• Journal of information and communication convergence engineering
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• 제9권5호
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• pp.491-499
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• 2011

In this paper, we offer a new strategic portfolio model for national IT R&D project selection in Korea. A risk and return (R-R) portfolio model was developed using an objectively quantified index on the two axes of risk and return, in order to select a strategic project and allocate resources in compliance with a national IT R&D strategy. We strategize using the R-R portfolio model to solve the non-strategy and subjectivity problems of the existing national R&D project selection model. We also use the quantified evaluation index of the IT technology road map (TRM) and the technical level reports (TLR) for the subjectivity of project selection, and try to discover the weights using the analytic hierarchy process (AHP). In addition, we intend to maximize the chance for a successful national IT R&D project, by selecting a strategic portfolio project and balancing the allocation of resources effectively and objectively.

• 산업공학
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• 제23권4호
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• pp.300-310
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• 2010

This paper is about an optimal investment portfolio strategy. Financial data of stocks, bonds, and savings from January 2. 2001 through October 30. 2009 were utilized in order to suggest the optimal portfolio strategies. Fundamental analysis and technical analysis were used in stocks-related strategy, whereas passive investment strategy and active investment strategy were used in bond-related strategy. The score is assigned to each stock index according to the suggested strategies and set trading rules are based on the scores. The simulation has been executed about each 29,400-portfolios and we figured out with the simulation result that 26.75% of 7,864 portfolios are more profitable than average stock market profit (22.6%, Annualized). The outcome of this research is summarized in two parts. First, it's the rebalancing strategy of portfolio. The result shows that value-oriented investment(long-term investment) strategy yields much higher than short-term investment strategies of stocks or active investment of bonds. Second, it's about the rebalancing cycle forming the portfolios. The result shows that the rate of return for the portfolio is the best when rebalancing cycle is 12 or 18 months.

• East Asian Economic Review
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• 제25권3호
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• pp.310-336
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• 2021

We use iterative numerical procedures combined with analytical methods due to Rapach and Wohar (2009) to solve for the dynamic asset allocation strategy for optimal portfolio demand. We compare different optimal portfolio demands when investors in each country have different access to overseas and domestic investment opportunities. The optimal dynamic asset allocation strategy without foreign investment opportunities leads domestic investors in Korea, Hong Kong, and Singapore to allocate more funds to domestic bonds than to domestic stocks. However, the U.S. investors allocate more wealth to domestic stocks than to domestic bonds. Investors in all countries short bills at a low level of risk aversion. Next, we investigate dynamic asset allocation strategy when domestic investors in Korea have access to foreign markets. The optimal portfolio demand leads investors in Korea to allocate most resources to domestic bonds and foreign stocks. On the other hand, the portfolio weights on foreign bonds and domestic stocks are relatively low. We also analyze dynamic asset allocation strategy for the investors in the U.S., Hong Kong, and Singapore when they have access to the Korean markets as overseas investment opportunities. Compared to the results when the investors only have access to domestic markets, the investors in the U.S. and Singapore increase the portfolio weights on domestic stocks in spite of the overseas investment opportunities in the Korean markets. The investors in the U.S., Hong Kong, and Singapore short domestic bills to invest more than initial funds in risky assets with a varying degree of relative risk aversion coefficients without exception.

• 한국정보시스템학회:학술대회논문집
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• 한국정보시스템학회 2004년도 추계학술대회
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• pp.201-208
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• 2004

Many organizations experience that the Performance they gained from IT portfolio is lower than they expected values. As with any investment, executives are concerned with maximizing the performance from their investment in IT. This study focused on the relationship or fit between orientations of IT strategy and directions of IT portfolio to maximize IT performance. A field survey of chief information officers of Korea manufacturing sector was conducted in 2003. Complete data of 147 firms was analyzed to determine relationship among the three research constructs that are orientations of IT strategy, directions IT portfolio, and IT performance. In this study, the orientations of IT strategy have two dimensions that are operation orientation and market orientation. The directions of IT portfolio have two dimension that are internal system focused and external system focused. And the IT performance has divided into operational performance and competitive performance. As a result of this study, the companies that are putting a focus with operation orientation were concentrated on internal information systems than external information systems. On the other hand, the other companies that are focused on market orientation were concentrated on external information systems than internal information systems. Consequently, the companies that are focused on operation orientation were operational performance higher than competitive performance and the other companies that are focused on market orientation were competitive performance higher than operational performance. More importantly, the research results provide empirical evidence that supports the hypothesis related to closer fit between IT strategy and IT portfolio does lead to increase operational and competitive performance of IT. And the results emphasize manager's efforts of fit between orientations of IT strategy and directions of IT portfolio to be realized IT performance.

• 품질경영학회지
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• 제45권3호
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• pp.427-445
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• 2017

Purpose: This paper provides a method to identify cost-effective standards by analyzing the relationships between certified company and standards. It also aims to provide a evaluation model to establish a certification portfolio strategy of institutions. Methods: By analysing the networks of certified company and certification standards, this paper developed an evaluation model of standards. The evaluation model uses an index(Certificated Standard Evaluation Index; CSEI) to assess the value of standards. Results: To verify the applicability of the evaluation model, the proposed model and the CSEL index have been applied to certification standards of Korean Standard Association. The results show that the evaluation model can effectively identify potential customers and thereby establish a certification portfolio strategy. Conclusion: The main contribution of this study is a provision of a new approach to certification portfolio strategy by evaluating the value of standards. The proposed model is expected to provide implications for the certification portfolio strategy.

