경영과학 (Korean Management Science Review)

한국경영과학회 (The Korean Operations Research and Management Science Society)
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기본적 분석방법을 통한 주식 투자 전략에 관한 시뮬레이션 연구

A Simulation Study of the Investment Strategy in Stocks on Fundamental Analysis

  • 구승환 (서울과학기술대학교 IT정책전문대학원 산업정보시스템전공) ;
  • 장성용 (서울과학기술대학교 글로벌융합산업공학과)
  • 투고 : 2012.01.25
  • 심사 : 2012.06.12
  • 발행 : 2012.07.31
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초록

This paper is about the investment strategy in stocks on Fundamental analysis. Financial data of stocks from January 2. 2001 through October 30. 2009 were utilized in order to suggest the investment strategies. Fundamental analysis was used in stocks-related strategy. The portfolios are composed of 3 criteria such as the buying criteria score, exchange cycle and selling conditions. The buying criteria score is determined assigned to each stock index according to the satisfaction condition of 15 parameters selected considering the grue's criteria. The stock buying alternatives has two options with buying stocks over 13 points and over 14 points of buying criteria score. The seven exchange cycles and three selling methods are considered. So total number of portfolios is 42($2{\times}7{\times}3=42$). The simulation has been executed about each 42 portfolios and we figured out with the simulation result that 83.33% of 35 portfolios are more profitable than average stock market profit(203.43%). The outcome of this research is summarized in two parts. First, it's the exchange strategy of portfolio. The result shows that value-oriented investment (long-term investment) strategy yields much higher than short-term investment strategies of stocks. Second, it's about the exchange cycle forming the portfolios. The result shows that the rate of return for the portfolio is the best when exchange cycle is 18 months.

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참고문헌

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