• 한국산학기술학회논문지
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• 제14권2호
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• pp.899-904
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• 2013

본 연구에서는 KOSPI와 KOSDAQ에 상장된 건설 기업을 대상으로 효율적인 포트폴리오를 구성방안을 제시한다. 이를 위해 한국거래소(KRX)에서 구분하는 건설 업종을 DEA(Data Envelopment Analysis) 기법을 이용하여 기업효율성 분석을 실시하고 효율성이 우수한 기업들을 대상으로 마코위츠 모형을 통해 포트폴리오를 구성한다. 본 연구에서 제안한 포트폴리오 구성 방안의 성능 실험을 위해 KOSPI와 KOSDAQ에 상장된 53개의 기업의 주식을 대상으로 5년 (2007~2011) 동안 매해 포트폴리오를 구성하였고 각각의 포트폴리오 수익률을 경영 효율성을 고려하지 않고 구성한 포트폴리오 및 벤치마크 수익률과 비교 분석을 통해 그 우수성을 입증하였다.

• 한국정보통신학회:학술대회논문집
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• 한국해양정보통신학회 2011년도 추계학술대회
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• pp.95-97
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• 2011

학생 포트폴리오는 재학기간동안의 성과를 기록한 기록물로 취업 및 자기 관리를 위해 매우 중요한 데이터이다. 과거에는 포트폴리오가 종이에 기록되어 관리되었으나 물리적인 분실 및 손실에 취약한 단점을 가지고 있다. 이 논문에서는 학생 포트폴리오를 효율적으로 저장하고 관리하기 위한 포트폴리오 프레임워크 설계를 제안한다. 제안한 시스템은 학생이 유,무선을 통하여 자신의 포트폴리오를 저장, 관리할 수 있고 교수 및 산업체에서는 필요 요구사항에 따라 적합한 인재를 검색할 수 있다.

• The Journal of Asian Finance, Economics and Business
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• 제8권12호
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• pp.261-269
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• 2021

This study examines the effect of block diversity on the risk of firms listed on the Korean Stock Exchange between 2010 and 2017. To examine the effect of block diversity on corporate risk, we measure block diversity in terms of a single component, portfolio size, by referring to prior literature. This diversity component accounts for the differences in portfolio size across corporate blocks. In line with existing research on corporate risk, we consider several variables to measure corporate risk: volatility, beta, and idiosyncratic risk. The results show a negative relationship between the size of a block shareholder's portfolio and corporate risk. We also show no difference in the effect of block diversity on the corporate risk between KOSPI and KOSDAQ. This implies that the difference in portfolio size among corporate blocks reduces corporate risk. This may be due to the effect of inter-block monitoring activities in the Korean securities market, which benefits from block diversity. This empirical result supports previous studies that predicted that block diversity would have beneficial influences on firm monitoring in general. This study is significant in that it analyzes the relationship between block diversity and firm risk and provides relevant information to business practitioners and investors.

• 한국경영과학회:학술대회논문집
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• 대한산업공학회/한국경영과학회 2000년도 춘계공동학술대회 논문집
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• pp.65-68
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• 2000

The problem of selecting a portfolio is to find Un investment plan that achieves a desired return while minimizing the risk involved. One stream of algorithms are based upon mixed integer linear programming models and guarantee an integer optimal solution. But these algorithms require too much time to apply to real problems. Another stream of algorithms are fur a near optimal solution and are fast enough. But, these also have a weakness in that the solution generated can't be guaranteed to be integer values. Since it is not a trivial job to tansform the scullion into integer valued one simutaneously maintaining the quality of the solution, they are not easy to apply to real world portfolio selection. To tackle the problem more efficiently, we propose an algorithm which generates a very good integer solution in reasonable amount of time. The algorithm is tested using Korean stock market data to verify its accuracy and efficiency.

• 한국경영과학회지
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• 제34권3호
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• pp.155-163
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• 2009

We develop a probability model to evaluate information security investment portfolios. We assume that organizations install portfolios of information security countermeasures to mitigate the damage such as loss of the transaction being processed, damage of hardware and data, etc. A queueing model and Its expected value analysis are used to derive the lost cost of transactions being processed, the replacement cost of hardwares, and the recovery cost of data. The net present value for each portfolio is derived and organizations can select the optimal information security investment portfolio by comparing portfolios.

• 경영과학
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• 제29권1호
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• pp.57-71
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• 2012

In this paper, we deal with a sector investment strategy by implementing the black-litterman model that incorporates expert evaluation and sector rotation momentum. Expert evaluation analyzes the relative performance of the industry sector compared with the market, while sector rotation momentum reflects the price impact of significant sector anomaly. In addition, we consider the portfolio impact of sector cardinality and weight constraints within the context of mean-variance portfolio optimization. Finally, we demonstrate the empirical viability of the proposed sector investment strategy with KOSPI 200 data.

