(An) analysis of the performance of the “1/N” naive portfolio strategy in the korean stock market = 한국 주식시장에서의 단순 “1/N”포트폴리오 전략의 성과 분석

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Since the pathfinding research by Markowitz in 1952, various optimal asset-allocation models have emerged. However, those elegant but complicated models have shown poor performance relative to a simple “1/N” strategy due to estimation errors in the U.S. Market. In this thesis, comparing is made that three measurements of 12 asset-allocation strategies to an “1/N” portfolio using historical data generated by the Korean stock market from January 2000 to December 2015. It is found that in the Korean stock market, minimum-variance portfolios with short sale constraints, mean-variance portfolios with short sale constraints, and Bayes-Stein portfolios with short sale constraints perform better than the other models in terms of Sharpe ratio and Certainty-equivalent returns. While these optimal asset-allocation models have higher turnover than the “1/N” portfolio, their Sharpe ratios are still higher than the “1/N” portfolio even after I consider transaction cost. I simulate 2000 years of excess returns data to examine the relationship between estimation windows and Sharpe ratios. Simulated data results show that the Sharpe ratio of the mean-variance portfolio becomes higher when estimation windows become longer. However, the Sharpe ratio of the mean-variance portfolio with short sale constraints and the Sharpe ratio of the Bayes-Stein portfolio with short sale constraints become worse when the estimation windows are extended further.
Advisors
Kim, Byung Chunresearcher김병천researcher
Description
한국과학기술원 :경영공학부,
Publisher
한국과학기술원
Issue Date
2017
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 경영공학부, 2017.2,[ii, 47 p. :]

Keywords

Asset-allocation▼aKorean stock marker▼aPortfolio performance▼a"1/N" portfolio▼aPortfolio optimazation; 자산배분▼a한국의 주식시장▼a포트폴리오의 성과▼a"1/N" 포트폴리오▼a포트폴리오 최적화

URI
http://hdl.handle.net/10203/242704
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=708587&flag=dissertation
Appears in Collection
MT-Theses_Master(석사논문)
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