• Title/Summary/Keyword: Portfolio Management

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An Analysis of Consumer Portfolio according to Family Life Cycle (가정생활주기에 따른 소비자포트폴리오 분석)

  • 최현자
    • Journal of Families and Better Life
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    • v.16 no.3
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    • pp.111-122
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    • 1998
  • This study analyzed the copmposition of household portfolio over the family life cycle using a survey dta of 1996 Korea Household Panel Study. The finindings showed that over th family life cycle households diversified their portfolio to meet their financial needs. In the aged stage however households were more likely to have liquidity problem than the households in th other stages due to the estate concentrated portfoplio composition.

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Methodology Design for Service Encounter-based Customer Experience Management Portfolio Analysis: Focus on the Case of Coway's Air Cleaner (서비스접점 기반의 고객경험관리 포트폴리오 분석을 위한 방법론 설계: 코웨이의 공기청정기 사례를 중심으로)

  • Geun Wan Park;Seung Jun Hwang;Eui Jong Hwang
    • Journal of Information Technology Services
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    • v.22 no.5
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    • pp.17-30
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    • 2023
  • A company's sustainable growth is a very important goal, and for this purpose, the company's business model is changing into a convergence of products and services. The purpose of PS-Offering is to maintain a long-term relationship with customers, and customer experience management is necessary for this. This study presents a service design methodology that can support customer experience management of the PS-Offering business model. The experience management portfolio analysis methodology consists of four steps: 1. Deriving service encounter through customer journey maps; 2. Identify the service structure of each service encounter in three forms (FFC, FSC, FSE). 3. Analyze the customer's emotional variables, that is, customer experience, at each service encounter, Finally, 4. After plotting the level of customer experience at the service encounter, the analysis is conducted with a customer experience management portfolio that seeks future strategic plans for this. The methodology presented in this study will help in the service design of the service encounter unit centered on customer experience. And it will improve the financial performance of the company by raising the service level of the business model.

A Study on the Optimization Model for the Project Portfolio Manpower Assignment Using Genetic Algorithm (유전자 알고리즘을 이용한 프로젝트 포트폴리오 투입인력 최적화 모델에 관한 연구)

  • Kim, Dong-Wook;Lee, Won-Young
    • Journal of Information Technology Services
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    • v.17 no.4
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    • pp.101-117
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    • 2018
  • Companies are responding appropriately to the rapidly changing business environment and striving to lead those changes. As part of that, we are meeting our strategic goals through IT projects, which increase the number of simultaneous projects and the importance of project portfolio management for successful project execution. It also strives for efficient deployment of human resources that have the greatest impact on project portfolio management. In the early stages of project portfolio management, it is very important to establish a reasonable manpower plan and allocate performance personnel. This problem is a problem that can not be solved by linear programming because it is calculated through the standard deviation of the input ratio of professional manpower considering the uniformity of load allocated to the input development manpower and the importance of each project. In this study, genetic algorithm, one of the heuristic methods, was applied to solve this problem. As the objective function, we used the proper input ratio of projects, the input rate of specialist manpower for important projects, and the equal load of workload by manpower. Constraints were not able to input duplicate manpower, Was used as a condition. We also developed a program for efficient application of genetic algorithms and confirmed the execution results. In addition, the parameters of the genetic algorithm were variously changed and repeated test results were selected through the independent sample t test to select optimal parameters, and the improvement effect of about 31.2% was confirmed.

Selection Model of System Trading Strategies using SVM (SVM을 이용한 시스템트레이딩전략의 선택모형)

