• 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.

• 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.

• 국제지역연구
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• 제20권4호
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• pp.121-145
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• 2016

본 연구는 제휴 포트폴리오 전략을 규명하고 특성을 비교분석하여 성공적인 제휴 활용방안에 관한 시사점을 도출하고자 수행한 것으로 2012년과 2013년 기업활동조사에 중복하여 응답한 제조기업 중 제휴 경험이 1번 이상 있는 477개의 표본을 대상으로 연구를 수행하였다. 분석결과, 기업의 제휴 포트폴리오 전략은 탐색, 활용, 양손잡이 제휴 포트폴리오 전략의 3가지 유형으로 나타났다. 탐색 포트폴리오 제휴전략을 추진하는 기업은 주로 공동기술개발과 기술제휴를 중심으로 제휴 포트폴리오를 구성하고 있었으며 제휴의 수가 다른 유형에 비해 많고 넓게 퍼져 있는 특성을 보였다. 두 번째 전략인 활용 포트폴리오 제휴전략을 추진하는 기업은 주로 공동마케팅, 공동생산, 공동브랜드를 중심으로 제휴 포트폴리오를 구성하고 있으며 제휴의 수가 탐색제휴에 비해 적고 제휴 범위도 좁은 특성을 나타내고 있었다. 세 번째 양손 포트폴리오 제휴전략을 추진하는 기업은 공동마케팅, 공동기술개발, 기술제휴, 공동생산, 공동브랜드를 모두 적극적으로 활용하는 포트폴리오를 구성하고 있으며 추진한 제휴의 수도 가장 많고 넓게 퍼져 있는 특성을 나타내고 있었다. 제휴 포트폴리오 전략 유형 간 기업의 특성과 내부 역량은 보유 특허수, 기술개발역량, 마케팅 역량, 국제화 역량이 각각 통계적으로 유의미한 차이를 나타내었다.

• 한국산학기술학회논문지
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• 제12권9호
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• pp.3849-3855
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• 2011

본 연구에서는 배당을 중심으로 한 기업의 성장가능성을 평가하여 효율적 포트폴리오를 선택하는 전략을 제시한다. 이를 위해 선행실험을 통해 양질의 성장주를 가려내기 위한 4 개의 범주(category)를 선정하고, 각 범주별 점수 산출식을 포함하는 스코어링 테이블을 개발하였다. 스코어링 테이블에 의해 구성된 포트폴리오의 효과를 보이기 위해 한국거래소에 상장된 KOSPI 및 KOSDAQ의 927개 주식을 대상으로 2007~2010년의 4년 동안 매해 3 그룹의 포트폴리오를 구성하였고, 각 포트폴리오의 수익률을 시장수익률과 비교 분석을 실시하여 그 성능을 입증하였다.

• Journal of the Korean Data and Information Science Society
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• 제28권6호
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• pp.1481-1500
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• 2017

본 연구는 우리나라 주식시장을 대상으로 회계 정보 기반 포트폴리오 투자전략의 안정성과 우수성을 확인하였다. 포트폴리오를 구성 하는 과정에서 재무비율의 다양한 조합을 활용하여 기대수익률이 높고, 투자 위험이 낮은 종목군을 선정하고 그 성과를 측정하였다. 또한 회계 정보 기반 유전자 알고리즘 최적화 아이디어를 제시하여 투자성과를 높이고자 했다. 본 연구의 결과로 회계 정보를 활용한 포트폴리오 구성 전략이 투자 의사결정에 유효하며, 이를 통하여 높은 투자성과를 얻을 수 있음을 확인했다. 또한 유전자 알고리즘을 활용한 포트폴리오 투자전략이 실무적으로 투자 의사결정에 유용하게 활용될 수 있음을 검증하였다.

• 경영과학
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• 제26권1호
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• pp.37-51
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• 2009

Korean IT industry has been given much weight in national R&D management. A negative side of this fact is that Korean economy is likely to become vulnerable to a condition of the export business in certain items of IT industry which has a serious influence on the national economy. A customized investment strategy through the analysis of technology competitiveness and R&D status in each technology of IT field is required in order to rectify the structural vulnerability and pursue a continuous growth. In this research, a strategic direction to set up an efficient investment strategy is presented. In this process, it draws a portfolio analysis with two axes of technology level and technology life cycle. It also derives a priority order of the national investment considering the degree of technological impact, marketability, and adequacy of public support from AHP (Analytic Hierarchy Process) method by a survey of IT experts. A portfolio analysis in the prior stage helps the respondents in AHP become more familiar with the alternatives' characteristics so that their decision making process more corresponds with national R&D strategies.

