This study explores modern portfolio theory by integrating the Black-Litterman portfolio with time-series clustering, specificially emphasizing K-shape clustering methodology. K-shape clustering enables grouping time-series data effectively, enhancing the ability to plan and manage investments in stock markets when combined with the Black-Litterman portfolio. Based on the patterns of stock markets, the objective is to understand the relationship between past market data and planning future investment strategies through backtesting. Additionally, by examining diverse learning and investment periods, it is identified optimal strategies to boost portfolio returns while efficiently managing associated risks. For comparative analysis, traditional Markowitz portfolio is also assessed in conjunction with clustering techniques utilizing K-Means and K-Means with Dynamic Time Warping. It is suggested that the combination of K-shape and the Black-Litterman model significantly enhances portfolio optimization in the stock market, providing valuable insights for making stable portfolio investment decisions. The achieved sharpe ratio of 0.722 indicates a significantly higher performance when compared to other benchmarks, underlining the effectiveness of the K-shape and Black-Litterman integration in portfolio optimization.

본 연구에서는 글로벌 회사채 포트폴리오의 신용위험(부도확률지표)에 대한 신용스프레드(OAS: 시장지표)의 선행성 여부 및 선행성 정도를 분석하였다. 두 지표를 회귀변수로 하는 시차상관성 분석 및 패널 회귀분석 결과 회사채 신용위험에 대해 시장지표가 유의한 선행성을 갖는 것으로 나타났다. 이는 시장을 통해 신용위험 변화를 실시간 반영하는 시장지표가 해당 회사채의 신용위험 변화를 빠르게 포착하기 때문으로 풀이된다. 일일 데이터로 측정한 시장지표의 신용위험 시그널링 효과는 신용스프레드가 대체로 0.5개월 이후의 부도확률 악화를 가장 잘 설명하는 것으로 나타났다. 시장상황에 따라서도 선행성의 크기가 달리 나타났는데, 시장스트레스 시기일수록 높 은 변동성으로 인해 신용위험 변화에 시장지표가 더 민감하게 반응함으로써 동 시그널링 효과가 더 큰 것으로 분 석되었다. 금융복합성 증가 등으로 시장위험과 신용위험간 경계가 모호해지는 최근 흐름을 감안할 때 시장지표의 활용을 통해 신용리스크관리의 선제적 대응력을 높일 필요성이 더욱 커졌으며, 특히 시그널링 효과가 큰 시장스 트레스기 일수록 시장지표의 활용에 무게를 둘 필요가 있다.

Pair trading is a statistical arbitrage investment strategy. Traditionally, cointegration has been utilized in the pair exploring step to discover a pair with a similar price movement. Recently, the clustering analysis has attracted many researchers' attention, replacing the cointegration method. This study tests a clustering-driven pair trading investment strategy in the Korean stock market. If a pair detected through clustering has a large spread during the spread exploring period, the pair is included in the portfolio for backtesting. The profitability of the clustering-driven pair trading strategies is investigated based on various profitability measures such as the distribution of returns, cumulative returns, profitability by period, and sensitivity analysis on different parameters. The backtesting results show that the pair trading investment strategy is valid in the Korean stock market. More interestingly, the clustering-driven portfolio investments show higher performance compared to benchmarks. Note that the hierarchical clustering shows the best portfolio performance.

This study is exploratory research on a relationship between changes in cultivated area of major crops and farm income by regions. We investigated level of income, volatility of income, and migration of suitable region by climate changes as factors influencing changes in cultivated area. Research processes are as follows. First, we classify the regions where cultivated areas are expanded or reduced through the trends of cultivated area by region and crop during recent 10 years. Second, we compare the changes in income related factors between groups during the same periods. Finally, the results from portfolio analysis show changes in stable income-based optimal crops. From these procedures, we found that the changes in cultivated area are not simply explained by income-related factors. In cases of vegetables, however, we also found that high volatility of income could contribute to reduce cultivated area of the crops. The results from portfolio analysis are not always consistent in all of cases. This means that crop selection can be decided by other factors than stable income.

