Browse > Article

A Study on the Strategy for Optimizing Investment Portfolios  

Gu, Seung-Hwan (Department of Industrial and Information Systems Graduate School of Public Policy and Information Technology, Seoul National University of Science and Technology)
Jang, Seong-Yong (Department of Industrial & Information Systems Engineering, Seoul National University of Science and Technology)
Publication Information
IE interfaces / v.23, no.4, 2010 , pp. 300-310 More about this Journal
Abstract
This paper is about an optimal investment portfolio strategy. Financial data of stocks, bonds, and savings from January 2. 2001 through October 30. 2009 were utilized in order to suggest the optimal portfolio strategies. Fundamental analysis and technical analysis were used in stocks-related strategy, whereas passive investment strategy and active investment strategy were used in bond-related strategy. The score is assigned to each stock index according to the suggested strategies and set trading rules are based on the scores. The simulation has been executed about each 29,400-portfolios and we figured out with the simulation result that 26.75% of 7,864 portfolios are more profitable than average stock market profit (22.6%, Annualized). The outcome of this research is summarized in two parts. First, it's the rebalancing strategy of portfolio. The result shows that value-oriented investment(long-term investment) strategy yields much higher than short-term investment strategies of stocks or active investment of bonds. Second, it's about the rebalancing cycle forming the portfolios. The result shows that the rate of return for the portfolio is the best when rebalancing cycle is 12 or 18 months.
Keywords
portfolio; fundamental analysis; technical analysis; active or aggressive bond management strategy; passive bond management strategy;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
연도 인용수 순위
1 Shin, Y. S. (2007), The Prospects for the Economy 2007, Korea Institute of Finance, Seoul, Korea.
2 Park, Y. O. (1993), The Applicability of the Technical Indices on the Korea Stock Market, Thesis, Graduate School of International Business Chung-Ang University.
3 Shin, T. S. (1999), Data Mining for Extracting Optimal Technical Indicators in Korean Stock Market, Proceedings of the Korean Institute of Industrial Engineers Spring Conference.
4 Kim, S. M. and Kim, H. S. (2009), Investment Performance of Markowitz's Portfolio Selection Model in the Korean Stock Market, Korean Operations Research and Management Society, 26(2), 19-35.   과학기술학회마을
5 Lee, B. K. (2002), The Performance Evaluation of System Trading Though Technical Indicator Combination, Thesis, Department of Business Administration Graduate School, Kangwon National University.
6 Lee, J. S., Lee, S. U., Jang, S. C., and Ahn, B. H. (2004), A Study on Technical Trading in Stock Market Using Genetic Algorithms, Proceedings of the Korean Institute of Industrial Engineers Fall Conference.
7 Lee, M. H. (2004), Knowledged-Base Decision Making Support System for Stock Trading Strategies, Thesis, Department of Electrical Engineering Graduate School, Pusan National University.
8 Peter Lynch (2008), Beating the Street, Hrumchulpan, Seoul, Korea.
9 Lee, J. S. (2006), An Empirical Study on the Optimal Number of Stock Holdings and Fund Managers in Mutual Fund Portfolio, Thesis, College of Business Administration The Graduate School of Seoul National University.
10 Oh, H. S. (2004), A Study on the Strategy for Optimizing Bond Portfolios, Thesis, Graduate School of Seoul National University.
11 Choi, H. H. (2006), A Study on International Portfolio Diversification (Korean Investor' Perspective), Thesis, Business Administration Graduate School Kyung Hee University.
12 Jeung, M. L. (2005), A Study on Relation of Risk-Rate of Return of Bond Portfolio Using by Bond Indices, Thesis, Business Administration Graduate School Chungnam National University Taejon, Korea.
13 Jeung, H. J. (2008), An Analysis on the Yield Curves for Active Bond Managements, The Korean Journal of Financial Management, 25(2), 1-31.
14 Kim, Y. S. (2005), Analysis of Excess Return by Formula Trading Using the Technical Analysis Chart, Thesis, Department of Software Engineering Graduate School of Information Science Soongsil University.
15 Ahn, J. H. (2005), A Study on the Search of Technical Indices in Exchange-Traded Fund Investment, Thesis, Graduate School of Korea University.
16 Benjamin Graham (2003), The Intelligent Investor : A Book of Practical Counsel, HarperBusiness Essentials, New York, USA.
17 Shin, J. B. (2005), An Empirical Study of Portfolio Diversification Effect : Korea Stock Market Experiance, Thesis, Graduate School of Industry, Kum-oh National Institute of Technology.
18 Timothy Vick (2005), How to Pick Stocks Like Warren Buffett : Profiting from the Bargain Hunting Strategies of the World's Greatest Value Investor, Businessbooks, Seoul, Korea.
19 Yeo, D. G. and Kim, S. O. (1994), A Study on Technical Analysis at Stock Market, Journal of the Society of Korea Industrial and Systems Engineering, 17(32), 281-296.
20 You, J. S. (2004), A Study on the Efficient Bond Investment Strategies in the Korean Bond Market, Thesis, Major in Financing Engineering Department of Management Graduate School Kyung Hee University.