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This study observes the impact of the largest public firm in a country, especially focusing on the case when the largest firm is disproportionately large. Although the size factor of stock returns is widely recognized, the largest firm may provide further value in analyzing stock markets. The authors perform various factor-based analyses to compare the effect of the largest firm with other statistical and fundamental factors of the market. The findings based on the Korean market show that a market with a massive firm, in terms of market capitalization, has a distinct structure, and distinguishing the effect of the largest firm is effective in modeling the market. TOPICS:Security analysis and valuation, emerging markets, analysis of individual factors/risk premia, performance measurement Key Findings ▪ This study observes the impact of the largest public firm in a country, with a focus on the case of the Korean market, where the largest firm is an outlier in terms of market capitalization. ▪ Factor-based analyses are performed to compare the effect of the largest firm, and a comparison between the US and Korean markets is presented. ▪ The findings show that a market with a massive firm, in terms of market capitalization, has a distinct structure, and distinguishing the effect of the largest firm can be effective in modeling the market.

There has been a surge in the number of retail investors in the Korean market since early 2020. Although investment by individuals increased sharply, the trend is not reflected in indirect investments (e.g., mutual funds) because retail investors have preferred to invest directly in stocks. There are several reasons for these patterns that are unique to the Korean market, but the overall trend maybe more relevant to the global market. In this article, the authors discuss the recent movement by retail investors in Korea, its possible causes, its effect on the Korean asset management industry, and how asset management firms can adapt to these changes. Moreover, insights from industry leaders are also presented to share the views of the Korean asset management industry. TOPICS:Security analysis and valuation, emerging markets, wealth management Key Findings ▪ Investment by individuals in the Korean market has surged since early 2020, but retail investors have preferred to invest in stocks as opposed to indirect investments such as mutual funds. ▪ Although these trends are partially due to retail investors obtaining market news and analysis through new media, asset management firms could provide further value to individuals by offering personalized products and services. ▪ This article discusses how asset management firms can adapt to these changes and presents insights from industry leaders to share the views of the Korean asset management industry.

The mean–variance model is widely acknowledged as the foundation of portfolio allocation because it provides a framework for analyzing the trade-off between risk and return for gaining diversification benefits. Despite the well-known shortcomings of the model, it is often the starting point for making asset allocation decisions. In this article, the authors briefly review mean–variance optimization and approaches for resolving its limitations by demonstrating backtest results on asset allocation. Feedback from asset managers is also included to explain how optimization methods are applied in practice. TOPICS:Quantitative methods, statistical methods, portfolio construction, performance measurement Key Findings ▪ Mean–variance optimization provides a framework for analyzing risk–return trade-offs when making asset allocation decisions. ▪ Sensitivity of the mean–variance model can be addressed with robust models, and the model generates candidate asset allocations that are informative in practice. ▪ Feedback from asset managers suggests that mean–variance optimization along with simulation and various robust methods are being applied in practice for asset allocation.

In investment management, especially for automated investment services, it is critical for portfolios to have a manageable number of assets and robust performance. First, portfolios should not cont...

Numerous studies on poly γ-d-glutamicacid (γ-PGA) production have investigated terrestrial renewable sources for reducing production costs, but there are no studies using waste marine resources so far. We aimed to develop a cost-effective production method of γ-d-PGA by Bacillus sp. SJ-10 using green macroalgae (Ulva sp.) as a major substrate without hydrolysis pretreatment. The SJ-10 was shown to not only cause immediate tissue degradation of the Ulva membrane but also grew well as a sole substrate. The γ-d-PGA yield was 6.29 ± 0.34 g/L under optimized conditions via the response surface method, and the produced γ-d-PGA had a thermal decomposition temperature of 310°C and molecular weight of 250-1780 kDa. The calculated cost efficiency for the final yield was 32% when compared with complex media. Therefore, the present study provided a strategy for promoting an ecofriendly and cost-effective means to produce γ-d-PGA via a marine renewable resource.

This is the first study on improving lactobionic acid (LBA) production capacity in

While many individuals make investments to gain financial stability, most individual investors hold under-diversified portfolios that consist of only a few financial assets. Lack of diversification is alarming especially for average individuals because it may result in massive drawdowns in their portfolio returns. In this study, we analyze if it is theoretically feasible to construct fully risk-diversified portfolios even for the small accounts of not-so-rich individuals. In this regard, we formulate an investment size constrained mean-variance portfolio selection problem and investigate the relationship between the investment amount and diversification effect.