• Journal of the Korean Data and Information Science Society
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• 제25권1호
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• pp.107-117
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• 2014

본 연구에서는 투자자 거래 정보를 활용한 포트폴리오 투자전략을 제안했다. 포트폴리오를 구성하는 과정에서 군집분석을 활용하여 기대수익이 높은 종목을 선정하고, 유전자 알고리즘으로 포트폴리오를 최적화하여 투자성과를 높이고자 했다. 2007년 4월부터 2013년 6월까지의 국내 주식시장을 대상으로 한 실증분석을 통하여, 본 연구에서 제안한 포트폴리오 투자전략의 유용성과 우수성을 확인 했다. 본 연구의 결과는 특정 투자 주체의 매매행태를 분석하여 투자 의사결정에 이용할 수 있으며, 이를 통하여 높은 투자성과를 얻을 수 있음을 보여준다. 또한 인공지능 기법이 투자 의사결정에 유용하게 사용될 수 있음을 시사한다.

• 아태비즈니스연구
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• 제10권3호
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• pp.37-51
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• 2019

In this paper, we investigate the performance of anomaly factors in Asia-Pacific Stock market and show the higher Sharpe ratio of the volatility managed smart beta portfolio. The smart beta portfolio combines the benefit of passive strategy and active strategy. However, the smart beta portfolios are seems to be exposed to the risk of anomaly factors from the perspective of traditional financial equilibrium model. Therefore, the smart beta strategy may generate negatively skewed returns unappealing to investors having lower risk tolerance. Our empirical investigations find that the return of the Asia-Pacific region stock market is more volatile than other regions with the lower efficiency ratio. However, the value factor and the momentum factor of Asia-Pacific region both show good performances. More interestingly, we also find that managing the volatility of the momentum factor in Asia-Pacific stock market almost doubles the efficiency ratio.

• 경영과학
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• 제30권3호
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• pp.1-16
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• 2013

In this paper, we deal with an enhanced index fund strategy by implementing the exchange trade funds (ETFs) within the context of the Black-Litterman approach. The KOSPI200 index ETF is used to build risk-controlled portfolio that tracks the benchmark index, while the proposed Black-Litterman model mitigates estimation errors in incorporating both active investment views and equilibrium views. First, we construct a Black-Litterman model portfolio with the active market perspective based on the momentum strategy. Then, we update the portfolio with the KOSPI200 index ETF by using the equilibrium return ratio and weighted averages, while devising optimization modeling for improving the information ratio (IR) of the portfolio. Finally, we demonstrate the empirical viability of the proposed enhanced index strategies with KOSPI 200 data.

• 지능정보연구
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• 제20권2호
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• pp.59-71
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• 2014

KOSPI200 선물 트레이딩을 위해 업계에서는 여러 전략으로 포트폴리오를 구성해서 운용한다. 동일한 전략 모음을 갖고 있더라도 포트폴리오를 어떻게 구성하느냐에 따라 수익은 크게 차이가 난다. 시장 상황에 맞는 전략들로 포트폴리오를 구성하는 것은 오랜 경험과 탁월한 노하우가 있어야하는 어려운 작업이다. 본 논문에서는 SVM을 활용하여 쉽고 빠르게 적절한 전략 포트폴리오를 구성하는 방법을 제시하였다. 본 논문에서 제안한 시스템의 성과는 벤치마킹의 성과와 비교하여 2배 이상의 수익을 내는 것을 확인하였다. 1990.01.03~2011.11.04 동안의 KOSPI200 데이터 중 이전 80%의 데이터로 학습을 하고 최근 20%의 데이터로 성능을 시험하였다. 각 전략별로 선택여부를 판별하는 SVM모델을 만들고 그 결과를 바탕으로 포트폴리오를 구성하였다. 벤치마킹을 위해 KOSPI200 선물을 2계약 매수한 경우의 수익, 시험 시작 직전 30일간 최고 수익을 낸 2개 전략의 수익, 실제 최고 수익을 낸 전략 2개를 보유했을 때의 수익과 비교하였다. 매매 비용을 반영하지 않을 때는 벤치마킹은 132.2~510.37pt의 수익을 냈고, 본 시스템은 1072.36~1140.91pt의 수익을 보여주었다. 그리고 거래비용을 감안하면 벤치마킹은 130.44~502.41pt의 수익을 냈고, 본 시스템은 706.22pt~768.95pt의 수익을 나타내었다. 본 논문은 기계학습을 통한 전략 포트폴리오를 구성하는 방안이 유의미하며 실전에 활용할 수 있음을 보여주었다. 이를 바탕으로 여러 전략과 다양한 시장에 적용해서 안정성을 검증하면 견고한 상용 솔루션으로 발전시킬 수 있을 것이다. 그리고 자금관리 기법을 더 반영한다면 수익을 더욱 크게 향상시킬 수 있을 것이다.

• 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.