• 한국경영과학회지
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• 제39권2호
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• pp.83-95
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• 2014

In this paper, we develop a portfolio selection model that can be used to invest in markets with margin requirements such as the foreign exchange market. An investment algorithm to implement the proposed portfolio selection model based on objective historical data is also presented. We further conduct empirical analysis on the performance of a hypothetical investment in the foreign exchange market, using the proposed portfolio selection model and investment algorithm. Using 7 currency pairs that recorded the highest trading volume in the foreign exchange market during the most recent 10 years, we compare the performance of 1) the Dollar Index, 2) a 1/N Portfolio which equally allocates capital to all N assets considered for investment, and 3) a hypothetical investment portfolio selected and managed according to the portfolio selection model and investment algorithm proposed in this paper. Performance is compared in terms of accumulated returns and Sharpe ratios for the 10-year period from January 2003 to December 2012. The results show that the hypothetical investment portfolio outperforms both benchmarks, with superior performance especially during the period following financial crisis. Overall, this paper suggests that a mathematical approach for selecting and managing an optimal investment portfolio based on objective data can achieve outstanding performance in the foreign exchange market.

• 경영과학
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• 제26권2호
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• pp.19-35
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• 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.

• 지적과 국토정보
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• 제49권1호
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• pp.45-63
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• 2019

본 연구는 최근까지 우리나라는 재산 3분법을 바탕으로 주식, 채권, 실물부동산으로 구성된 전통적인 포트폴리오에 투자하는 것이 대부분이었으나, 포트폴리오 구성시 대표적인 부동산 간접투자상품인 리츠, 부동산펀드 등을 복합적으로 구성한 결과가 투자성과에 미치는 영향을 분석하였다. 이를 위하여 포트폴리오 구성의 가장 적합한 방법인 평균분산모형을 이용한 실증분석을 하였다. 사용변수는 복합자산 포트폴리오를 보유 자산의 구성에 따라 Portfolio A~Portfolio G까지 분류하였으며, 가격지수는 KOSPI, KRX BOND, REITs(TRUS Y7), FUND(HanwhaLasal), OFFICE(Seoul)로 선정하였다. 연구결과는 다음과 같다. 첫 번째의 경우 채권, 주식, 리츠와 부동산펀드가 결합된 Portfolio D와 실물부동산인 오피스가 추가된 Portfolio G의 위험이 가장 낮은 것으로 나타났다. 둘째, 채권, 주식, 리츠로 구성된 Portfolio B와 부동산펀드가 추가된 Portfolio D가 위험이 가장 낮은 것으로 나타났고, 수익률의 경우 채권, 주식, 오피스와 부동산펀드로 구성된 Portfolio F와 리츠까지 편입된 Portfolio G가 가장 높은 것으로 나타났다. 결과적으로 전통적인 재산 3분법으로 구성된 실물부동산 보다 부동산의 비유동성 한계를 제거한 부동산간접투자상품인 리츠와 부동산펀드를 포트폴리오에 구성시 더 효과적인 것으로 분석되었다. 따라서 직접투자의 가장 큰 단점인 비유동성 문제를 해결하여 투자자의 위험을 최소화할 수 있고, 부동산의 소유에 따른 비용을 절감할 수 있으며, 소액으로도 투자가 가능한 부동산 간접투자시장의 활성화가 더욱 필요할 것으로 보인다.

• 산업경영시스템학회지
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• 제46권4호
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• pp.63-73
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• 2023

This study explores modern portfolio theory by integrating the Black-Litterman portfolio with time-series clustering, specificially emphasizing K-shape clustering methodology. K-shape clustering enables grouping time-series data effectively, enhancing the ability to plan and manage investments in stock markets when combined with the Black-Litterman portfolio. Based on the patterns of stock markets, the objective is to understand the relationship between past market data and planning future investment strategies through backtesting. Additionally, by examining diverse learning and investment periods, it is identified optimal strategies to boost portfolio returns while efficiently managing associated risks. For comparative analysis, traditional Markowitz portfolio is also assessed in conjunction with clustering techniques utilizing K-Means and K-Means with Dynamic Time Warping. It is suggested that the combination of K-shape and the Black-Litterman model significantly enhances portfolio optimization in the stock market, providing valuable insights for making stable portfolio investment decisions. The achieved sharpe ratio of 0.722 indicates a significantly higher performance when compared to other benchmarks, underlining the effectiveness of the K-shape and Black-Litterman integration in portfolio optimization.