This study investigates washback effects on the learning portfolio of university students. The washback effects were explored using a questionnaire and interviews with two groups. The results were as follows. First, although learning portfolios have no effects on English learning purpose, other areas (English learning activities, language skills and language knowledge, and perception of assessment system) experienced partial washback effects. Second, there were significant changes and differentiation in each language skill(reading, writing and listening) and significant partial changes in English knowledge (vocabulary). Third, overall, learners preferred the traditional result-oriented assessment system to a process-oriented assessment system like a learning portfolio, despite that two groups have no differences in perception of assessment systems between the process-oriented assessment and product-oriented assessment system. Fourth, learners showed mixed opinions in the interviews: embarrassment from unfamiliar learning portfolio assessments and expectation of novelty. That is, although learners obtained their passive learning attitudes from the pre-existing instruction methods, they appreciated the merits and importance of learning portfolio assessment. Therefore, this study suggests that the washback effects of learning portfolio can be implemented for university students carefully.

최근 글로벌 기업들은 신기술 확보를 위해 사내벤처캐피탈(Corporate Venture Capital, CVC)을 설립하여 기술벤처에 투자하고 있다. 본 연구의 목적은 CVC의 투자 포트폴리오 운영방식 차이가 모기업의 기술혁신 효과에 영향을 주는지 통계적으로 실증 분석하기 위함에 있다. 구체적으로 CVC의 ‘시드(Seed)’, ‘초기(Early)’, ‘확장(Expansion)’, ‘후기(Late)’ 4가지 투자 단계별로 투자된 금액비중에 따라 매년 투자 포트폴리오 성장잠재성과 리스크 수준이 달라진다는 것을 발견하였고, 포트폴리오의 공격적인 투자성향과 외부 파트너십이 모기업 기술 혁신효과에 미치는 영향에 대해 분석하였다. 연구를 위해 글로벌 70개 CVC들이 21년간 투자한 실적 데이터를 음이항 패널 회귀분석(negative binomial panel regression)을 통해 검증하였다. 연구의 결과, 벤처 포트폴리오내 시드/초기 단계 기업들에 투자한 금액이 클수록 기술혁신 효과는 증가하지만, 일정수준 이상부터는 오히려 효과가 감소하는 Inverted U형 관계를 확인하였다. 또한, 각 투자단계별 벤처기업들에 공동 투자한 외부 파트너 수가 포트폴리오 운영성향과 기술혁신 효과 사이의 Inverted U형 관계를 약화시키는 조절효과를 통계적으로 실증하였다. 본 논문은 기업이 투자포트폴리오를 구성할 때 투자 단계와 경과시점을 고려할 경우 투자성과를 극대화할 수 있다는 점에서 기획 담당자, 벤처 투자자, 정책 관리자 등에 시사점을 제공할 수 있다.

자동차 부품기업들은 플랫폼 기반 대량맞춤형 제품개발과 생산을 통해 비용 절감과 아시아 신흥시장 수주 확대를 목표로 하고 있다. 그러나 신흥시장은 수주량이 적고, 변동성이 높아 목표 달성이 어렵다. 본 연구는 부품기업 관점에서 신흥시장의 수주량 변동성 위험을 적정 수준으로 관리하면서, 영업이익을 극대화할 수 있는 제품 포트폴리오 최적화 방법을 제안한다. 기존 제품 포트폴리오 최적화 접근법과의 차별점은 세가지다. 첫째, 플랫폼 기반 대량맞춤형 생산에 의한 비용 절감효과를 반영한다. 둘째, 수주량 변동성을 고려한다. 셋째, 최소 영업이익률 유지라는 강건성 조건을 반영한다. 실무적으로는 신흥시장 개척의 재무 위험을 최소한도로 유지하면서, 점진적으로 시장점유율을 높여가는 동적 제품개발 전략 수립의 토대를 제공한다. 북미, 유럽, 아시아 18개 업체에 납품하는 다국적 부품제조기업의 파워리프트게이트 제품을 대상으로 실증연구를 수행했다.

This study investigates an under-developed research area, sports partnership management, to deepen the understanding of the strategic implications derived from a sports club’s partnerships. A relationship perspective to the portfolio framework is employed by considering the complexity of a partnership as the managerial input variable, and the value impact of the partnership as the output variable. It adopts a longitudinal single case study design, allowing aspects of both exploration and explanation through evidence from multiple sources within the organization. The data collection entails a three-phase empirical research process, collecting data from different sources within a professional sports club. Based on a dataset containing two waves of contract data collected in Phase 2 coupled with interviews in Phase 1 and discussions in Phase 3, this research provides three meaningful applications of a partnership portfolio framework. Theoretically, this research provides insights into enhancing the rigor of the operationalization of a portfolio analysis by paying particular attention to the validity of the portfolio framework and its measurement issues. Practically, the study offers a framework for analyzing its partnership portfolio that provides insights into the current status of the portfolio and ways to build, sustain and/or improve the management of their partnerships.