  • Park, Sungcheol;Kim, Sun Woong;Choi, Heung Sik
    • Journal of Intelligence and Information Systems
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    • v.20 no.2
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    • pp.59-71
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    • 2014
  • System trading is becoming more popular among Korean traders recently. System traders use automatic order systems based on the system generated buy and sell signals. These signals are generated from the predetermined entry and exit rules that were coded by system traders. Most researches on system trading have focused on designing profitable entry and exit rules using technical indicators. However, market conditions, strategy characteristics, and money management also have influences on the profitability of the system trading. Unexpected price deviations from the predetermined trading rules can incur large losses to system traders. Therefore, most professional traders use strategy portfolios rather than only one strategy. Building a good strategy portfolio is important because trading performance depends on strategy portfolios. Despite of the importance of designing strategy portfolio, rule of thumb methods have been used to select trading strategies. In this study, we propose a SVM-based strategy portfolio management system. SVM were introduced by Vapnik and is known to be effective for data mining area. It can build good portfolios within a very short period of time. Since SVM minimizes structural risks, it is best suitable for the futures trading market in which prices do not move exactly the same as the past. Our system trading strategies include moving-average cross system, MACD cross system, trend-following system, buy dips and sell rallies system, DMI system, Keltner channel system, Bollinger Bands system, and Fibonacci system. These strategies are well known and frequently being used by many professional traders. We program these strategies for generating automated system signals for entry and exit. We propose SVM-based strategies selection system and portfolio construction and order routing system. Strategies selection system is a portfolio training system. It generates training data and makes SVM model using optimal portfolio. We make $m{\times}n$ data matrix by dividing KOSPI 200 index futures data with a same period. Optimal strategy portfolio is derived from analyzing each strategy performance. SVM model is generated based on this data and optimal strategy portfolio. We use 80% of the data for training and the remaining 20% is used for testing the strategy. For training, we select two strategies which show the highest profit in the next day. Selection method 1 selects two strategies and method 2 selects maximum two strategies which show profit more than 0.1 point. We use one-against-all method which has fast processing time. We analyse the daily data of KOSPI 200 index futures contracts from January 1990 to November 2011. Price change rates for 50 days are used as SVM input data. The training period is from January 1990 to March 2007 and the test period is from March 2007 to November 2011. We suggest three benchmark strategies portfolio. BM1 holds two contracts of KOSPI 200 index futures for testing period. BM2 is constructed as two strategies which show the largest cumulative profit during 30 days before testing starts. BM3 has two strategies which show best profits during testing period. Trading cost include brokerage commission cost and slippage cost. The proposed strategy portfolio management system shows profit more than double of the benchmark portfolios. BM1 shows 103.44 point profit, BM2 shows 488.61 point profit, and BM3 shows 502.41 point profit after deducting trading cost. The best benchmark is the portfolio of the two best profit strategies during the test period. The proposed system 1 shows 706.22 point profit and proposed system 2 shows 768.95 point profit after deducting trading cost. The equity curves for the entire period show stable pattern. With higher profit, this suggests a good trading direction for system traders. We can make more stable and more profitable portfolios if we add money management module to the system.

A Multi-period Behavioral Model for Portfolio Selection Problem

  • Pederzoli, G.;Srinivasan, R.
    • Journal of the Korean Operations Research and Management Science Society
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    • v.6 no.2
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    • pp.35-49
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    • 1981
  • This paper is concerned with developing a Multi-period Behavioral Model for the portfolio selection problem. The unique feature of the model is that it treats a number of factors and decision variables considered germane in decision making on an interrelated basis. The formulated problem has the structure of a Chance Constrained programming Model. Then empoloying arguments of Central Limit Theorem and normality assumption the stochastic model is reduced to that of a Non-Linear Programming Model. Finally, a number of interesting properties for the reduced model are established.

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Selecting Information Technology Projects in Non-linear Risk/Return Relationships of IT Investment

  • Cho, Wooje;Song, Minseok
    • Journal of Information Technology and Architecture
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    • v.9 no.1
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    • pp.21-31
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    • 2012
  • We focus on the issues of the non-linear return/risk relationship of IT investment and the balance between return and risk of IT portfolio. We develop an IT project selection model by integrating DEA models with Markowitz portfolio selection theory. The project data collected from a Fortune 100 company are used to illustrate the implementation of the model. In addition, computational experiments are conducted to demonstrate the validity of the proposed model.

