• Journal of the Korea Institute of Information and Communication Engineering
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• v.15 no.3
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• pp.501-509
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• 2011

In this paper, we offer a new strategic Portfolio Model for national IT R&D project selection in Korea. A risk and return (R-R) Portfolio Model was developed using an objectively quantified index on the two axes of risk and return, in order to select a strategic project and allocate resources in compliance with a national IT R&D strategy. We strategize using the R-R Portfolio Model to solve the non-strategy and subjectivity problems of the existing national R&D project selection Model. We also use the quantified evaluation index of the IT technology road map (TRM) and the technology level Survey (TLS) for the subjectivity of project selection, and try to discover the weights using the analytic hierarchy process (AHP). In addition, we intend to maximize the chance for a successful national IT R&D project, by selecting a strategic Portfolio project and balancing the allocation of resources effectively and objectively.

• Journal of the Korea Convergence Society
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• v.10 no.9
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• pp.199-207
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• 2019

This study aims to analyze the profitability of Robo-Advisors portfolio combined with the analysts' forecasts on the Korean stock prices. Sample stocks are 8 blue-chips and sample period is from 2003 to 2019. Robo-Advisor portfolio was suggested using the Black-Litterman model combined with the analysts' forecasts and its profitability was analyzed. Empirical result showed the suggested Robo-Advisor algorithm produced 1% annual excess return more than that of the benchmark. The study documented that the analysts' forecasts had an economic value when applied in the Robo-Advisor portfolio despite the prevalent blames from investors. The profitability on small or medium-sized stocks will need to be analyzed in the Robo-Advisor context because their information is relatively less known to investors and as such is expected to be strongly influenced by the analysts' forecasts.

• Proceedings of the KAIS Fall Conference
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• 2006.05a
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• pp.617-620
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• 2006

본 연구에서는 효율적 포트폴리오의 선택을 주어진 수준의 기대수익률을 달성하면서 위험을 최소화하는 것으로 정의한다. 이를 위해서는 주식시장에 자산을 투자하고자 하는 투자자가 기대수익률과 위험간의 이상적인 절충을 고려해야 한다. 이 때 사용되는 포트폴리오 최적화 모형은 그 대상이 되는 주식의 종류가 많아지면 최적해를 구하는 것이 쉽지 않다. 그러므로 실제크기의 문제를 짧은 시간에 풀 수 있는 휴리스틱 알고리듬이 필요하다. 본 연구에서는 실제 주식시장과 관련된 특성을 제약으로 하고 평균 회수율 이하의 절대편하의 평균을 위험함수로 사용하는 포트폴리오 최적화 모형을 분석하고 현실적인 크기의 문제에 대해서 효율적인 해를 도출할 수 있는 해법을 제시하고자 한다.

• Journal of Korean Home Economics Education Association
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• v.24 no.3
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• pp.225-239
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• 2012

The purpose of this study was to develope and implement a teaching learning process plan applied with portfolio assessment for 'housing and residential environment' section of Technology Home Economics in a middle school. The teaching learning process plan consisting of 8-session lessons had been developed and implemented according to the ADDIE model mixed with 6 portfolio-development stages. In the development stage, 19 activity materials(5 reading texts, 6 individual and 2 group activity sheets, and 3 subject activity sheets) and 27 teaching learning materials(8 sets of pictures & photos and 19 moving pictures) were developed for the 8-session lessons. The plans applied to 2 classes 74 students in the third grade of K middle school in Gyeonggi-do during May 16th-17th of June, 2011. The results from survey and portfolio showed that the 8-session lessons had overall achieved the general goal of the teaching learning process plan applied with portfolio assessment, which was to stimulate students in the class through working with portfolio elements of activity materials. The students evaluated the whole process of 8 lessons were adequate and helpful. Students also reported they highly accomplished the goal of each lesson and actively participated in the lesson. The 3 subject activity sheets as well as other materials in the portfolio were excellently done with the average of over 90% points. These results supported that a teaching learning process plan applied with portfolio assessment was a combined lesson with evaluation and also an alternative to qualitative evaluation over the whole units. This plan might apply to other parts of housing as well as various other areas.

• The Korean Journal of Financial Management
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• v.26 no.3
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• pp.139-169
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• 2009

This paper introduces the modified VaR which takes into account the asymmetry and fat-tails of financial asset distribution, and then compares its out-of-sample forecast performance with traditional VaR model such as historical simulation model and Riskmetrics. The empirical tests using stock indices of 6 countries showed that the modified VaR has the best forecast accuracy. At the test of independence, Riskmetrics and GARCH model showed best performances, but the independence was not rejected for the modified VaR. The Monte Carlo simulation using skew t distribution again proved the best forecast performance of the modified VaR. One of many advantages of the modified VaR is that it is appropriate for measuring VaR of the portfolio, because it can reflect not only the linear relationship but also the nonlinear relationship between individual assets of the portfolio through coskewness and cokurtosis. The empirical analysis about decomposing VaR of the portfolio of 6 stock indices confirmed that the component VaR is very useful for the re-allocation of component assets to achieve higher Sharpe ratio and the active risk management.

