Track: Financial Engineering

Abstract

Investors have made efforts for the constructive strategy establishment to invest the stock that has high rates of return and minimal risks. These efforts are originated from Markowitz's Mean-variance portfolio model. In addition, this is connected to the research of optimal portfolio model. These days, various portfolio models exist in the world and it is perplexing to judge what the most appropriate portfolio model is. Accordingly, this study evaluated the upper hand by comparison and analysis that selected the typical portfolio models. This study used the Mean-Variance portfolio model, TASD (Target Absolute Semi-Deviation) model and equally weighted portfolio (1/N strategy) model. This research carried out the simulated investment from June 25 to July 7 and used the result index to compare these portfolio models.

As a result of performance measurement, all portfolio models occurred the minus return because the price of KOSPI rapidly decreased during this research period. However, the TASD model showed the superior performance at result of performance measurement except the risk. This study analyzed the reason of the result that TASD model coped with the stock market fluctuations most flexibly. However, the equally weighted portfolio is debased in every performance measurement except the risk. We found out that the equally weighted portfolio has no theoretical basis or estimation so that it is hard to handle the risk when the stock market changes rapidly. Therefore, this research makes sure that the TASD portfolio model is the best portfolio model that minimizes the rate of minus return when the people do not know the case of change in a market in the future.