A Study on the Development of PMM Algorithms for a Product Development Innovation (제품 개발 혁신을 위한 PPM 알고리즘에 관한 연구)

  • Lee, Jae-Myung;Lee, Hong-Chul
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.10 no.7
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    • pp.1750-1759
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    • 2009
  • Recently from the enterprise when about reduction the product of numerous type to develop does not produce simultaneously with Life Cycle shortening and JIT productions of the product, is confronting in the environment which will not become. In order to confront in like this environment, developing the good product importance but, the product researches what kind of direction and developing with core subject of technical innovation is recognized. For the development method and an investment direction of the product proposed PPM (Product Portfolio Management) algorithms from the research which sees from like this viewpoint. With PPM algorithms which are proposed, divided the product in 6 kind groups of standardization type, discrimination type, material cost investigation type, processing cost investigation type and sale promotion type and abolition type and presented tyresearch and development direction..Research approach portfolio investigation of existing research and consulting experience of research and development field with background, presented the analytical model of algorithm, is applied of the instance which composed.

Loan Portfolio Management of Korean Financial Institutions (국내금융기관의 대출포트폴리오 관리기법)

  • 김희경
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.1 no.1
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    • pp.91-100
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    • 2000
  • In 1997 the recession of Korean economy brought about the bankruptcy of large corporations and the large size of non-Performing financial assets which led to IMF financial crisis. One of the major reasons for IMF financial crisis was poor loan management of domestic financial institutions . During the restructuring process of financial institutions since the IMF financial crisis, the importance of the loan management has been recognized. Especially. financial institutions' credit allocation had been concentrated on a few big conglomerates and their subsidies as well as some specific business areas. Hence, risk-diversifying portfolio effects were not reflected in any loan portfolios. The IMF financial crisis in 1997 has clearly showed that credit-risk management is essential not only for individuals' loan but also for portfolios consisting of various loans The main objective of this paper is to provide some suggestions on the direction for financial institutions in Korea to improve their loan portfolio management. Particularly, for the effective management of loan portfolios, this paper introduces quantitative credit-risk management schemes such as KMV models and CreditMetrics which are commonly used in financial institutions in advanced countries. Financial institutions in Korea should make their best efforts to establish a more scientific as well as quantitative loan portfolio management.

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A Portfolio Selection Strategy with Consideration of Managerial Efficiency and Growth Potential of Construction Corporations (건설 기업의 경영효율성과 성장가능성을 고려한 포트폴리오 선택 전략)

  • Ryu, Jae-Pil;Shin, Hyun-Joon
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.13 no.2
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    • pp.878-884
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    • 2012
  • This study presents a portfolio selection strategy focusing on construction corporations by taking into accounts managerial efficiency and growth potential of a company. Data envelopment analysis(DEA) methodology and dividend scoring table are adopted for evaluating the managerial efficiency and growth potential of a company respectively. In order to show the effectiveness of the portfolios selected by the strategies proposed in this study, we constructed 3 portfolios for every 4 years (2007-2010) out of 56 listed construction corporations in KOSPI and KOSDAQ, and proved that our portfolios are superior to benchmark portfolios in terms of portfolio evaluation measures.

Development of Portfolio Computer Program for Efficient Household Financial Program: Comparison between Korea & U.S.A. (가계재무관리의 효율성을 높이기 위한 포트폴리오 구성 및 프로그램 개발 : 한미간 비교)

  • Lee, Seung-Sin;Bae, Mi-Kyeong;Fan, Jessie
    • Journal of the Korean Home Economics Association
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    • v.41 no.9
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    • pp.105-120
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    • 2003
  • This study has conducted to develop the computer program for households portfolio management to enhance their financial well-being. The study has divided into two parts. First, descriptive statistics has used to analyze as a basis of computer program and it includes the comparison of household asset allocations between households in Korea and U. S. A., Second, it shows the components of the portfolio program developed to manage households efficiently. For both two countries, recent four years data has been used and in part two, total sample size of households in Korea is 2155. From the statistical analysis, households in U. S. A. tend to invest more on the stock & bonds as their net-asset is increased. However households in Korea tend to have less financial assets and it might be found the fact that they prefer to own real-estate because of the inflation. In the part of computer program, it is included the average financial asset responding to the demographic variables and households could refer those average amount as a reference planning their asset portfolio.