• 산업공학
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• 제20권2호
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• pp.94-102
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• 2007

Portfolio management deals with decision making on 'when' and 'how' to revise an existing portfolio. In this paper, we show that a classical statistical process control (SPC) chart for normal data, a wellestablished tool in quality engineering, can effectively be used for signaling times for revising a portfolio. Noting that the day-to-day performance of a portfolio may be auto-correlated, we use the exponentially weighted moving average center-line chart to develop an automatic portfolio management procedure. The portfolio management procedure is extensively tested on historical data of equities traded in the Korea Exchange (KRX), the American Stock Exchange (AMEX), and the New York Stock Exchange (NYSE). In comparison with the performances of the KOSPI, XAX, and NYA indices during the same time periods, results from these experiments show that SPC chart-based portfolio revision presents itself a convenient and reliable method for optimally managing portfolios.

• 경영과정보연구
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• 제19권
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• pp.1-15
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• 2006

The concept of portfolio is rarely understood and used in R&D management field. The conventional management technique in selecting R&D projects is scoring each projects and choosing projects based on the scores which are determined during evaluation. As a collection of good stocks is not necessarily a good stock portfolio, a collection of good R&D projects is not always a good R&D project portfolio. In this paper, framework and practical technique for constructing a R&D project portfolio are introduced. This technique can be easily applied in private and plublic R&D institutes.

• 공학교육연구
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• 제15권4호
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• pp.35-40
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• 2012

This study presents an analysis of the current situation (management, approach, adjustment, transportation, and others) of teaching portfolio by examining the teaching portfolio managers (staffs, researchers, teaching assistants, etc.) of 6 universities in the southeast of Korea. The rationale for the study focus is that the existing teaching portfolio either suffers a problem in the transportation, approach, adjustment and/or management or is likely to raise a problem in the future. In order to solve this problem, this study builds a web-based e-teaching portfolio. According to the analysis results, the engineering education system was established in all 6 universities (Ed- note that '6 universities' has already been specified as the study sample). The teaching portfolio was partially digitalized in this system, despite some problems of converting analog data into digital data, which induced difficulties in constructing the overall e-teaching portfolio. Therefore, this study focused on constructing an e-teaching portfolio without developing any additional system by using the existing system positively, and also on determining the appropriate components among the existing teaching portfolio components. Accordingly, in order to convert the analog data into the digital data required for this study, we used a digital camera as the conversion device and converted the teaching portfolio components into those appropriate for the e-teaching portfolio. Finally, we constructed an existing system appropriate for the e-teaching portfolio by using these devices and components.

• 산업공학
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• 제25권2호
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• pp.163-169
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• 2012

This paper proposes an efficient portfolio management methodology named sSPPM with consideration of risk and required return. sSPPM employs Markowitz's portfolio model to select securities and adopts ($s$, $S$) policy that is a well-known technique in the inventory control area to revise the current portfolio. Computational experiments using virtual stock prices generated by monte carlo simulation method as well as real stock ones of KOSPI for recent 4 years are conducted to show the excellence of the portfolio management under ($s$, $S$) policy framework. The result shows that sSPPM is remarkably superior to both 6 or 12 months based periodic portfolio revision method and market (KOSPI index).

• 한국컴퓨터정보학회논문지
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• 제13권5호
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• pp.37-44
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• 2008

최근 교육 분야에서 e-포트폴리오가 각광을 받고 있으며 많은 교육 기관들이 e-포트폴리오 시스템을 연구, 사용 도입하고 있다. e-포트폴리오의 장점에도 불구하고 문제점도 존재한다. 본 논문에서는 기존의 e-포트폴리오 관리시스템의 문제점을 분석하고 이를 극복할 수 있는 새로운 e-포트폴리오 관리시스템을 제안하고 구현한다. 제안한 e-포트폴리오 관리시스템은 다른 사람들과 경쟁하는 구조로 되어 있다. 모든 학생들의 활동은 블로그와 같은 환경에서 추천과 상호 참여를 유발하도록 구현하였다.

• 한국경영과학회지
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• 제34권4호
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• pp.153-163
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• 2009

Unlike the mean-variance approach, the stochastic dominance approach is to form a portfolio that stochastically dominates a predetermined benchmark portfolio such as KOSPI. This study is to search a set of portfolio weights for the first-order stochastic dominance with maximum expected return by managing the constraint set and the objective function separately. A nonlinear programming algorithm was developed and tested with promising results against Korean stock market data sets.

• 경영과학
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• 제25권1호
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• pp.1-9
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• 2008

This paper investigates the R&D project portfolio selection problem. Despite its importance and impact on real world projects, there exist few practical techniques that help construct an non-dominated portfolio for a decision makers satisfaction. One of the difficulties constructing the portfolio is that such project portfolio problem is, in nature, a multi-attribute decision-making problem, which is an NP-hard class problem. This paper investigates the R&D project portfolio selection problem. Despite its importance and impact on real world projects, there exist few practical techniques that help construct an non-dominated portfolio for a decision makers satisfaction. One of the difficulties constructing the portfolio is that such project portfolio problem is, in nature, a multi-attribute decision-making problem, which is an NP-hard class problem. In order to obtain the non-dominated portfolio that a decision maker or a user is satisfied with, we devise a user-interface algorithm, in that the user provides the maximum/minimum input values for each project attribute. Then the system searches the non-dominated portfolio that satisfies all the given constraints if such a portfolio exists. The process that the user adjusts the maximum/minimum values on the basis of the portfolio found continues repeatedly until the user is optimally satisfied with. We illustrate the algorithm proposed, and the computational results show the efficacy of our procedure.

• 품질경영학회지
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• 제31권3호
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• pp.160-171
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• 2003

Criteria for the comparison of quality of asset portfolio management are risk and return. In this paper a method to use structural time-series model to determine an optimal portfolio for the improvement of quality of asset portfolio management is suggested. In traditional mean variance analysis expected return is assumed to be time-invariant. However, it is more realistic to assume that expected return is temporally dynamic and structural time-series model can be used to reflect time-varying nature of return. A data set from an insurance company was used to show validity of suggested method.

• 수산경영론집
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• 제45권1호
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• pp.109-119
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• 2014

This study aimed to examine the applicability of a portfolio approach to the ecosystem-based fisheries management targeting the large purse seine fishery. Most fisheries are targeting multispecies and species are biologically and technically interacted each other. It enables a portfolio approach to be applied to find optimal production of each species through expected returns and risk analyses. Under specific assumptions on the harvest quota by species, efficient risk-return frontiers were generated and they showed a combination of optimal production level. Comparisons between portfolio and actual production provided a useful information for targeting strategy and management. Results also showed the possibility of effective multispecies fisheries management by imposing constraints on each species such as total allowable catch quotas.

• 경영과학
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• 제33권4호
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• pp.51-64
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• 2016

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.