• 대한산업공학회지
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• 제3권1호
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• pp.55-59
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• 1977

This paper develops a portfolio management game applicable to Korean Stock Market with an emphasis on teaching and training aid. It allows each participant to start out with a certain amount of money and pick his favorable stocks from a list of stocks chosen by instructor. Each participant must make a transaction at each time period and he gets a readout that states his individual performance, i.e., stock lists, cash on hand, net worth, transactions he has made and rank in accordance with his net worth. This game package consists of 10 subprograms and 7 files written with Fortran language for use on the Nova 840 computer and is divided into 3 main categories according to their functions, i.e., book-keeping function, data processing function and information searching function. This package may be used for training portfolio decison makings in the stock market and for comparing various investment methods through hypothetical investments.

• Asia Marketing Journal
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• 제15권4호
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• pp.187-200
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• 2014

The case study of OB shows dramatic market dynamics between leader brand vs. follower brand similar to Kirin vs. Asahi in Japan for two decades. Almost 20yrs ago, the brand status of OB was dramatically fallen because of the environmental pollution of subsidiary company and harsh competition of rivalry brand. But OB made a ground change in its brand strategy. OB departed from the pride in its past to bet on the new. OB decided to vitalize Cass brand through brand portfolio strategy. They deployed 3 phase articulated marketing plans; Phase I, Acquisition of Cass brand through M&A and strategic segmentation/targeting (1993-2005), Phase 2 - Mega Brand Strategy through Line Extension(2006-2009), Phase 3 - Experiential Marketing focused on Young Culture (2010- present). Finally, OB restored not only brand reputation of Cass and other brands but dominant market position in beer market. Now Cass has been growing rapidly in the last 20 years achieving 50% M/S. The three phases shows the typical successful process of brand management and revitalization adopting brand concept management and S-T-P strategy of manufacturing company.

• 응용통계연구
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• 제35권2호
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• pp.229-250
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• 2022

포트폴리오 최적화 이론의 초석인 Markowitz의 평균-분산 포트폴리오 모형 (1952)이 발표된 이후로 많은 분야에서 포트폴리오 최적화에 대한 다양한 연구가 진행되었다. 기존의 평균-분산 포트폴리오 모형은 주로 목적함수나 제약식에 비선형 볼록 형태를 포함한다. 이를 Dantzig의 선형계획법을 적용하여 선형으로 변환시켜 알고리즘 계산 시간을 효율적으로 감소시켰다. 또한 시계열 데이터 특성을 반영하여 시간에 따른 가중치를 고려하는 가우시안 커널 가중치 공분산을 제안하였다. 여기에 일정 부분은 벤치마크에 투자하고 나머지는 포트폴리오 최적화 모형으로 제안된 자산들에 투자하는 퍼터베이션 방법을 적용하여 평균 수익률과 위험도를 목적에 맞게 조절하도록 하였다. 또한, 본 논문에서는 안정적이면서도 적은 자산을 보유하게 포트폴리오를 구성하여 관리비용(management costs)과 거래비용(transaction costs)를 낮출 수 있는 Dantzig-type 퍼터베이션 포트폴리오 모형을 제안하였다. 제안된 모형의 성능은 5개의 실제 데이터 세트로 벤치마크 포트폴리오와 비교 분석하여 평가하였다. 최종적으로 제안한 최적화 모형은 벤치마크보다 높은 기대수익률이나 낮은 위험도를 갖는 포트폴리오를 구성하여 퍼터베이션 목적을 만족하며, 투자한 자산의 수와 시간에 따른 자산 구성 변화를 일정 수준 이하로 조절하는 희소하며 안정적인 결과를 얻었다.

• 아태비즈니스연구
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• 제5권2호
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• pp.37-50
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• 2014

Banking institutions have been facing variety of difficulties but the major cause of serious banking problems relates to lax credit standards for borrowers and counterparties, poor portfolio risk management, or a lack of attention to changes in economic or other circumstances that can lead to deterioration in the credit standing of a bank's counterparties. Although credit risk is an important factor that financial institutions should cope with, but the determinants of measuring credit risk have been studied less. This paper attempts to explore the determinants of credit risk measurement and to identify the factors that contribute to credit risk measurement practices in Indian banks and to compare credit risk measurement practices followed by Indian public and private sector banks, the empirical study has been conducted and views of employees of various banks have been tested using statistical tools. This study explored the phenomenon from different perspectives and revealed that single-name credit risk measurement and portfolio credit risk measurement are the key components that contribute to credit risk measurement in Indian banks. From the descriptive and analytical results, it can be concluded that Indian banks efficiently measure credit risk. The results also indicate that there is a significant difference between the Indian public and private sector banks in single-name credit risk measurement while, these banks do not significantly differ in portfolio credit risk measurement aspect.