Optimal Building Blocks for Single- and Multi-period Investment Management = 투자 기간에 따른 최적의 자산군에 대한 연구

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 14
  • Download : 0
Selection of the asset class is crucial to the performance in investment management. Some studies have researched the asset allocation with modern portfolio theory and found that selecting asset class for the asset allocation is important not only for short-term investment but also for multi-period investment. Although researchers have compared asset allocation and security selection or found the new asset class with specific scheme, the attempt to make a new building block from the single security was unprecedented. Therefore, we formulate a model to find the optimal building block for single-period as well as multi-period investment. We also applied genetic algorithm to handle the population problem when selecting the ingredients of building block. We analyzed how the optimal building block has changed from the various settings, such as investor’s risk appetite, investment period, the number of assets in a building block and the goal. As a result, they included more commodities with higher risk tolerance in single-period investment. In multi-period investment, we discovered when we extended the building block with seven assets, it would better to invest to commodities with easy goal for five to ten years, and more stocks of developed countries for ten years. However, it was hard to find a huge tendency in general. Hence, we should equip the various set of assets for investment management.
Advisors
Kim, Woo Changresearcher김우창researcher
Description
한국과학기술원 :산업및시스템공학과,
Publisher
한국과학기술원
Issue Date
2019
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 산업및시스템공학과, 2019.2,[iv, 29 p. :]

Keywords

Security selection▼aasset allocation▼aasset classification▼ainvestment management▼agenetic algorithm; 증권 선택▼a자산 배분; 자산 분류▼a투자관리▼a유전자 알고리즘

URI
http://hdl.handle.net/10203/266231
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=843193&flag=dissertation
Appears in Collection
IE-Theses_Master(석사논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0