Korean Management Science Review (경영과학)

The Korean Operations Research and Management Science Society (한국경영과학회)
권호 표지
DOI QR코드

DOI QR Code

Weight Vector Analysis to Portfolio Performance with Diversification Constraints

비중 상한 제약조건에 따른 포트폴리오 성과에 대한 투자 비중 분석

  • 박경찬 (연세대학교 경영대학 경영학과) ;
  • 김홍선 (연세대학교 경영대학 경영학과) ;
  • 김성문 (연세대학교 경영대학 경영학과)
  • Received : 2016.11.22
  • Accepted : 2016.12.14
  • Published : 2016.12.31
Download PDF
⟨ Previous Next ⟩

Abstract

The maximum weight of single stock in mutual fund is limited by regulations to enforce diversification. Under incomplete information with added constraints on portfolio weights, enhanced performance had been reported in previous researches. We analyze a weight vector to examine the effects of additional constraints on the portfolio's performance by computing the Euclidean distance from the in-sample tangency portfolio, as opposed to previous researches which analyzed ex-post return only. Empirical experiment was performed on Mean-variance and Minimum-variance model with Fama French's 30 industry portfolio and 10 industry portfolio for the last 1,000 months from August 1932 to November 2015. We find that diversification-constrained portfolios have 7% to 26% smaller Euclidean distances with the benchmark portfolio compared to those of unconstrained portfolios and 3% to 11% greater Sharpe Ratio.

Keywords

References

  1. 김영현, 김홍선, 김성문, "추적 신호를 적용한 마코위츠 포트폴리오 선정 모형의 종목 선정 능력 향상에 관한 연구", 한국경영과학회지, 제41권, 제3호(2016), pp.1-21. https://doi.org/10.7737/JKORMS.2016.41.3.001
  2. 김홍선, 정종빈, 김성문, "유클리드 거리를 이용한 최적 포트폴리오 예측 모형", 한국경영과학회 추계학술대회, 2016.
  3. 김홍선, 정종빈, 김성문, "한국 주식시장에서 마코위츠 포트폴리오 선정 모형의 입력 변수의 정확도에 따른 투자 성과 연구", 한국경영과학회지, 제 38권, 제4호(2013), pp.35-52.
  4. 박경찬, 정종빈, 김성문, "지수가중이동평균법과 결합된 마코위츠 포트폴리오 선정 모형 기반 투자 프레임워크 개발 : 글로벌 금융위기 상황 하 한국 주식시장을 중심으로", 한국경영과학회지, 제38권, 제2호(2013), pp.75-93.
  5. 박경찬, 정종빈, 김성문, "불완전 정보 하에서 추가적인 제약조건들이 포트폴리오 선정 모형의성과에 미치는 영향 : 한국 주식시장의 그룹주사례들을 중심으로", 경영과학, 제32권, 제3호 (2015), pp.15-33.
  6. 자본시장과 금융투자업에 관한 법률, 법률 제8635호(2007).
  7. 자본시장과 금융투자업에 관한 법률 시행령 제80조, 대통령령 제26190호(2015).
  8. 최재호, 정종빈, 김성문, "마코위츠 포트폴리오 선정 모형을 기반으로 한 투자 알고리즘 개발 및 성과평가 : 미국 및 홍콩 주식시장을 중심으로", 경영과학, 제30권, 제1호(2013), pp.73-89.
  9. Beber, A. and M. Pagano, "Short-selling Bans Around the World : Evidence from the 2007-09 Crisis," The Journal of Finance, Vol.68, No.1 (2013), pp.343-381. https://doi.org/10.1111/j.1540-6261.2012.01802.x
  10. Chopra, V.K. and W.T. Ziemba, "The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice," Journal of Portfolio Management, Vol.19, No.2(1993), pp.6-11. https://doi.org/10.3905/jpm.1993.409440
  11. DeMiguel, V. and F.J. Nogales, "Portfolio Selection with Robust Estimation," Operations Research, Vol.57, No.3(2009), pp.560-577. https://doi.org/10.1287/opre.1080.0566
  12. DeMiguel, V., L. Garlappi, F.J. Nogales, and R. Uppal, "A Generalized Approach to Portfolio Optimization : Improving Performance by Constraining Portfolio Norms," Management Science, Vol.55, No.5(2009), pp.798-812. https://doi.org/10.1287/mnsc.1080.0986
  13. Elton, E.J., M.J. Gruber, S.J. Brown, and W.N. Geotzmann, Modern Portfolio Theory and Investment Analysis, 9th edition, Wiley, 2014.
  14. Fama, E.F. and K.R. French, "Common Risk Factors in the Returns on Stock and Bonds," Journal of Financial Economics, Vol.33, No.1 (1993), pp.3-56. https://doi.org/10.1016/0304-405X(93)90023-5
  15. Investment Company Act of 1940, Pub. L. No. 112-90. $\S$8, (b) (20.12).
  16. Israelsen, C.A., "Refinement to the Sharpe Ratio and Information Ratio," Journal of Asset Management, Vol.5, No.6(2005), pp.423-427. https://doi.org/10.1057/palgrave.jam.2240158
  17. Jagannathan, R. and T. Ma, "Risk Reduction in Large Portfolios : Why Imposing the Wrong Constraints Helps," The Journal of Finance, Vol.58, No.4(2003), pp.1651-1683. https://doi.org/10.1111/1540-6261.00580
  18. Lauprete, G.J. Portfolio Risk Minimization under Departures from Normality, Ph.D. thesis, Sloan School of Management, Massachusetts Institute of Technology, Cambridge, 2001.
  19. Rambaud, S.C., J.G. Perez, and M.A.S. Granero, "Markowitz's Model with Euclidean Vector Spaces," European Journal of Operational Research, Vol.196(2009), pp.1245-1248. https://doi.org/10.1016/j.ejor.2008.04.021
  20. Roy, D., G. Mitra, and S.P. Chowdhury, "Closeness between Heuristic and Optimum Selections of Portfolio : An Empirical Analysis," GITAM Review of International Business, Vol.2, No.2 (2010), pp.83-103.
  21. Sharpe, W.F., "The Sharpe Ratio," The Journal of Portfolio Management, Vol.21, No.1(1994), pp.49-58. https://doi.org/10.3905/jpm.1994.409501
  22. Unger, A., The Use of Risk Budgets in Portfolio Optimization, 2015 edition, Springer Gabler, 2014.