Browse > Article
http://dx.doi.org/10.15813/kmr.2021.22.1.002

Multi Strategy Management System Financial Investment Case Study: Focused on E Securities Company Prop Trading  

Lee, Joo Han (Dept. of Investment Information Engineering, Yonsei University)
Park, Tae Hyun (Dept. of Industrial Engineering, Yonsei University)
Oh, Kyung Joo (Dept. of Industrial Engineering, Yonsei University)
Publication Information
Knowledge Management Research / v.22, no.1, 2021 , pp. 21-37 More about this Journal
Abstract
The purpose of this study is to explore financial investment knowledge related to multi-strategy, which is not generally shared. Through case studies, we will share it with the domestic hedge fund market. Since the era of full-fledged private equity hedge funds in Korea opens, many funds are created; however, reality is that there is a lack of diversity in strategies. Initially, it started with a simple stock long/short strategy, and various strategies such as mezzanine and alternative investments are in use but funds using multi-strategy are limited. This study aims to present an empirical application plan for hedge fund management strategies using a case study. It will specifically focus on process of achieving Absolute Return using the Multi Strategy technique actively used in securities firms' Prop Trading. With the results of this study, we intend to contribute to those fund managers and desired researchers who are utilizing multiple strategies in the hedge fund management to pursue Absolute Return and to help them strengthening their financial knowledge and competitiveness.
Keywords
Fintech; Multi strategy; Knowledge management; Hedge funds; Prop trading;
Citations & Related Records
연도 인용수 순위
  • Reference
1 강현모 (2017). 투자자의 손실회피 성향과 해석수준이 금융상품 태도에 미치는 영향. 지식경영연구, 18(1), 49-65.   DOI
2 김류미, 채준 (2015). 절대고유수익률과 미래 주식수익률의 관계에 관한 실증연구. 한국증권학회지, 44(5), 1031-1063.
3 김홍곤, 김소담, 김희웅 (2018). 핀테크 기반 주식투자 최적화 모델 구축 사례 연구: 기관투자자 대상. 지식경영연구, 19(1), 97-114.   DOI
4 이영찬, 이승석 (2008). 퍼지실물옵션을 이용한 RFID 투자가치평가. 지식경영연구, 9(4), 113-125.   DOI
5 이준서 (2016). 한국형 헤지펀드 평가모형 도출 및 성과분석. 한국증권학회지, 45(1), 1-34.
6 Al-Sharkas, A. (2005). The return in hedge-fund strategies. International Journal of Business, 10(3), 217-231.
7 Baxter, P., & Jack, S. (2008). Qualitative case study methodology: Study design and implementation for novice researchers. The Qualitative Report, 13(4), 554-559.
8 Valle, C. A., Meade, N., & Beasley, J. E. (2014). Absolute return portfolios. Omega, 45, 20-41.   DOI
9 Cao, C., Goldie, B. A., Liang, B., & Petrasek, L. (2016). What is the nature of Hedge fund manager skills? Evidence from the risk-arbitrage strategy. Journal of Financial and Quantitative Analysis, 51(3), 929-957.   DOI
10 Creswell, J. W. (2007). Qualitative inquiry and research design: Choosing among five approaches (2nd ed.). Thousand Oaks, CA: Sage.
11 Edelman, D., Fung, W., Hsieh, D., & Naik, N. Y. (2012). Funds of hedge funds: Performance, risk and capital formation 2005 to 2010. Financial Markets and Portfolio Management, 26, 87-108.   DOI
12 Mulvey, J. M., Ural, C., & Zhang, Z. (2007). Improving performance for long-term investors: Wide diversification, leverage, and overlay strategies. Quantitative Finance, 7(2), 175-187.   DOI
13 Zheng, Z., Qiao, Z., Takaishi, T., Stanley, H. E., & Li, B. (2014). Realized volatility and absolute return volatility: A comparison indicating market risk. PLoS ONE, 9(7), e102940.   DOI
14 Nishiyama, N. (2001). One idea of portfolio risk control for absolute return strategy risk adjustments by signals from correlation behavior. Physica A: Statistical Mechanics and its Applications, 301(1/4), 457-472.   DOI
15 Padgett, D. K. (2008). Qualitative methods in social work research. Thousand Oaks, CA: Sage.
16 Yin, R. K. (2003). Case study research: Design and methods. Thousand Oaks, CA: Sage.