hints for the improvement direction of labor conditions of Korean workplace reserve force commanders.
An Analysis on the Identification Rate of Detection System Using Non-Homogeneous Discrete Absorbing Markov Chains
Kim, Seong-Woo ; Yoon, Bong-Kyoo ;
Journal of the Korean Operations Research and Management Science Society, volume 40, issue 2, 2015, Pages 31~42
DOI : 10.7737/JKORMS.2015.40.2.031
The purpose of airborne radars is to detect and identify approaching targets as early as possible. If the targets are identified as enemies, detection systems must provide defense systems with information of the targets to counter. Though many previous studies based on the detection theory of the target have shown various ways to derive detection probability of each radar, optimal arrangement of radars for effective detection, and determination of the search pattern, they did not reflect the fact that most military radar sites run multiple radars in order to increase the accuracy of identifications by radars. In this paper, we propose a model to analyze the probability of identification generated by the multiple radars using non-homogeneous absorbing markov chains. Our results are expected to help the military commanders counter the enemy targets effectively by using radars in a way to maximize the identification rate of targets.
A Patent Valuation Method Using Game Theoretic Real Option Approach
Kim, Jinyong ; Kim, Jaehee ; Kim, Sheung-Kown ;
Journal of the Korean Operations Research and Management Science Society, volume 40, issue 2, 2015, Pages 43~61
DOI : 10.7737/JKORMS.2015.40.2.043
The valuation of patents is very important, since technology competitiveness is crucial for firms to maintain global competitiveness. But, the patent valuation is difficult and challenging because of the uncertainty affecting their returns. Hence, we propose a patent valuation method by incorporating game theory into the real option model, which can not only potentially recognizes the effect of uncertainty on patent value, but also consider investment decision in a competitive market, as a game between firms. With the model, we can consider dynamic strategy involving an option of patent leveraging strategies enabling the firm to switch among compete, cooperate, or wait modes under different demand or competitive advantage condition.
A Study of Allocation of Military Airspace and Range Using Goal Programming
Lyu, Hyun-Min ; Lee, Moon-Gul ;
Journal of the Korean Operations Research and Management Science Society, volume 40, issue 2, 2015, Pages 63~77
DOI : 10.7737/JKORMS.2015.40.2.063
The territorial air that our sovereignty is being applied to is divided into several zones and areas. In order to use and manage them effectively, these zones and areas have laws, regulations and rules. The number of airspaces (MOA : Military Operation Area) and Ranges that are used in the military are limited and many airbases are being used for training. Currently the central department manages some, and the rest are independent airbases. Therefore, efficient allocation is not performed and the result occurs where airspaces and ranges are allocated unnecessarily. This is increasing the workload of staff leading to unnecessary re-work. To slove problem, this study proposed models for allocating airspaces and ranges using goal programming with multi-objective functions of minimizing the deviations of the target values.
A Study on the Effects of Service Quality on Customer Satisfaction : Case of the Korean, Chinese and Foreigner
Park, Sang-Kyu ; Kang, Man-Su ;
Journal of the Korean Operations Research and Management Science Society, volume 40, issue 2, 2015, Pages 79~93
DOI : 10.7737/JKORMS.2015.40.2.079
Today, consumer needs are diversified, continually changing and differentiated. Under the market conditions of unlimited competition to satisfy those needs, businesses focus on relationship-building with customers, as well as on quality of service. As interests in the coffee market rise, in these days, coffee culture diffusion and coffee franchise chain increase have been proceeding under the lead of the young people. This study aims to find the effects of service quality on customer (Korean, Chinese and Foreigner) satisfaction using logistic regression. The results of this study show somewhat different characteristics depending on the characteristics of country people. It is expected that this study can be very useful in regard to similar business.