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Korean Institute of Industrial Engineers (대한산업공학회)
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A Methodology for Efficient Portfolio Management Using Inventory Control Technique

재고통제기법을 이용한 효율적 포트폴리오 관리 방안

  • Ryu, Jae-Pil (Department of Management Engineering, Sangmyung University) ;
  • Shin, Hyun-Joon (Department of Management Engineering, Sangmyung University)
  • 유재필 (상명대학교 경영공학과) ;
  • 신현준 (상명대학교 경영공학과)
  • Received : 2011.12.06
  • Accepted : 2012.01.11
  • Published : 2012.06.01
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Abstract

This paper proposes an efficient portfolio management methodology named sSPPM with consideration of risk and required return. sSPPM employs Markowitz's portfolio model to select securities and adopts ($s$, $S$) policy that is a well-known technique in the inventory control area to revise the current portfolio. Computational experiments using virtual stock prices generated by monte carlo simulation method as well as real stock ones of KOSPI for recent 4 years are conducted to show the excellence of the portfolio management under ($s$, $S$) policy framework. The result shows that sSPPM is remarkably superior to both 6 or 12 months based periodic portfolio revision method and market (KOSPI index).

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References

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