• Title/Summary/Keyword: Portfolio Management

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An Investment Strategy for Construction Companies using DEA-Markowitz's Model (DEA-마코위츠 결합 모형을 이용한 건설업종 투자 전략)

  • Ryu, Jaepil;Shin, Hyun Joon
    • Journal of the Korea Academia-Industrial cooperation Society
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    • v.14 no.2
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    • pp.899-904
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    • 2013
  • This paper proposes an efficient portfolio selection methodology for the listed construction corporations in KOSPI and KOSDAQ. For the construction industrial sector classified by KRX(Korea Exchange), the proposed method carries out an efficiency analysis using DEA (Data envelopment analysis) approach and for the efficient corporations filtered by DEA, construct portfolio using Markowitz's Model. In order to show the effectiveness of the proposed method, we constructed annually portfolios for 5 years (2007-2011) out of 53 listed corporations in KOSPI and KOSDAQ, and proved that our portfolios are superior to benchmark portfolios in terms of rate of returns.

The Design of Portfolio Framework for Efficient Portfolio Management (효율적인 포트폴리오 관리를 위한 포트폴리오 프레임워크 설계)

  • Lee, Ju-Seok;Kim, Dong-Gun;Kim, Dong-Hyun
    • Proceedings of the Korean Institute of Information and Commucation Sciences Conference
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    • 2011.10a
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    • pp.95-97
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    • 2011
  • The portfolios of students are archives where the studies of the students are recorded during the dates attended and very important data for the employment and the self-management. In the past, the portfolios are written on the papers and managed. However, the papers are easy to be lost and damaged. In this paper, we propose the design of portfolio framework to store and manage the data of portfolio efficiently. The proposed framework is capable of storing and managing students's portfolios using wired or wireless networks. The industries and professors are also easy to search appropriate talented students according to the requirements using the proposed framework.

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The Effects of Blockholder Diversity on the Firm Risk: Evidence from Korea

  • KIM, Hung Sik;CHO, Kyung-Shick
    • The Journal of Asian Finance, Economics and Business
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    • v.8 no.12
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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.

An Algorithm for Portfolio Selection Model

  • Kim, Yong-Chan;Shin, Ki-Young;Kim, Jong-Soo
    • Proceedings of the Korean Operations and Management Science Society Conference
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    • 2000.04a
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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.

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Probabilistic Modeling for Evaluation of Information Security Investment Portfolios (확률모형을 이용한 정보보호 투자 포트폴리오 분석)

  • Yang, Won-Seok;Kim, Tae-Sung;Park, Hyun-Min
    • Journal of the Korean Operations Research and Management Science Society
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    • v.34 no.3
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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.

Sector Investment Strategy with the Black-Litterman Model (블랙리터만 모형을 이용한 섹터지수 투자 전략)

  • Song, Jung-Min;Lee, Young-Ho;Park, Gi-Gyoung
    • Korean Management Science Review
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    • v.29 no.1
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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.

Portfolio Management Game Applicable to Korean Stock Market (주식투자(株式投資)에 관(關)한 모의(模擬)게임)

  • O, Seong-Baek;Hwang, Hak
    • Journal of Korean Institute of Industrial Engineers
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    • v.3 no.1
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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.

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Case Study: Oriental Brewery, Co. Ltd. Vitalizing Cass Brand through Brand Portfolio Strategy

  • Hong, Sung Tai;Son, Young Seok;Na, Woon Bong
    • Asia Marketing Journal
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    • v.15 no.4
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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.

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Linear programming models using a Dantzig type risk for portfolio optimization (Dantzig 위험을 사용한 포트폴리오 최적화 선형계획법 모형)

  • Ahn, Dayoung;Park, Seyoung
    • The Korean Journal of Applied Statistics
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    • v.35 no.2
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    • pp.229-250
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    • 2022
  • Since the publication of Markowitz's (1952) mean-variance portfolio model, research on portfolio optimization has been conducted in many fields. The existing mean-variance portfolio model forms a nonlinear convex problem. Applying Dantzig's linear programming method, it was converted to a linear form, which can effectively reduce the algorithm computation time. In this paper, we proposed a Dantzig perturbation portfolio model that can reduce management costs and transaction costs by constructing a portfolio with stable and small (sparse) assets. The average return and risk were adjusted according to the purpose by applying a perturbation method in which a certain part is invested in the existing benchmark and the rest is invested in the assets proposed as a portfolio optimization model. For a covariance estimation, we proposed a Gaussian kernel weight covariance that considers time-dependent weights by reflecting time-series data characteristics. The performance of the proposed model was evaluated by comparing it with the benchmark portfolio with 5 real data sets. Empirical results show that the proposed portfolios provide higher expected returns or lower risks than the benchmark. Further, sparse and stable asset selection was obtained in the proposed portfolios.

Credit Risk Measurement Practices in Indian Commercial Banks - An Empirical Investigation

  • Arora, Swaranjeet
    • Asia-Pacific Journal of Business
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    • v.5 no.2
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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.

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