• Journal of the Korean Operations Research and Management Science Society
• /
• v.34 no.4
• /
• pp.153-163
• /
• 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.

• Korean Management Science Review
• /
• v.26 no.2
• /
• pp.19-35
• /
• 2009

This paper investigated performance of the Markowitz's portfolio selection model with applications to Korean stock market. We chose Samsung-Group-Funds and KOSPI index for performance comparison with the Markowitz's portfolio selection model. For the most recent one and a half year period between March 2007 and September 2008, KOSPI index almost remained the same with only 0.1% change, Samsung-Group-Funds showed 20.54% return, and Markowitz's model, which is composed of the same 17 Samsung group stocks, achieved 52% return. We performed sensitivity analysis on the duration of financial data and the frequency of portfolio change in order to maximize the return of portfolio. In conclusion, according to our empirical research results with Samsung-Group-Funds, investment by Markowitz's model, which periodically changes portfolio by using nonlinear programming with only financial data, outperformed investment by the fund managers who possess rich experiences on stock trading and actively change portfolio by the minute-by-minute market news and business information.

• Korean Management Science Review
• /
• v.25 no.1
• /
• pp.1-9
• /
• 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.

• Journal of the military operations research society of Korea
• /
• v.34 no.3
• /
• pp.107-116
• /
• 2008

This paper deals with modelling and introducing of the project portfolio construction and evaluation problem under uncertainty. The common way in industry of managing project portfolio is construction of initial portfolio considering uncertainties which exist inside and outside of portfolio, and periodic revision of portfolio due to the deviation from plans. In this paper, we introduce algorithm which reflecting the industrial common practice of initial planning and periodic revision. With this simulation method, probabilistic distribution of portfolio's performance in consideration can be found.

• Journal of Korean Elementary Science Education
• /
• v.17 no.1
• /
• pp.11-21
• /
• 1998

Portfolio assessment provides many opportunities to foster children's creativity and to increase their responsibility for learning. few research study has been conducted in this area, and this assessment method has scarcely been administered in primary science class, Proper and effective use of portfolio assessment in our primary science class requires basic research on how to design and administer the method. Based on the earlier study on typical structures and components of portfolio assessment, the assessment instrument was developed on various primary science topics, The development team was consisted of one science education specialist and nine pre-service elementary school teachers. It takes ten months to develop instruments for 27 class hours. The development process was reciprocal in that development and revision cycle was repeated more than 7 times. The portfolio assessment instruments consist of instructional objectives, developers' evidence for the objectives, and assessment criteria. Adopting a new way of assessment into science class inevitably causes lots of confusions to teachers and children. The absence of basic research studies must be a critical barrier for successful administration of a new assessment method such as portfolio assessment. further research is required in the preparation and administration of portfolio assessment in our primary science classroom.

• Korea Trade Review
• /
• v.46 no.2
• /
• pp.75-92
• /
• 2021

There is increasing awareness in the international alliance literature that the firm performance effects of the alliance portfolio go beyond the effects of the individual alliances. I enrich this nascent perspective by developing a alliance portfolio composition framework based on the alliance portfolio dimensions - underpinned by the simultaneity of quantitative and qualitative factors in international portfolio - that enhances firms' financial performance. This paper assesses the impact on firm performance of composing the alliance dimension within a firm's international alliance portfolio. In an unbalanced panel data analysis with fixed effects of the performance of 502 firms operating in the Korean manufacturing industry during 2011-2017, I test whether firm's three dimension of international alliance portfolio affect on firm financial performance. I find that the intensity of international alliance have significantly positive effect on the firm performance. And following the moderating analysis of three portfolio dimension-functional, relational, and attribute, all of each three international alliance portfolio has positive moderating effects on the relationship between the alliance intensity and firm performance. These results indicate that firms should consider and form simultaneous approaches to exploit the international alliance based on the alliance portfolio dimensions with intensity of alliance portfolio.

• Journal of Engineering Education Research
• /
• v.15 no.4
• /
• pp.35-40
• /
• 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.

• Journal of the Korean Operations Research and Management Science Society
• /
• v.41 no.3
• /
• pp.1-21
• /
• 2016

The Markowitz portfolio selection model uses estimators to deduce input parameters. However, the estimation errors of input parameters negatively influence the performance of portfolios. Therefore, this model cannot be reliably applied to real-world investments. To overcome this problem, we suggest an algorithm that can exclude stocks with large estimation error from the portfolio by applying a tracking signal to the Markowitz portfolio selection model. By calculating the tracking signal of each stock, we can monitor whether unexpected departures occur on the outcomes of the forecasts on rate of returns. Thereafter, unreliable stocks are removed. By using this approach, portfolios can comprise relatively reliable stocks that have comparatively small estimation errors. To evaluate the performance of the proposed approach, a 10-year investment experiment was conducted using historical stock returns data from 6 different stock markets around the world. Performance was assessed and compared by the Markowitz portfolio selection model with additional constraints and other benchmarks such as minimum variance portfolio and the index of each stock market. Results showed that a portfolio using the proposed approach exhibited a better Sharpe ratio and rate of return than other benchmarks.

• Journal of the Korean Operations Research and Management Science Society
• /
• v.28 no.1
• /
• pp.25-36
• /
• 2003

Unlike the mean-variance approach, the stochastic dominance approach Is to form a portfolio that first-degree stochastically dominates a predetermined benchmark portfolio, e.g. KOSPI. Analytically defining the first derivative of the objective function, an optimal algorithm of nonlinear programming was developed to search a set of optimal weights systematically and tested with promising results against veal data sets from Korean stock market.

• Korean Management Science Review
• /
• v.33 no.4
• /
• pp.51-64
• /
• 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.