• Journal of the Korean Institute of Intelligent Systems
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• v.21 no.6
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• pp.761-766
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• 2011

A hedge is a linguistic device to express uncertainties. Hedges are used in a sentence when the writer is uncertain or has doubt about the contents of the sentence. Due to this uncertainty, sentences with hedges are considered to be non-factual. There are many applications which need to determine whether a sentence is factual or not. Detecting hedges has the advantage in information retrieval, and information extraction, and QnA systems, which make use of non-hedge sentences as target to get more accurate results. In this paper, we constructed Korean hedge corpus, and extracted generalized hedge cue-word patterns from the corpus, and then used them in detecting hedges. In our experiments, we achieved 78.6% in F1-measure.

• Journal of the Korean Institute of Landscape Architecture
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• v.25 no.3
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• pp.234-245
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• 1997

This study aims to clarify the preference of the hedge, on focusing the height, density, width of the hedge, which gives limited dwelling space continuity with outer space, promotes the naturality to dwelling environment, and plays an important role as green space in city. For this, it is performed statistical analysis by field survey, by classifying the hedge as planting pattern, and synthesizing the photograph. Therefore, the results of this study are as follows : 1. In the preference of height of the hedge, when only the hedge is composed, 1.5M is preferred, and when the hedge with deciduous tree, with needle-leaf tree, 1.25M is preferred. 2. In the preference of density of the hedge, which are perfect density, in case of the hedge, which are almost density, in case of the needle-leaf tree, are preferred. 3. In the preference of width of the hedge, 0.4M is preferred. 4. In the preferential factors of the hedges, the preference of the hedge is mainly influenced by density. As the result of multiple regression analysis of visual preference as the height, the density, the width, and the regression equation are as follows : Visual Preference = 0.094+0.412(density)+0.370(height)+0.177(width)

• Asia-pacific Journal of Multimedia Services Convergent with Art, Humanities, and Sociology
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• v.7 no.9
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• pp.317-325
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• 2017

In this paper, we try to classify Korean hedge sentences, which are regarded as not important since they express uncertainties or personal assumptions. Through previous researches to English language, we found dependency information of words has been one of important features in hedge classification, but not used in Korean researches. Additionally, we found that word embedding vectors include the word usage information. We assume that the word usage information could somehow represent the dependency information. Therefore, we utilized word embedding and neural networks in hedge sentence classification. We used more than one and half million sentences as word embedding dataset and also manually constructed 12,517-sentence hedge classification dataset obtained from online news. We used SVM and CRF as our baseline systems and the proposed system outperformed SVM by 7.2%p and also CRF by 1.2%p. This indicates that word usage information has positive impacts on Korean hedge classification.

• Journal of Environmental Policy
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• v.12 no.4
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• pp.93-117
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• 2013

We analyze the optimal hedge ratio and hedge effectiveness with different periodic times between spot and futures on EUA and CER based on EU-ETS. The Main finding are as follows. The first, hedging model which considers the time-varying variance is not more accurate than non-time-varying hedging models. The second, optimal hedge ratios are different even though hedge effectiveness is similar for the hedging purpose. The third, hedge effectiveness has uncertainty if hedge period is short. In case of EUA it needs to over 6 weeks and CER needs to over 7 weeks. The fourth, cross hedge with CER futures is not suitable for profit ratios.

• Korean System Dynamics Review
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• v.17 no.3
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• pp.91-120
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• 2016

This study explores hedge fund characteristics that affect hedge fund performance, namely, fund size, fund age, and performance fee. Previous studies have examined relationships between hedge fund characteristics and fund performance using singular and static thinking to report inconsistent findings without providing full understanding of the causal relationships among variables. To identify that comprehensive causal relationships between hedge fund characteristics and hedge fund performance, this research applies the system dynamics perspective, which allowed demonstration of the interactions within the overall system beyond the singular causal relationships between hedge fund characteristics and performance found in existing traditional research. This study contributes to existing literature in the following ways. First, it overcomes the limitations of singular research methodologies by looking at the integrated system of hedge fund characteristics and fund performance from a bird's eye view based on their dynamic feedback relationships. Second, policy suggestions in terms of regulation and education are presented as growth strategies for the sustainable development of the Korean hedge fund market.