As companies develop more and more collaborative inter-firm relationships with others on new product development, successful configuration and management of R&D alliance portfolios becomes even more challenging. This paper seeks to understand how different characteristics of a firm’s R&D alliance portfolio influence its ability to acquire external knowledge and how knowledge acquisition in turn influences the firm’s innovation outcomes. The central argument is that a firm’s R&D alliance portfolio strategy entails both knowledge structure benefit and relational benefit. Firms seek to achieve these two different types of benefits by bringing in different desired partners. As a result, a firm’s choice or preferences for different types of R&D alliance partners influence both the scope of external knowledge it is exposed to (knowledge structure benefit) as well as the partner’s willingness to share and the focal firm’s ability to absorb and learn from its partners (relational benefit). While certain strategies may offer firms’ the opportunity to achieve both types of benefits simultaneously, other strategies may force firms to choose one benefit over the other. In order to exploit the value of the acquired knowledge acquired from external partners, firms need to further apply this knowledge to come up with innovative products or services. Literature has further classified new product offerings into radical vs. incremental innovations based on their innovativeness and customer benefit increase. Due to the different characteristics and knowledge requirements for radical vs. incremental innovation, we investigate how different dimensions play differential roles in the development process of these two types of innovation. We empirically tested our hypothesis in the context of pharmaceutical industry with a panel data of 64 firms over 15 years. The statistical results largely support our hypothesis.

In several industries, including the agriculture industry, information and communication technology (ICT) expenditure has been gradually increasing. This study explores the ICT investment of Korean agricultural corporations, and examines the effect of ICT investment on their profitability using an IT portfolio framework. As the organizational capabilities and environment in which ICT is used is critical in examining its impact, the IT-savvy level is used as a moderator. An increase in ICT investment size results in a significantly positive effect on profitability in organizations with higher IT-savvy levels, whereas there is no effect in organizations with lower IT-savvy levels. This study shows the necessity of understanding the structure of ICT investments in the agriculture industry, and suggests the importance of organizational capabilities and environment in making best use of ICT.

Vertical alliances for collaborative new product development in interfirm relationship have been an ongoing theme of strategy and marketing research to cope with fast changing environments, and to continuously innovate in the marketplace. However, no study has yet examind both direct and indirect effects of vertical alliances on new product performance under high technology turbulence. As alliance partners seek to enhance their collaboration and performance, the relational nature of business relationships and structural network positions can influence firm innovativeness and subsequent new product performance. Using survey data of 146 firms collected in Turkey, this study shows that while firms form stronger cooperation under conditions of high technology turbulence, the impact on firm innovativeness and new product performance is contingent upon network positions and information exchange. The findings indicate that indirect effects of vertical alliance portfolio and information exchange enhance new product performance through firm innovativeness. Vertical relationship structures facilitate firm innovativeness with enhanced exploration but may not have a positive direct effect on new product performance. Furthermore, the effect of information exchange on new product performance is contingent upon information exchange which enhances firm innovativeness.

This study aimed to examine the applicability of a portfolio approach to the ecosystem-based fisheries management targeting the large purse seine fishery. Most fisheries are targeting multispecies and species are biologically and technically interacted each other. It enables a portfolio approach to be applied to find optimal production of each species through expected returns and risk analyses. Under specific assumptions on the harvest quota by species, efficient risk-return frontiers were generated and they showed a combination of optimal production level. Comparisons between portfolio and actual production provided a useful information for targeting strategy and management. Results also showed the possibility of effective multispecies fisheries management by imposing constraints on each species such as total allowable catch quotas.

This study explored the effectiveness and second language (L2) writers' perceptions of process-oriented writing, using portfolio-basedinstruction in a secondary English class at general school settings. The participants were 110 high school students enrolled in a private independent school in Gyeonggi. They learned to produce a four-paragraph-English-essay based on the process-oriented writing methodology, keeping a portfolio note for the entire semester. The instructor was a bilingual teacher of English whose native language is Korean. The 17 weeks' records written in the portfolio note were analyzed to portray whether the approaches enhanced overall performance and understandings about essay-writing. Findings revealed that the participants were satisfied with this approach and improved their writing skills using portfolio-based- instruction. For the sake of implementing the new assessment appropriately at public school settings, further studies are suggested to develop how to enhance classroom environment in order to increase the degree of learner-satisfaction in the essay-writing classes.

