• 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.

• 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.

• 한국경영과학회지
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• 제41권3호
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• pp.1-21
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• 2016

The Markowitz portfolio selection model uses estimators to deduce input parameters. However, the estimation errors of input parameters negatively influence the performance of portfolios. Therefore, this model cannot be reliably applied to real-world investments. To overcome this problem, we suggest an algorithm that can exclude stocks with large estimation error from the portfolio by applying a tracking signal to the Markowitz portfolio selection model. By calculating the tracking signal of each stock, we can monitor whether unexpected departures occur on the outcomes of the forecasts on rate of returns. Thereafter, unreliable stocks are removed. By using this approach, portfolios can comprise relatively reliable stocks that have comparatively small estimation errors. To evaluate the performance of the proposed approach, a 10-year investment experiment was conducted using historical stock returns data from 6 different stock markets around the world. Performance was assessed and compared by the Markowitz portfolio selection model with additional constraints and other benchmarks such as minimum variance portfolio and the index of each stock market. Results showed that a portfolio using the proposed approach exhibited a better Sharpe ratio and rate of return than other benchmarks.

• 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.

• 한국경영과학회:학술대회논문집
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• 한국경영과학회 2008년도 추계학술대회 및 정기총회
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• pp.76-94
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• 2008

본 논문은 마코위츠의 포트폴리오 선정 이론을 한국 주식 시장에 실제 적용할 경우 투자 성과를 평가해 본 실증적 연구이다. 이를 위해서 대중적으로 인기가 있었던 삼성그룹주펀드 5종 및 KOSPI지수 변화율을 마코위츠의 모형과 비교 분석하였다. 2007년 3월부터 2008년 9월까지 최근 1년 6개월의 기간에 대하여, KOSPI 지수는 0.1%로 거의 변화를 보이지 않은 반면, 삼성그룹주펀드 5종의 평균수익률은 20.54%였고, 삼성그룹주펀드를 구성하는 동일한 17개 종목으로 마코위츠의 모형에 따라 투자한 방식은 52%의 수익률을 올렸다. 수익률을 극대화하기 위하여 데이터 수집 기간 및 포트폴리오 교체 주기에 대하여 민감도 분석을 수행하였다. 결론적으로, 투자자 개인의 주관이나 감정에 의한 판단을 완전히 배제하고 객관적 데이터에 의하여 포트폴리오를 수리적으로 변경하는 마코위츠의 모형에 의한 투자 방식이, 상대적으로 우월한 시장 정보를 가지고 주관적 판단에 의해 능동적으로 포트폴리오를 변경하는 시중 펀드매니저의 운영 성과에 비해 월등하였음을 본 연구에서는 삼성그룹주펀드의 실증적 연구를 통하여 보이고 있다.

• 한국경영과학회지
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• 제38권4호
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• pp.35-52
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• 2013

Markowitz's portfolio selection model is used to construct an optimal portfolio which has minimum variance, while satisfying a minimum required expected return. The model uses estimators based on analysis of historical data to estimate the returns, standard deviations, and correlation coefficients of individual stocks being considered for investment. However, due to the inaccuracies involved in estimations, the true optimality of a portfolio constructed using the model is questionable. To investigate the effect of estimation inaccuracy on actual portfolio performance, we study the changes in a portfolio's realized return and standard deviation as the accuracy of the estimations for each stock's return, standard deviation, and correlation coefficient is increased. Furthermore, we empirically analyze the portfolio's performance by comparing it with the performance of active mutual funds that are being traded in the Korean stock market and the KOSPI benchmark index, in terms of portfolio returns, standard deviations of returns, and Sharpe ratios. Our results suggest that, among the three input parameters, the accuracy of the estimated returns of individual stocks has the largest effect on performance, while the accuracy of the estimates of the standard deviation of each stock's returns and the correlation coefficient between different stocks have smaller effects. In addition, it is shown that even a small increase in the accuracy of the estimated return of individual stocks improves the portfolio's performance substantially, suggesting that Markowitz's model can be more effectively applied in real-life investments with just an incremental effort to increase estimation accuracy.

