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REFERENCE LINKING PLATFORM OF KOREA S&T JOURNALS
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Korean Management Science Review
Journal Basic Information
Journal DOI :
The Korean Operations and Management Science Society
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Volume & Issues
Volume 32, Issue 4 - Dec 2015
Volume 32, Issue 3 - Sep 2015
Volume 32, Issue 2 - Jun 2015
Volume 32, Issue 1 - Mar 2015
Selecting the target year
A Study on the Evaluation of an Option on a Reverse Mortgage
Wang, Ping ; Kim, Jipyo ;
Korean Management Science Review, volume 32, issue 1, 2015, Pages 1~13
DOI : 10.7737/KMSR.2015.32.1.001
We estimate the option value embedded in reverse mortgages using the framework of European put option. The reverse mortgage is a very useful financial product for senior citizens who own homes but do not have a cash income while it is a high risk one from lender's perspective. One of benefits of the reverse mortgages is that the debt limit is restricted to the scope of the disposition price of the collateralized house, which is considered a put option to borrowers. The put option is evaluated using Black-Scholes model and a sensitive analysis is performed on variables such as discount rate, volatility, and time period. We confirm that the option value of reverse mortgages increases rapidly as the borrowers live longer than their life expectancy. The results of this study can be used to promote the reverse mortgage program more effectively in order to solve the problem of income shortage of the elderly homeowners.
Effects of Additional Constraints on Performance of Portfolio Selection Models with Incomplete Information : Case Study of Group Stocks in the Korean Stock Market
Park, Kyungchan ; Jung, Jongbin ; Kim, Seongmoon ;
Korean Management Science Review, volume 32, issue 1, 2015, Pages 15~33
DOI : 10.7737/KMSR.2015.32.1.015
Under complete information, introducing additional constraints to a portfolio will have a negative impact on performance. However, real-life investments inevitably involve use of error-prone estimations, such as expected stock returns. In addition to the reality of incomplete data, investments of most Korean domestic equity funds are regulated externally by the government, as well as internally, resulting in limited maximum investment allocation to single stocks and risk free assets. This paper presents an investment framework, which takes such real-life situations into account, based on a newly developed portfolio selection model considering realistic constraints under incomplete information. Additionally, we examined the effects of additional constraints on portfolio's performance under incomplete information, taking the well-known Samsung and SK group stocks as performance benchmarks during the period beginning from the launch of each commercial fund, 2005 and 2007 respectively, up to 2013. The empirical study shows that an investment model, built under incomplete information with additional constraints, outperformed a model built without any constraints, and benchmarks, in terms of rate of return, standard deviation of returns, and Sharpe ratio.
A Study on the Genetic Algorithm of Thread's Connection Method for Intarsia Sweater Weaving
Huh, Sang Moo ; Kim, Woo Je ;
Korean Management Science Review, volume 32, issue 1, 2015, Pages 35~47
DOI : 10.7737/KMSR.2015.32.1.035
The purpose of this paper is to find an optimal weaving connection method of sweater threads while weaving intarsia sweater by the genetic algorithm. The objective function was devised to minimize labor cost and lessen the amount of thread usage. In order to create the parental population group in the genetic algorithm, we developed five thread connection methods. Besides, elite chromosome screening methods for the offspring group was selected both to the whole chromosome thread elite and to a color-coded elite thread chromosome. Commonly used diamond pattern in Intarsia sweater manufacturing was applied to the experiments. The experimental results showed that thread system saved the labor and material costs than woven method under the existing software. When weaving Intarsia sweater in the field, we can apply the developed genetic algorithm to improve productivity of weaving connection method.
A Study on Aircraft-Target Assignment Problem in Consideration of Deconfliction
Lee, Hyuk ; Lee, Young Hoon ; Kim, Sun Hoon ;
Korean Management Science Review, volume 32, issue 1, 2015, Pages 49~63
DOI : 10.7737/KMSR.2015.32.1.049
This paper investigates an aircraft-target assignment problem in consideration of deconfliction. The aircraft-target assignment problem is the problem to assign available aircrafts and weapons to targets that should be attacked, where the objective function is to minimize the total expected damage of aircrafts. Deconfliction is the way of dividing airspaces for aircraft flight to ensure the safety while performing the mission. In this paper, mixed integer programming model is suggested, where it considers deconfliction between aircrafts. However, the suggested MIP model is non-linear and limited to get solution for large size problem. The 2-phase decomposition model is suggested for efficiency and computation, where in the first phase target area is divided into sectors for deconfliction and in the second phase aircrafts and weapons are assigned to given targets for minimizing expected damage of aircraft. The proposed decomposition model shows outperforms the model developed for comparison in the computational experiment.
Deterministic EOQ Model with Partial Backordering when Purchase Dependence Exists
Park, Changkyu ;
Korean Management Science Review, volume 32, issue 1, 2015, Pages 65~82
DOI : 10.7737/KMSR.2015.32.1.065
Purchase dependence is a frequent phenomenon in retail shops and is characterized by the purchase of certain items together due to their unknown interior associations. Although this concept has been significantly examined in the marketing field (e.g. market basket analysis), it has largely remained unaddressed in operations management. Since purchase dependence is an important factor in designing inventory replenishment policies, this paper demonstrates the means of applying it to the partial backordering inventory model. Through computational analyses, this paper compares the performance of inventory models that either consider or ignore purchase dependence; the results demonstrate that inventory models that ignore purchase dependence incur more average cost per unit time than the model that considers purchase dependence, and the impact of purchase dependence can increase in significance as the item set becomes more closely correlated with regard to order demand.