• The Korean Journal of Financial Studies
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• v.10 no.1
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• pp.145-170
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• 2004

Roll의 비판 이후 실행된 많은 국내외 연구결과 CAPM으로 설명이 되지 않는 이례 현상(Anomaly)들이 발견되고 있다. 이례 현상들은 다 요인 모형(multi-factor model)과 같은 추가 위험 요인이론, 표본차이이론, 과잉반응 및 특성이론들로 설명되고 있고 이러한 이례 현상들은 재무관리의 지속적인 관심사인 미래의 주가수익률 예측과 밀접한 관계에 있다. 본 연구에서는 이례 현상들이 주가수익률에 미치는 영향을 알아보기 써하여 Haugen and Baker(1996)의 다 요인 및 수익률 추정 방법론을 국내 증권시장에 적용한 다 요인 모형과 $\beta$, 기업규모, PBR, 과거 1년 주가 수익률에 의한 단일 요인 모형을 이용하여 개별 기업의 포트폴리오 구성기준을 결정하고 이 기준에 의거하여 월별로 편입 주식들을 재조정한 포트폴리오들의 년간 누적 실제수익률 예측력을 비교 분석한 결과 다음과 같은 결과를 얻었다. 첫째, 다 요인모형의 경우 기대수익률이 높은 주식으로 구성된 포트폴리오가 기대수익률이 낮은 주식으로 구성된 포트폴리오보다 실제 년간 수익률이 높게 나타난 반면, $\beta$, 기업규모, PBR, 과거 1년 주가 수익률의 요인에 의한 단일 모형을 적용한 포트폴리오는 이들 순위와 실제 수익률간에는 상관성이 높지 않게 나타나 다요인 모형이 주가 수익률 예측력에 있어서 단일요인 모형보다 우수한 것으로 판단된다. 단일모형 중에서는 PBR을 이용한 포트폴리오가 $\beta$ 단일모형보다 좋은 주가수익률 예측력을 보여 주었다. 둘째, 주가 수익률을 결정하는 유의성있는 요인들은 당기순이익의 증감, 당해연도의 당기순이익의 분포, 자산증가율, 매매 유동성, 매출액 변동, 거래량 추세, 기업크기(시가총액), 과거 1개월간의 주가수익률, 자기자본증가율등으로 나타났다.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.12 no.9
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• pp.3849-3855
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• 2011

This study presents an efficient strategy for selecting portfolio by evaluating growth potential of a corporation based on dividend. Through preliminary experiments, we extract 4 categories to sort out prospective stocks and develop a scoring table including criteria and formulas used to calculate scores for each category. In order to show the effectiveness of the portfolio selected by scoring table, we constructed 3 portfolios for every 4 years (2007-2010) out of 927 listed companies in KRX and proved that our portfolios are superior to market portfolio in terms of rate of return.

• Management & Information Systems Review
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• v.37 no.1
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• pp.41-53
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• 2018

This study validates the trading rules based market anomalies and technical analysis in the Korean stock market. For the analysis, we built decile portfolios on the basis of corporate characteristics factors that clearly demonstrate specific patterns of stock returns including the firm size, book-to-market equity, and accruals. This portfolio was used to develop a portfolio based on the moving average trading strategy which was used for popular technical analysis tools, and then that was evaluated using the Sharpe ratio. We also created a zero-cost portfolio to identify the profitability and success rate of the moving average trading strategy. We lastly sought to ensure a more robust evaluation by calculating the Sortino ratio of the portfolio based on the moving average trading strategy with various lags. Key findings from this validation are as follows. First, a smaller firm size, a higher book-to-market equity, and lower accruals led to larger average returns. Second, the risk-adjusted performance of the moving average trading strategy was the highest in terms of the firm size, followed by book-to-market equity and accruals. Third, the returns of the zero-cost portfolios all had a positive value, with its overall success rate hovering over 68.8%, demonstrating the successfulness of the moving average trading strategy. Fourth, various evaluations revealed the economic usefulness of our trading strategy that used market anomalies and technical analysis.

• The Korean Journal of Financial Management
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• v.14 no.2
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• pp.1-19
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• 1997

본 연구는 주가지수옵션의 도입이 주식시장의 주가변동성 및 정보적 시장효율성에 미치는 영향에 대해 실증적으로 분석하였다. 주가지수옵션의 도입이 주식시장의 변동성에 어떠한 영향을 미치는 가를 보기위해 각국별로 동일한 가중치를 둔(equally weighted) 국제 포트폴리오를 구성함으로써 주가지수옵션 도입이라는 요인외의 다른 요인들을 통제하였다. 이 포트폴리오를 이용한 분석결과에 의하면, 주가지수옵션의 거래는 단기간에 걸쳐서는 주식시장의 주가변동성에 별 영향을 주지 않았으나 다소 긴 기간인 1년 정도의 기간에서는 주가변동성을 증가시켰다. 또한 본 연구는 GARCH 형태의 모델을 이용하여 주가지수옵션시장의 개설이후로 주식시장의 시간에 따라 변하는 주가변동성(time-varying volatility)에 어떤 구조적 변화가 있었느냐를 분석함으로써, 주가지수옵션의 거래가 정보적 시장효율성(informational market efficiency)에 어떠한 영향을 미치는가를 알아보았다. 우리의 실증분석 결과는 지수옵션 도입 이후로 정보의 이산적 패킷(discrete packets)인 여러 변동성 충격(volatility shock)이 주식시장에 더욱 더 빨리 흡수된다는 것을 보여주었다. 이는 주가지수옵션의 도입은 주식시장의 효율성 증대에 도움을 준다는 것을 의미한다.

• The Journal of Information Technology
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• v.3 no.3
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• pp.89-102
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• 2000

The purposes of this research are to analyze information contents of net book value and earnings. If investors use Net book value and earnings to their investment strategies, These informations are positively to be correlated with future corporate value. Research methodologies applied are theoretical and empirical ones. Results of the study are as follows: First, as investors form their investment portfolios, PBR and ROE are good indicator in finding out undervalued and overvalued corporation. Second, present earnings are differently reflected in future stock prices. Price-earnings correlation of undervalued corporations are higher than that of overvalued ones. Results of this study imply that Investors can utilize net book value and earnings to their investment strategies.