In this study, Saccharina japonica (brown seaweed) was fermented in solid state by Monascus purpureus to maximize lovastatin production, the response surface methodology (RSM) was applied to optimize four different fermentation parameters: temperature (25−35 °C), time (10−20 days), glucose (0.1–1.5%) and peptone (0.1–0.7%) concentration. The predicted combination of process parameters yielding the highest rate of lovastatin production (13.40 mg gdfs−1) was obtained at a temperature of 25.64 °C, a fermentation time of 14.49 days, glucose concentration of 1.32% and peptone concentration of 0.20%, with 92.85% validity. Among the studied factors, glucose, incubation time and temperature most strongly influenced lovastatin production. Triplicate experiments in which lovastatin was produced under optimal conditions resulted in a mean yield of 13.98 mg gdfs−1 with 207.84 mg gdfs−1 biomass. Liquid chromatography–tandem mass spectrometry (quadrupole time-of-flight) analysis confirmed the ionic molecular weight of lovastatin (405.26). Lovastatin from the M. purpureus fermented S. japonica exhibited thermal stability, superoxide dismutase activity and a cholesterol esterase inhibition activity that was higher than that of unfermented sample and showed no toxic effect on Caco-2 cell. Thus, S. japonica was a suitable substrate to maximize lovastatin production from M. purpureus at optimum condition for applying in food and pharmaceutical industry.

The earliest documented analytical approach to portfolio selection is Markowitz’s mean–variance analysis, which attempts to find the portfolio with optimal performance by considering the tradeoff between return and risk. The performance of mean–variance analysis has been the subject of many studies and compared to other portfolio construction approaches such as a naive equally-weighted allocation scheme. In recent years, several approaches have been proposed to improve the mean–variance model by reducing the sensitivity of the portfolio selection process in order achieve robust performance. Although robust portfolio optimization has been one of the most researched methods for improving portfolio robustness, the performance of robust portfolios has not been the major focus of studies. In this paper, a comprehensive analysis on robust portfolio performance is presented for equity portfolios constructed in the U.S. market during the period 1980 and 2014, and results confirm the advantage of robust portfolio optimization for controlling uncertainty while efficiently allocating investments.

The aim of this study was to investigate the protective effect of Diospyros lotus leaf extract (DLE) on UVB-induced skin damage in mice. UVB irradiation of mice skin incurred significant damage to mice skin; increased thiobarbituric acid-reactive substance level; decreased superoxide dismutase; and glutathione levels in mice skin tissues. More so, UVB irradiation led to collagen degradation and infiltration of mast cell and neutrophils into mice skin leading to inflammation. However, topical application of DLE significantly reversed these conditions with the result comparable to l-ascorbic acid. Myricitrin, gallic acid, astragalin, myricetin-3-O-glactosside, and myricetin through high-performance liquid chromatography analysis were further determined to be the primary active compounds in DLE. In conclusion, our study showed that DLE has potentials as local therapeutic materials against skin damage by inhibiting oxidative stress and UVB-induced skin damage.

Robust optimization has become a widely implemented approach in investment management for incorporating uncertainty into financial models. The first applications were to asset allocation and equity portfolio construction. Significant advancements in robust portfolio optimization took place since it gained popularity almost two decades ago for improving classical models on portfolio optimization. Recently, studies applying the worst-case framework to bond portfolio construction, currency hedging, and option pricing have appeared in the practitioner-oriented literature. Our focus in this paper is on recent advancements to categorize robust optimization models into asset allocation at the asset class level and portfolio selection at the individual asset level, and we further separate robust portfolio selection approaches specific to each asset class. This organization provides a clear overview on how robust optimization is extensively implemented in investment management.

In quantitative portfolio management, combining optimization with estimation causes concern for asset managers because portfolio problems may be sensitive to deviations in their inputs, but obtaining accurate input estimates is a difficult task. Robust factor models address these concerns using factor models for estimating asset returns and worst-case approaches for gaining stability in portfolio performance. Recent studies on robust factor investing explore methods of incorporating factors into robust portfolio construction. In this article, the authors provide a survey that includes theoretical insight, empirical findings from historical data, and experience from practitioners in formulating and executing robust factor-based investment strategies.

In this paper, we present a price consensus measure for understanding the dynamics among institutional, foreign, and individual investors. The proposed measure inversely estimates investors' daily views on the value of an asset, which incorporates the price consensus of the investor type. The price consensus measure is derived based on a rational expectation asset model and CARA utility function, and its effectiveness is empirically demonstrated by conducting cross-sectional analyses on historical trade data of the Korean stock market. These analyses demonstrate the advantage of using the price consensus measure when compared against modeling only net purchase amounts. Moreover, the findings show that institutional and foreign investors tend to have distinct long-term views while individual investors have views that are less extreme and thus showing characteristics of uninformed trades. Findings on short-term views exhibit information spillover from institutional and foreign investors to individuals.