• 한국산학기술학회논문지
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• 제14권2호
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• pp.899-904
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• 2013

본 연구에서는 KOSPI와 KOSDAQ에 상장된 건설 기업을 대상으로 효율적인 포트폴리오를 구성방안을 제시한다. 이를 위해 한국거래소(KRX)에서 구분하는 건설 업종을 DEA(Data Envelopment Analysis) 기법을 이용하여 기업효율성 분석을 실시하고 효율성이 우수한 기업들을 대상으로 마코위츠 모형을 통해 포트폴리오를 구성한다. 본 연구에서 제안한 포트폴리오 구성 방안의 성능 실험을 위해 KOSPI와 KOSDAQ에 상장된 53개의 기업의 주식을 대상으로 5년 (2007~2011) 동안 매해 포트폴리오를 구성하였고 각각의 포트폴리오 수익률을 경영 효율성을 고려하지 않고 구성한 포트폴리오 및 벤치마크 수익률과 비교 분석을 통해 그 우수성을 입증하였다.

• 한국건설관리학회논문집
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• 제11권2호
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• pp.54-63
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• 2010

국내 외 경기 침체의 영향으로 국내 건설업체들은 자금조달의 어려움을 겪고 있다. 이러한 경기 침체기에 자금의 유동화와 건설경기의 활성화를 촉진할 수 있는 리츠 제도가 2001년에 도입되어 점차 확대되고 있지만, 비슷한 시기에 도입한 다른 나라에 비해 성장속도 및 시장규모가 작은 편이다. 본 연구에서는 리츠의 활성화를 위하여 보다 높은 수익률 확보를 위한 포트폴리오 구성 방법으로, 마코위츠 포트폴리오 선정 모형을 적용한 리츠 투자 포트폴리오 구성 방법에 대해 제안하고자 한다. 주요 내용은 다음과 같다. 첫째, 2007년 7월 3일부터 2008년 7월 21일까지의 투자분석기간 동안 마코위츠 모형을 적용한 리츠의 투자결과와 비교대상 리츠들의 평균 수익률을 비교하여 수익률 향상정도를 분석하였다. 그 결과 마코위츠 모형을 적용한 수익률이 비교대상 리츠들의 평균 수익률보다 약 10% 높게 나타났다. 둘째, 기존 수익률의 자료 수집기간과 포트폴리오 교체주기에 대한 민감도 분석을 하여, 최적의 수익률을 나타낼 수 있는 자료 수집기간과 포트폴리오 교체주기를 도출하였다. 수익률 자료 수집기간이 6개월 일 때 비교대상 리츠들의 평균 수익률보다 마코위츠 모형을 적용한 수익률이 약 16% 높게 나타났으며, 포트폴리오 교체주기를 2주 간격으로 설정하였을 때는 약 11% 높게 나타났다.

• 경영과학
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• 제30권3호
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• pp.55-70
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• 2013

In this study we suggested two optimization models to determine conversion weight of convertible bonds. The problem of this study is same as that of Park and Shim [1]. But this study used Value-at-Risk (VaR) for risk measurement instead of CVaR, Conditional-Value-at-Risk. In comparison with conventional Markowitz portfolio models, which use the variance of return, our models used VaR. In 1996, Basel Committee on Banking Supervision recommended VaR for portfolio risk measurement. But there are difficulties in solving optimization models including VaR. Benati and Rizzi [5] proved NP-hardness of general portfolio optimization problems including VaR. We adopted their approach. But we developed efficient algorithms with time complexity O(nlogn) or less for our models. We applied examples of our models to the convertible bond issued by a semiconductor company Hynix.

• 산업공학
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• 제25권2호
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• pp.163-169
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• 2012

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).