• 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.

• 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.

• 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.

• 한국경영과학회지
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• 제38권2호
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• pp.75-93
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• 2013

In applying Markowitz's portfolio selection model to the stock market, we developed a comprehensive investment decision-making framework including key inputs for portfolio theory (i.e., individual stocks' expected rate of return and covariance) and minimum required expected return. For estimating the key inputs of our decision-making framework, we utilized an exponentially weighted moving average (EWMA) which places more emphasis on recent data than the conventional simple moving average (SMA). We empirically analyzed the investment results of the decision-making framework with the same 15 stocks in Samsung Group Funds found in the Korean stock market between 2007 and 2011. This five-year investment horizon is marked by global financial crises including the U.S. subprime mortgage crisis, the collapse of Lehman Brothers, and the European sovereign-debt crisis. We measure portfolio performance in terms of rate of return, standard deviation of returns, and Sharpe ratio. Results are compared with the following benchmarks : 1) KOSPI, 2) Samsung Group Funds, 3) Talmudic portfolio based on the na$\ddot{i}$ve 1/N rule, and 4) Markowitz's model with SMA. We performed sensitivity analyses on all the input parameters that are necessary for designing an investment decision-making framework : smoothing constant for EWMA, minimum required expected return for the portfolio, and portfolio rebalancing period. In conclusion, appropriate use of the comprehensive investment decision-making framework based on the Markowitz's model integrated with EWMA proves to achieve outstanding performance compared to the benchmarks.

• Journal of Construction Engineering and Project Management
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• 제1권3호
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• pp.28-37
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• 2011

Domestic construction companies are suffering from financing difficulties in the wake of the economic slump in Korea and abroad. During this economic slump, real estate investment trusts (REITs), facilitators for improving financing and stimulating construction businesses, have increasingly expanded since their introduction in 2001. However, in terms of growth speed and marketing size, Korean REITs are falling behind those of other nations. The purpose of this study is to suggest a method for composing a portfolio using the Markowitz portfolio selection model to stimulate REITs. The main contents are as follows. First, a comparative analysis was conducted of increased REIT profit with the application of the Markowitz model and the average REIT profit rate from July 3, 2007, to July 21, 2008, during the investment analysis periods. The results showed that the total profit rate from the Markowitz model was about 10% higher than the average REIT profit rate. Second, the sensitivity was analyzed according to the portfolio's data-gathering and replacement cycle to measure the optimum cycle and yield. The six-mouth profit data collection period showed about 16% higher profits with the Markowitz model than with the REITs. The two-week portfolio change period resulted in about 11% higher profits with the Markowitz model than with the REITs.

• Asia pacific journal of information systems
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• 제27권4호
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• pp.233-244
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• 2017

IT portfolio, meaning the ratio of investment with four different purposes of IT, is widely used for evaluating the adequacy of investment and its performance within firms. Despite of such a useful framework looking at investment on IT, IT portfolio in agriculture industry seems to be differentiated from other industries. In this study, we compared IT portfolios of farms: grain, field fruit and vegetable, greenhouse fruit, greenhouse vegetable, beef cattle and pig. We classified farms by their return on equity (ROE) in order to analyze the relationship between IT portfolio of each crop and performance. Then, we found patterns of IT portfolios of top-performance farms compared to all farms for each agricultural product. Lastly, peculiarities of each crop are interpreted and discussed to find out top-performance farms' IT investment patterns. From our study, it could be inferred that monotonous IT investments may not be as effective.