The present study demonstrated the anti-obesity effects of enzyme-treated celery extract (ECE) in mice on high-fat diet (HFD). In vitro studies showed that ECE has anti-adipogenic properties by inhibiting lipid accumulations in adipose cells. In vivo studies indicated that the administration of ECE markedly prevented HFD-induced body weight gain, food efficiency ratio, and epididymal fat and liver weights. ECE reduced lipid parameters, cardiac risk factor, and atherogenic index in obese mice. ECE prevented a diabetes state by improving adipokines levels, reducing glucose levels, and preventing insulin resistance. Moreover, ECE prevented HFD-induced liver damage by preventing hepatic steatosis and upregulation of liver antioxidant enzymes. The mechanism of ECE was partially investigated to involve the activation of 5' adenosine monophosphate-activated protein kinase and hence the downregulation of CCAAT/enhancer binding protein α and peroxisome proliferator-activated receptor γ by ECE. Our results suggest that ECE could be used as functional food materials for the prevention of obesity. PRACTICAL APPLICATIONS: Apium graveolens is a popular plant with nutritive and medicinal benefits. It contains bioactive compounds such as apiin, apigenin, and luteolin. However, these compounds are rendered insoluble due to their interaction with polysaccharides in the cell wall thus making them less bioavailable. Hydrolyzing them could increase the yield of bioactive compounds in celery. This pilot study demonstrates that pectinase-treated celery extract has anti-obesity effects. The results of this research demonstrate the use of enzymes in improving the biological activities of plant extracts and suggest the use of enzyme-assisted extraction techniques in the industrial production of health functional food from celery.

ObjectiveWe analysed optimal nutrient levels using linear programming (LP) to reveal nutritional shortcomings of Korean dine-out meals and to stress the importance of fruits and dairy products for maintaining a healthy diet.DesignLP models that minimize deviation from recommended nutrient values were formulated to analyse deficiency or excess of nutrients under the best situation.SettingKorean dine-out menus and nutritional information were taken from the nutrient composition tables for dine-out menus developed by the Ministry of Food and Drug Safety and the nutrient database from Computerized Analysis Program. Acceptable macronutrient distribution ranges of macronutrients such as carbohydrate, protein and fat, and recommended intake levels for energy, vitamins, minerals and cholesterol, by sex, were based on the Dietary Reference Intake for Koreans aged 30–49 years.ParticipantsOptimization was performed on selecting the optimal Korean meal combination.ResultsLP optimization models showed that it is unlikely to satisfy all nutrient recommendations with any combination of dine-out menus. Specifically, meal combinations of Korean dine-out menus had high levels of Na and cholesterol and low levels of vitamins and minerals. Four formulations were considered to compare the effects of controlling Na and including fruit and dairy products. The unbalanced diet was resolved with extra consumption of fruits and dairy products.ConclusionsThe best meal combination in dine-out menus, even though the proportion and pairing of menus may be unrealistic, is not healthy, and thus one should consume fruits and dairy products to maintain a balanced diet.

Financial sustainability for individuals has become more important due to the increase in life expectancy. In personalized lifetime financial planning, human capital is critical for incorporating the life-cycle of individuals. This study focuses on human capital modeling based on features such as education level and working industry, and presents how difference in human capital can affect the optimal asset allocation. By analyzing the Korean labor and income panel survey data, fixed effects regression was performed to model human capital and a portfolio model that maximizes utility of total wealth is solved to optimize the lifetime financial plan. The empirical results show that individuals with human capital that are more correlated with stocks are advised to reduce allocation in stocks.

Constructing equity portfolios to control for stock market volatility and unforeseen portfolio losses is critical for meeting investment objectives. Mean–variance analysis (Markowitz 1952, 1959) wa...

Mean-variance analysis is considered the foundation of portfolio selection. Among various attempts to address the limitations of the original model as formulated by Markowitz more than 60 years ago, one simple solution has been to impose constraints on weights in order to reduce efficient portfolios with extreme weights that may be caused by estimation errors in the inputs. Although no short-selling constraints are often considered, the restriction removes opportunities to gain from short-selling and short positions provide various investment opportunities such as long/short strategies. In this paper we propose a portfolio selection model that allows short positions while examining the worst case only for assets that are assigned negative weights. The proposed model constructs portfolios with conservative short positions and the conservative level can be adjusted by the investor.