산업공학 (IE interfaces)

  • 제25권2호
  • /
  • Pages.163-169
  • /
  • 2012
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  • 1225-0996(pISSN)
  • /
  • 2234-6465(eISSN)
대한산업공학회 (Korean Institute of Industrial Engineers)
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재고통제기법을 이용한 효율적 포트폴리오 관리 방안

A Methodology for Efficient Portfolio Management Using Inventory Control Technique

  • 유재필 (상명대학교 경영공학과) ;
  • 신현준 (상명대학교 경영공학과)
  • Ryu, Jae-Pil (Department of Management Engineering, Sangmyung University) ;
  • Shin, Hyun-Joon (Department of Management Engineering, Sangmyung University)
  • 투고 : 2011.12.06
  • 심사 : 2012.01.11
  • 발행 : 2012.06.01
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초록

This paper proposes an efficient portfolio management methodology named sSPPM with consideration of risk and required return. sSPPM employs Markowitz's portfolio model to select securities and adopts ($s$, $S$) policy that is a well-known technique in the inventory control area to revise the current portfolio. Computational experiments using virtual stock prices generated by monte carlo simulation method as well as real stock ones of KOSPI for recent 4 years are conducted to show the excellence of the portfolio management under ($s$, $S$) policy framework. The result shows that sSPPM is remarkably superior to both 6 or 12 months based periodic portfolio revision method and market (KOSPI index).

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참고문헌

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