IE interfaces (산업공학)

Korean Institute of Industrial Engineers (대한산업공학회)
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Portfolio Management Using Statistical Process Control Chart

SPC 차트를 이용한 포트폴리오 관리

  • Kim, Dong-Sup (Division of Information Management Engineering, Korea University) ;
  • Ryoo, Hong-Seo (Division of Information Management Engineering, Korea University)
  • 김동섭 (고려대학교 정보경영공학부) ;
  • 류홍서 (고려대학교 정보경영공학부)
  • Received : 20061200
  • Accepted : 20070500
  • Published : 2007.06.30
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Abstract

Portfolio management deals with decision making on 'when' and 'how' to revise an existing portfolio. In this paper, we show that a classical statistical process control (SPC) chart for normal data, a wellestablished tool in quality engineering, can effectively be used for signaling times for revising a portfolio. Noting that the day-to-day performance of a portfolio may be auto-correlated, we use the exponentially weighted moving average center-line chart to develop an automatic portfolio management procedure. The portfolio management procedure is extensively tested on historical data of equities traded in the Korea Exchange (KRX), the American Stock Exchange (AMEX), and the New York Stock Exchange (NYSE). In comparison with the performances of the KOSPI, XAX, and NYA indices during the same time periods, results from these experiments show that SPC chart-based portfolio revision presents itself a convenient and reliable method for optimally managing portfolios.

Keywords

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