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Two-faced property of a market factor in asset pricing and diversification effect
Elsevier Science B.V., Amsterdam. 2017 PHYSICA A Vol.471 No.-
<P><B>Abstract</B></P> <P>This study empirically investigates the test hypothesis that a market factor acting as a representative common factor in the pricing models has a negative influence on constructing a well-diversified portfolio from the Markowitz mean–variance optimization function (MVOF). We use the comparative correlation matrix (C-CM) method to control a single eigenvalue among all eigenvalues included in the sample correlation matrix (S-CM), through the random matrix theory (RMT). In particular, this study observes the effect of the largest eigenvalue that has the property of the market factor. According to the results, the largest eigenvalue has the highest explanatory power on the stock return changes. The C-CM without the largest eigenvalue in the S-CM constructs a more diversified portfolio capable of improving the practical applicability of the MVOF. Moreover, the more diversified portfolio constructed from this C-CM has better out-of-sample performance in the future period. These results support the test hypothesis for the two-faced property of the market factor, defined by the largest eigenvalue.</P> <P><B>Highlights</B></P> <P> <UL> <LI> This study focuses on the largest eigenvalue having the property of the market factor. </LI> <LI> The largest eigenvalue has the highest explanatory power on the stock return changes. </LI> <LI> The largest eigenvalue prevents the construction of a well-diversified portfolio. </LI> <LI> The market factor has the two-faced property in the pricing and the portfolio diversification. </LI> <LI> The devised method assists in constructing a more diversified portfolio with better performance. </LI> </UL> </P>
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이표채 평균-분산 최적화 모형과 KTB 국고채 포트폴리오
이상헌,최건호,기호삼 성균관대학교 경영연구소 2021 자산운용연구 Vol.9 No.1
The purpose of this paper is to extend zero-coupon bond (ZCB) mean-variance portfolio optimization model to coupon bearing bond (CBB) counterpart and perform the empirical analysis for the efficient portfolio of KTB (Korean Treasury Bond). As KTB is issued as the semi-annual coupon bond, it is appropriate for CBB portfolio model to be used. We introduce the no arbitrage condition between CBBs and ZCBs as an additional constraint into an otherwise standard mean-variance bond optimization model. From the empirical analysis of KTB from 2006 to 2020, our finding is four-fold. First, the optimal CBB portfolio is similar to ZCB portfolio. Second, CBB portfolio is slightly different from the ZCB portfolio when considering target duration constraint. Third, the selection of maturities and introduction of strips result in the substitution effect between maturities. Fourth, from the perspective of financial institutions such as bank and insurance companies, some concentrated allocations (corner solutions) and the abrupt changes in weights are needed to be mitigated. The implication of our study is that it is appropriate to use this parsimonious CBB portfolio optimization model for strategic bond portfolio management.
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홍미주(Mi Ju Hong),송현주(Hyun Ju Song) 언어과학회 2015 언어과학연구 Vol.0 No.72
The aim of this study is to comprehend the structural and semantic characteristics of the food product names that are on the market today as well as to examine the sociocultural meaning they convey. Because the language reflects the culture and diet of those who compose a given society, analyzing food product names thus helps to understand the demand and the sociocultural trends that take place in that society. This paper investigates a total of 622 Korean food product brand names of 7 kinds of food products (sauce, noodles, oil, seasoning sauce, meat and fish product, kimchi, rice) marketed by 5 food companies in order to analyze their structural, semantic, and sociocultural features. From a morph-syntactic perspective, a large number of these brands, which are essentially written in Korean alphabet, are made up of many syllables and present a variety of compound structures. From a semantic point of view, most either reflect the flavor and the texture of the product, or designate its place of origin or its locality, or disclose its ingredients, or reveal its use and function. The results of this analysis show a number of relevant sociocultural characteristics. First, Koreans pursue a healthy lifestyle by consuming products that contain safe ingredients and follow traditional recipes. Second, the diversified demand of consumers has led to the diversification of brand names as well as its segmentation. Third, changes in lifestyle such as urbanization, nuclearization of family, and increase in female employment, contribute to a growing tendency towards easy-cooking food. Finally, if among all tastes hot spicy flavor is a favorite, we can consider this as an answer to the stress caused by the recent economic crisis.
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초등학교 다문화 가정 학생의 표현 어휘력 발달 양상에 관한 질적 연구
김재봉 한국 리터러시 학회 2021 리터러시 연구 Vol.12 No.6
This study analyzed qualitatively the transcribed data of the contents of vocabulary guidance classes using context with 3rd grades from multi-cultural families in elementary school. The conclusion is as follows. First, students’word-based sentence expression length showed the tendency as ‘literature>science>art’. The long literature area is presumed to be the closest to the real life of students, and the science area is next because it actually linked what students experienced with expressions. Second, the main type of language by students was descriptive language. On the other hand, teacher used a lot of descriptive and motivational language. Third, the pattern of vocabulary development shown by students is ‘(1) discovery of new meanings based on memorization and memory, (2) consolidation and diversification based on understanding, (3) decontextualization as an empirical connection of understanding’. 이 연구는 교사가 초등학교 다문화 가정 3학생 학생들과 문맥을 활용한 어휘지도수업을 한 내용을 전사한 자료를 질적으로 분석한 것이다. 결론은 다음과 같다. 첫째, 학생들의 단어 기반의 문장 표현 길이는 ‘문학>과학>예술’과 같은 경향성을보여주었다. 문학 영역이 긴 것은 학생들의 실생활과 가장 밀접한 관련이 있기 때문이고 과학 영역이 그 다음인 것은 실제로 학생들이 경험한 것을 표현으로 연결 지었기 때문이라고 추정된다. 둘째, 학생들이 사용한 주된 언어의 유형은 기술 언어였다. 반면에 교사는 기술 언어와 동기부여 언어를 많이 사용했다. 셋째, 학생들이 보인 표현 어휘력 발달의 양상은 ‘(1) 암기와 기억 기반의 새로운 의미 발견, (2) 이해 기반의 통합과 변형, (3) 이해의 경험적 연결로서의 탈맥락화’였다.
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