Journal of Korean Institute of Industrial Engineers (대한산업공학회지)

Korean Institute of Industrial Engineers (대한산업공학회)
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Stock Trading Model using Portfolio Optimization and Forecasting Stock Price Movement

포트폴리오 최적화와 주가예측을 이용한 투자 모형

  • 박강희 (아주대학교 산업공학과) ;
  • 신현정 (아주대학교 산업공학과)
  • Received : 2012.12.06
  • Accepted : 2013.06.10
  • Published : 2013.12.15
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Abstract

The goal of stock investment is earning high rate or return with stability. To accomplish this goal, using a portfolio that distributes stocks with high rate of return with less variability and a stock price prediction model with high accuracy is required. In this paper, three methods are suggested to require these conditions. First of all, in portfolio re-balance part, Max-Return and Min-Risk (MRMR) model is suggested to earn the largest rate of return with stability. Secondly, Entering/Leaving Rule (E/L) is suggested to upgrade portfolio when particular stock's rate of return is low. Finally, to use outstanding stock price prediction model, a model based on Semi-Supervised Learning (SSL) which was suggested in last research was applied. The suggested methods were validated and applied on stocks which are listed in KOSPI200 from January 2007 to August 2008.

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