Downsizing and Price Increases in Response to Increasing Input Cost
Kang, Yeong Seon ; Kang, Hyunmo ;
Korean Management Science Review, volume 32, issue 1, 2015, Pages 83~100
DOI : 10.7737/KMSR.2015.32.1.083
We analyze a duopoly competition when two firms face input cost increases. The objective of this study is to determine the firms' optimal strategy between a price increase and downsizing under conditions of a spatially differentiated market and consumers' diminishing utility on the product size. We develop a theoretical model of two competing firms offering homogenous products using the standard Hotelling model to determine how firms' optimal strategies change when facing input cost increases. In this paper, there are two types of duopoly competitions: symmetric and asymmetric. In the symmetric case, the two firms have the same marginal cost and are producing and selling identical products. In the asymmetric case, the two firms have different marginal costs. The results show that the optimal strategy decision depends on the size of the input cost increase and the cost differences between the two firms. We find that when two firms are asymmetric (i.e., they have different marginal costs), the two firms might choose asymmetric pairs of strategies in equilibrium under certain conditions. When the cost differences between the two firms are sufficiently large and the cost increase is sufficiently small, the cost leader chooses price increase, and the cost-disadvantaged firm chooses downsizing in equilibrium. This asymmetric strategy reduces price competition between two firms, and consumers are better off. When the cost differences between the two firms are sufficiently large, downsizing is the dominant strategy for the cost-disadvantaged firm. The cost-disadvantaged firm finds it more profitable to reduce the product size than to increase its price to reduce price competition, because consumers prefer downsizing to price increases. This paper might be a good starting point for further analytical research in this area.
Greenhouse Gas Emission Inventory Calculation of Korean Glass Industry through the Bottom-up Production Process Analysis
Paik, Chunhyun ; Chung, Yongjoo ; Yoo, Jonghoon ;
Korean Management Science Review, volume 32, issue 1, 2015, Pages 101~111
DOI : 10.7737/KMSR.2015.32.1.101
The glass production is classified into an energy intensive industry. This study develops a systematic procedure to derive Greenhouse Gas (GHG) emission inventory for the Korean glass industry. Based on the bottom-up approach in which the energy intensity in each production process is characterized, the EBs (energy balances) of glass production processes are derived. And the GHG emission is calculated for each of four types of glasses-flat glass, container glass, fiber glass, and LCD glass.
The Relationship between Firms' Environmental, Social, Governance Factors and Their Financial Performance : An Empirical Rationale for Creating Shared Value
Min, Jae H. ; Kim, Bumseok ; Ha, Seungyin ;
Korean Management Science Review, volume 32, issue 1, 2015, Pages 113~131
DOI : 10.7737/KMSR.2015.32.1.113
We examine the relationship between firms' environmental (E), social (S), and governance (G) factors, with their financial performance in order to provide an empirical rationale for CSV (creating shared value) pursuing both of firms' profitability and CSR (corporate social responsibility). The financial performance is classified into four aspects such as profitability, stability, efficiency, and cash-flow, and each of these aspects is measured by two financial ratios respectively. To measure the firms' ESG performance, we employ the published performance grades by the Korea Corporate Governance Service for a three year span, from 2011 to 2013. Total of eight regression analyses are performed. The results show that firms' non-financial performance in general has statistically significant positive relationships with return on assets, return on net sales, and cash-flow from operating activities ratio, while it has negative relationships with net working capital ratio, asset turnover ratio, and cash-flow from investing activities ratio. It has no significant relationships with debt ratio and equity turnover ratio. The results imply that firms' non-financial performance may have a negative impact on some financial performance such as liquidity and efficiency in a short term, but it would eventually improve the firms' profitability and cash-generating ability, which provides an empirical evidence for the concept of CSV, and motivates the firms to participate in social contribution activities without sacrificing their profitability for their respective sustainablity management.
Comparative Analysis of Box-office Related Statistics and Diffusion in Korea and US Film Markets
Kim, Taegu ; Hong, Jungsik ;
Korean Management Science Review, volume 32, issue 1, 2015, Pages 133~145
DOI : 10.7737/KMSR.2015.32.1.133
Motion picture industry in Korea has been growing constantly and aroused various kinds of research attention. Particularly, the introduction of official box-office database service brought quantitative studies. However, approaches based on diffusion models have been rarely found with domestic film markets. In addition to the fundamental statistical review on Korea and US film markets, we applied a diffusion model to daily box-office revenue. Unlike conventional preference of Gamma distribution on the film markets, estimation results proved that BMIC can also explain the trend of daily revenue successfully. The comparison with BMIC showed that there is a distinctive difference in diffusion patterns of Korea and US film markets. Generally, word-of-mouth effect appeared more significant in Korea.