DOI QR코드

DOI QR Code

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

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).

Keywords

References

  1. Axsater, S. (2000), Inventory Control, Boston/Dordrecht/London, Kuwer Academic Publishers, 66-70.
  2. Conrad, J. and Kaul, G. (1998), An Anatomy of Trading Strategies, Review of Financial Studies, 11(3), 489-519. https://doi.org/10.1093/rfs/11.3.489
  3. De Bondt, W. F. M. and Thaler, R. M. (1985), Does the Stock Market Overreact, Journal of Finance, 40(3), 793-805. https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
  4. Kim, D. S. and Ryoo H. S. (2007), Portfolio Management Using Statistical Process Control Chart, Korean Institute of Industrial Engineers, 20(2), 94-102.
  5. Jegadeesh, N. (1990), Evidence of Predictable Behavior of Security Returns, Journal of Finance, 45(3), 881-898. https://doi.org/10.1111/j.1540-6261.1990.tb05110.x
  6. Jeong, J. H. and Kim, D. H. (2002), Performance Analysis of Investment Strategies Based on Past Stock, The Korean Financial Management Association, 19(2), 49-75.
  7. Lee, K. S., Kwon, Y. E., and Shin, J. H. (2008), Derivatives Modeling I : Using MATLAB, Seoul, A-JIN, 96-100.
  8. Lee, C. J., Lee G., Won J. S., and Ham S. (2010), A Study on a Method for Composing a Portfolio for REITs Investment Using Markowitz's Portfolio Model, Korea Institute of Construction Engineering and Management, 11(2), 54-63. https://doi.org/10.6106/KJCEM.2010.11.2.54
  9. Lo, A. W. and MacKinlay, A. C. (1990), When Are Contrarian Profits Due to Stock Market Overreaction, Review of Financial Studies, 3(2), 175-205. https://doi.org/10.1093/rfs/3.2.175
  10. Markowitz, H. M. (1952), Portfolio Selection, Journal of Finance, 7(1), 77-91.
  11. Kim, S. M. and Kim, H. S. (2009), Investment Performance of Markowitz's Portfolio Selection Model in the Korean Stock Market, The Korean Operations Research and Management Science Society, 26(2), 19-35.
  12. Zarowin, P. (1989), Short-run Market Overreaction : Size and Seasonality Effects, Journal of Portfolio Management, 15(3), 26-29. https://doi.org/10.3905/jpm.1989.409209