지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems Vol.16 No.3
- 발행연도
- 2017.9
- 수록면
- 392 - 399 (8page)
- DOI
- 10.7232/iems.2017.16.3.392
이용수
초록· 키워드
오류제보하기
The Markowitz’s mean-variance model has been extensively discussed and widely used to solve an investment portfolio optimization problem. Like the model, the Kelly criterion has been also used for the same purpose. But the latter has received much less attention than the former from the academic and financial world. Now, it is strongly believed that the Kelly criterion provides investors with an investment performance better than or equal to the Markowitz’s model. In this paper, we constructed the portfolio optimization models corresponding to each of two models and made a comparison of their results to investigate which model would lead investors to achieve a better investment performance. To this end, we carried out a case study with KOSPI 200. As one of the findings derived from of the case study, we found that the Kelly criterion model generated much higher return and risk, and a less diversified portfolio than the Markowitz’s model.
목차
ABSTRACT
1. INTRODUCTION
2. THE FUNDAMENTAL CONCEPT OF THE KELLY CRITERION
3. A CASE STUDY WITH KOSPI 200
4. CONCLUDING REMARKS
REFERENCES
참고문헌 (28)
참고문헌 신청
Bernoulli, D. (1954), Exposition of a new theory on the measurement of risk, Econometrica, 22(1), 23-36.
Brieman, L. (1961), Optimal gambling systems for favorable games, in Jeremy (ed), Proceedings of the 4th Berkely Symposiumon Mathematical Statistics and Probability, I, Berkely and Los Angeles, UC Press, 65-78.
Broadie, M. (1997), Portfolio optimization using linear programming, Columbia Business School, 95-102.
Estrada, J. (2010), Geometric mean maximization: an overlooked portfolio approach?, The Journal of Investing, 19(4), 135-147.
Fama, E. F. and MacBeth, J. D. (1974), Long-term growth in a short-term market, The Journal of Finance, 29(3), 857-885.
함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
Three Issues on the Kelly Criterion with Engineering Inverstment Projects
공학기술논문지
2020 .01
-
An Application of a Discounted Kelly Criterion to the Korean Professional Baseball League
공학기술논문지
2023 .03
-
Portfolio Selection with Regime-Switching Portfolio Constraints
대한산업공학회 춘계공동학술대회 논문집
2022 .06
-
지능형 전망모형을 결합한 로보어드바이저 알고리즘
지능정보연구
2019 .06
-
Portfolio Selection with Fuzzy Synthetic Evaluation and Genetic Algorithm based on Performance Perspectives
Industrial Engineering & Management Systems
2017 .12
-
Goal-Based Investing: A Review on Portfolio Optimization Models
대한산업공학회 춘계공동학술대회 논문집
2022 .06
-
A New Approach for Robust Mean-Variance Portfolio Selection Using Trimmed k-Means Clustering
Industrial Engineering & Management Systems
2021 .12
-
Robust Equity Portfolio Performance
대한산업공학회 추계학술대회 논문집
2015 .11
-
Mean-Var Investment Portfolio Optimization Under Capital Asset Pricing Model (CAPM) with Nerlove Transformation: An Empirical Study Using Time Series Approach
Industrial Engineering & Management Systems
2020 .09
-
Portfolio Optimization: An Introductory Survey Focused on Formulations
대한산업공학회 춘계공동학술대회 논문집
2022 .06
-
Portfolio Investment in KOSPI200 based on PMFG with Gaussian Rank Correlation
대한산업공학회 춘계공동학술대회 논문집
2021 .06
-
An Optimal Electronic Project Portfolio under Conditions of Uncertainty and Interactions between Projects
Industrial Engineering & Management Systems
2021 .12
-
Portfolio Selection and Management via Statistical Analysis of Economic Indicators
대한산업공학회 춘계공동학술대회 논문집
2016 .04
-
Robust Portfolio Optimization Using Tweet-Based Uncertainty Sets
대한산업공학회 춘계공동학술대회 논문집
2023 .05
-
Family of K-Means Clustering for Robust Mean-Variance Portfolio Selection: A Comparison of K-Medoids, K-Means, and Fuzzy C-Means
Industrial Engineering & Management Systems
2024 .09
-
Risk Averse Reinforcement Learning for Portfolio Optimization
한국통신학회 학술대회논문집
2021 .06
-
A Uniformly Distributed Random Portfolio
대한산업공학회 춘계공동학술대회 논문집
2015 .04
-
Some Observations for Portfolio Management Applications of Modern Machine Learning Methods
INTERNATIONAL JOURNAL of FUZZY LOGIC and INTELLIGENT SYSTEMS
2016 .03
-
A New Quantitative Predictability-Based Method of Risk Measurement to Make Profitable Investment Decisions in Financial Markets
Industrial Engineering & Management Systems
2020 .09
-
미국 ETF 시장의 암호화폐 지수 도입 가능성: 시스템 리스크와 포트폴리오 이론의 관점에서
대한산업공학회지
2022 .10
이 논문의 저자 정보
이 논문과 함께 이용한 논문
최근 본 자료
댓글(0)
0
UCI(KEPA) : I410-ECN-0101-2018-530-001255243