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http://dx.doi.org/10.7232/JKIIE.2013.39.6.535

Stock Trading Model using Portfolio Optimization and Forecasting Stock Price Movement  

Park, Kanghee (Dept. of Industrial Engineering, Ajou University)
Shin, Hyunjung (Dept. of Industrial Engineering, Ajou University)
Publication Information
Journal of Korean Institute of Industrial Engineers / v.39, no.6, 2013 , pp. 535-545 More about this Journal
Abstract
The goal of stock investment is earning high rate or return with stability. To accomplish this goal, using a portfolio that distributes stocks with high rate of return with less variability and a stock price prediction model with high accuracy is required. In this paper, three methods are suggested to require these conditions. First of all, in portfolio re-balance part, Max-Return and Min-Risk (MRMR) model is suggested to earn the largest rate of return with stability. Secondly, Entering/Leaving Rule (E/L) is suggested to upgrade portfolio when particular stock's rate of return is low. Finally, to use outstanding stock price prediction model, a model based on Semi-Supervised Learning (SSL) which was suggested in last research was applied. The suggested methods were validated and applied on stocks which are listed in KOSPI200 from January 2007 to August 2008.
Keywords
Portfolio Selection; Markowitz Model; Stock Price Prediction; Semi-Supervised Learning(SSL); Machine Learning;
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Times Cited By KSCI : 2  (Citation Analysis)
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