• 산업경영시스템학회지
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• 제45권3호
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• pp.123-130
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• 2022

Pair trading is a statistical arbitrage investment strategy. Traditionally, cointegration has been utilized in the pair exploring step to discover a pair with a similar price movement. Recently, the clustering analysis has attracted many researchers' attention, replacing the cointegration method. This study tests a clustering-driven pair trading investment strategy in the Korean stock market. If a pair detected through clustering has a large spread during the spread exploring period, the pair is included in the portfolio for backtesting. The profitability of the clustering-driven pair trading strategies is investigated based on various profitability measures such as the distribution of returns, cumulative returns, profitability by period, and sensitivity analysis on different parameters. The backtesting results show that the pair trading investment strategy is valid in the Korean stock market. More interestingly, the clustering-driven portfolio investments show higher performance compared to benchmarks. Note that the hierarchical clustering shows the best portfolio performance.

• 유통과학연구
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• 제13권9호
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• pp.37-45
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• 2015

Purpose - This paper's aim is to investigate whether or not gross profitability explains the cross-sectional variation of the stock returns in the Korean stock market. Gross profitability is an alternative profitability measure proposed by Novy-Marx in 2013 to predict cross-sectional variation of stock returns in the US. He shows that the gross profitability adds explanatory power to the Fama-French 3 factor model. Interestingly, gross profitability is negatively correlated with the book-to-market ratio. By confirming the gross profitability premium in the Korean stock market, we may provide some implications regarding the well-known value premium. In addition, our empirical results may provide opportunities for the fund distribution industry to promote brand new styles of funds. Research design, data, and methodology - For our empirical analysis, we collect monthly market prices of all the companies listed on the Korea Composite Stock Price Index (KOSPI) of the Korea Exchanges (KRX). Our sample period covers July1994 to December2014. The data from the company financial statementsare provided by the financial information company WISEfn. First, using Fama-Macbeth cross-sectional regression, we investigate the relation between gross profitability and stock return performance. For robustness in analyzing the performance of the gross profitability strategy, we consider value weighted portfolio returns as well as equally weighted portfolio returns. Next, using Fama-French 3 factor models, we examine whether or not the gross profitability strategy generates excess returns when firmsize and the book-to-market ratio are controlled. Finally, we analyze the effect of firm size and the book-to-market ratio on the gross profitability strategy. Results - First, through the Fama-MacBeth cross-sectional regression, we show that gross profitability has almost the same explanatory power as the book-to-market ratio in explaining the cross-sectional variation of the Korean stock market. Second, we find evidence that gross profitability is a statistically significant variable for explaining cross-sectional stock returns when the size and the value effect are controlled. Third, we show that gross profitability, which is positively correlated with stock returns and firm size, is negatively correlated with the book-to-market ratio. From the perspective of portfolio management, our results imply that since the gross profitability strategy is a distinctive growth strategy, value strategies can be improved by hedging with the gross profitability strategy. Conclusions - Our empirical results confirm the existence of a gross profitability premium in the Korean stock market. From the perspective of the fund distribution industry, the gross profitability portfolio is worthy of attention. Since the value strategy portfolio returns are negatively correlated with the gross profitability strategy portfolio returns, by mixing both portfolios, investors could be better off without additional risk. However, the profitable firms are dissimilar from the value firms (high book-to-market ratio firms); therefore, an alternative factor model including gross profitability may help us understand the economic implications of the well-known anomalies such as value premium, momentum, and low volatility. We reserve these topics for future research.

• Fashion, Industry and Education
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• 제14권2호
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• pp.60-69
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• 2016

Visual literacy, a key element of a design portfolio, is achieved by communicating a consistent visual aesthetic with respect to design elements, design principles and individual style. Yet, students often feel challenged in articulating their personal aesthetic or design philosophy in order to create a unifying design identity within a body of artifacts. This paper shares some best practices on overcoming this challenge through students' engagement in self-reflection and identity formation processes. The implemented innovative strategy in a senior-level portfolio development course for apparel designers involved four different phases: 1) one-on-one meetings to self-reflect on previous design work, 2) selection and revision of artifacts, 3) peer-review and critiques of revised portfolio artifacts, and 4) development of a final ePortfolio to showcase a unified design identity. It was evident that recording students' initial self-reflection in the form of a metacognitive oral report encouraged and motivated identity development in their portfolio. Further, students expressed their satisfaction in the ability to participate in the selection process of artifacts by self-reflecting about what they wanted to highlight about themselves and why. Overall, student outcomes from this strategy exceeded expectations and the portfolios developed were successful in creating a cohesive design identity.

• 지식경영연구
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• 제19권3호
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• pp.63-87
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• 2018

In a rapidly changing technology environment, managing and rearranging the patent portfolios is one of the main sources of competitive advantage for firms. This study analyzes the effects of patent portfolio composition on new product introduction related to resource allocation. This study also looks at the moderating role of rearranging the patent portfolios on new product introduction. Our empirical analysis of the global pharmaceutical industry shows that firms with high-value patent portfolios exhibit a tendency to launch new products, and patent portfolio diversity shows a U-shaped relationship with new product introduction. In addition, the patent portfolio rearrangement positively moderates the relationship between patent portfolio diversity and new product introduction. The results are expected to provide implications for firms' patent portfolio composition and patent portfolio rearrangement related to innovation performance such as new product introduction.