This study was to inspect how the portfolio assessment in physical education classes affects the learning attitude and the improvement of motor skills. The experimental group of 40 students utilized the portfolio assessment and the control group of 40 students were tested with a traditional assessment. A test paper on learning attitude and a measure on assessment of motor skills was estimated of reliability and validity. After a vaulting horse-rolling instructions were practiced 11 sessions for 4 weeks that the experimental group were tested with portfolio assessment. The control group were tested with traditional assessment. Each group took a posttest about learning attitude and motor skills. The collected data through the posttest were analyzed with t-test. The findings of this study could be listed as follows; First, the learning attitude of experimental group using the portfolio assessment was better than the control group, and the difference was significant statistically. Second, the motor skills of experimental group using the portfolio assessment were better than the control group, and the difference was significant statistically.

식품안전관리는 과학적 근거에 따라 진행되어야 한다. FAO/WHO에서는 식품안전관리 4대 원칙 중 하나로 위해 성 분석을 제시하고 있으며, WTO에서는 위해성 평가에 입각한 경우에 한하여 자체적인 안전기준을 인정하고 있다. 과학적 분석 없이는 식중독 발생의 원인을 추적·제거함으로써 재발을 막는 것 또한 불가능하다. 연구개발은 과학적 근거를 생산하는 중요한 역할을 한다. 정부의 식품안전 연구개발은 11개 정부기관에서 40개가 넘는 사업을 통해 진행되고 있다. 그렇다보니 정확한 통계 자료를 확보하기 어렵다. 본 연구에서는 사업명, 과학 기술표준분류, 키워드라는 3가지 기준에 따라 국가과학기술지식정보서비스(NTIS)에서 제공하는 데이터베이스를 활용해 2008년부터 2010년까지 진행된 식품안전 연구과제를 추출하였다. 분석 결과, 식품의약품안전청과 농림수산식품부 및 농촌 진흥청의 연구사업이 중요한 비중을 차지하고 있다. 위해 성 평가를 위한 기초자료 확보 등을 위해서는 현재보다 1 년 이상 다년도 과제의 비중을 높일 필요가 있다. 또한 SCI 논문을 투고할 수 있는 수준으로 연구의 깊이를 높일 필요도 있다. 노로바이러스 등 생물학적 위해에 대한 연구 비중을 높이는 방향으로 연구 포트폴리오의 조정이 필요하다. 이를 위해서는 식품안전 관련 사업의 통합·집중화 할 필요가 있다. 별다른 차이가 없음에도 부처가 다르다보니 별도로 설정하고 있는 식품안전관리와 농축산물 위생/ 품질관리로 이원화된 과학기술표준분류의 통합도 필요하다.

The traditional portfolio optimization problem is to find an investment plan for securities with reasonable trade-off between the rate of return and the risk The seminal work in this field is the mean-variance model by Markowitz, which is a quadratic prog

The purpose of this study is two-fold. Firstly, it is to examine the perceived effectiveness of using portfolio in the Internet environment. Secondly, it is to explore students' opinions about online English materials and learning experiences. For the purpose, a questionnaire survey complemented with qualitative interviews was conducted. The participants were 211 university students taking the general English courses as a requirement for graduation. The findings show that unlike the expectation, use of portfolio in the internet environment is not effective to teach the general English courses. It has been also found that the students are not satisfied with such courses due to the failure to provide the necessary condition for an effective use of portfolio in the language classes. Based on the findings, the study argues that for the use of portfolio in the internet environment to be effective, it must be practiced in the right condition. Some pedagogical implications are provided on how to incorporate the internet into college EFL classes.

The traditional portfolio optimization problem is to find an investment plan for securities with reasonable trade-off between the rate of return and the risk. The seminal work in this field is the mean-variance model by Markowitz, which is a quadratic programming problem. Since it is now computationally practical to solve the model, a number of alternative models to overcome this complexity have been proposed. In this paper, among the alternatives, we focus on the Mean Absolute Deviation (MAD) model. More specifically, we developed an algorithm to obtain an optimal portfolio from the MAD model. We showed mathematically that the algorithm can solve the problem to optimality. We tested it using the real data from the Korean Stock Market. The results coincide with our expectation that the method can solve a variety of problems in a reasonable computational time.