• The Korean Journal of Financial Management
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• v.21 no.1
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• pp.231-253
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• 2004

We examine hedge strategies that use Won-dollar futures to hedge the price risk of the Won-dollar exchange rate. We employ the naive hedge model, minimum variance hedge model and bivariate ECT-ARCH(1) model as hedge instruments, and analyze their hedge performances. The sample period covers from January 2, 2001 to December 31, 2002 with sub-samples such as daily, weekly, bi-weekly prices of the Won-dollar futures and cash. The important findings may be summarized as follows. First, there is no significant difference in hedge ratio between the risk minimum variance model and bivariate ECT-ARCH(1) model that controls for the cointegration relationship of the Won-dollar futures and cash. Second, hedge performance of the naive model and minimum variance model with constant hedge ratios is not far behind that of bivariate ECT-ARCH(1) model with time-varying hedge ratios. This results imply that investors are encouraged to use the minimum variance hedge model to hedge Won-dollar exchange rate with Won-dollar futures. Third, hedge performance and effectiveness of each model is also analyzed with respect to hedge period appear to be greater over long than over the short period. This evidence supports the hypothesis that futures prices would have more time to respond to the greater cash price changes over the longer holding period, leading to an improved hedge performance.

• Journal of Korean Institute of Industrial Engineers
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• v.38 no.4
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• pp.254-257
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• 2012

Hedge funds can be established in Korea after the deregulation about setting up private equity funds on September, 2011. Although the variety of asset allocation strategies is the strength of hedge funds, most of Korean hedge funds uses only the equity long/short strategy. Therefore, it is need to introduce other strategies into Korea hedge funds, however all strategies can not be adopted at once because of the infrastructure of Korea financial market. In this paper, we find the optimal introductive order of strategies for Korea hedge fund in view of individual or institutional investors. For this analysis, HFRI data are used for the historical return of each hedge fund strategy and three methods (network visualization, principle component analysis and efficient frontier optimization) are used for finding the optimal order.

• International Commerce and Information Review
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• v.9 no.2
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• pp.65-86
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• 2007

This paper reviews the properties and application methods of widely used types of risk measures, identifies the rationale and business-side effects of hedging, derives the theoretical formula of optimal hedging ratio, and analyzes the various functional aspects of VaR(Value-at-risk) as a risk measure and a hedging tool. Especially this paper focuses on the characteristics of VaR compared with other risk measures in terms of their own principal determinants and identifies its stronger aspects in the dimension of hedging strategy tools. As well, this paper provides the detailed processes deriving the optimal hedge ratios based on the distributional parameters and risk factors. In addition, this paper presents the detailed and substantial processes of estimating the minimum variance hedge ratio and minimum-VaR hedge ratio using the actual data and shows that the minimum variance hedge ratio proves helpful for many cases although it is not appropriate for the non-linear portfolio including the option contracts. We demonstrate the trade-off relationship between the minimum variance hedge strategy and the minimum-VaR hedge strategy in their hedging costs and performances through calculation of the respective VaRs and variances of unhedged and hedged portfolios and the optimal hedge ratio and hedging effectiveness values for the given long position in US Dollar with the short position in Euro.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.9 no.2
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• pp.15-21
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• 2014

The long memory properties of the hedge ratio for stock and futures have not been systematically investigated by the extant literature. To investigate hedge ratio' long memory, this paper employs a data set including KOSPI200 and S&P500. Coakley, Dollery, and Kellard(2008) employ a data set including a stock index and commodities foreign exchange, and suggested the S&P500 to be a fractionally integrated process. This paper firstly estimates hedge ratios with two dynamic models, BEKK(Bollerslev, Engle, Kroner, and Kraft) and diagonal-BEKK, and tests the long memory of hedge ratios with Geweke and Porter-Hudak(1983)(henceforth GPH) and Lo's modified rescaled adjusted range test by Lo(1991). In empirical results, two hedge ratios based on KOSPI200 and S&P500 show considerably significant long memory behaviours. Thus, such results show the hedge ratios to be stationary and strongly reject the random walk hypothesis on hedge ratios, which violates the efficient market hypothesis.

• The Korean Journal of Applied Statistics
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• v.26 no.1
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• pp.187-200
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• 2013

In this paper, we deal with the problem of deciding a hedging volatility for ATM plain options when we hedge those options based on geometric Brownian motion. For this, we study the relation between hedging volatility and hedge profit&loss(P&L) as well as perform Monte Carlo simulations and real data analysis to examine how differently hedge P&L is affected by the selection of hedging volatility. In conclusion, using a relatively low hedging volatility is found to be more favorable for hedge P&L when underlying asset prices are expected to be range bound; however, a relatively high volatility is found to be favorable when underlying asset prices are expected to move on a trend.