IE interfaces (산업공학)

Korean Institute of Industrial Engineers (대한산업공학회)
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A Study on the Strategy for Optimizing Investment Portfolios

최적 투자 포트폴리오 구성전략에 관한 연구

  • Gu, Seung-Hwan (Department of Industrial and Information Systems Graduate School of Public Policy and Information Technology, Seoul National University of Science and Technology) ;
  • Jang, Seong-Yong (Department of Industrial & Information Systems Engineering, Seoul National University of Science and Technology)
  • 구승환 (서울과학기술대학교 IT정책전문대학원 산업정보시스템) ;
  • 장성용 (서울과학기술대학교 산업정보시스템공학과)
  • Received : 2010.01.11
  • Accepted : 2010.08.26
  • Published : 2010.12.01
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Abstract

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.

Keywords

References

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