Journal of the Korean Data and Information Science Society

한국데이터정보과학회 (The Korean Data and Information Science Society)
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재무비율을 활용한 포트폴리오 최적화 전략

Portfolio optimization strategy based on financial ratios

  • 최정용 (연세대학교 투자정보공학) ;
  • 김지우 (연세대학교 산업공학과) ;
  • 오경주 (연세대학교 산업공학과)
  • Choi, Jung Yong (Division of Investment Information Engineering, Yonsei University) ;
  • Kim, Jiwoo (Department of Industrial Engineering, Yonsei University) ;
  • Oh, Kyong Joo (Department of Industrial Engineering, Yonsei University)
  • 투고 : 2017.10.16
  • 심사 : 2017.11.13
  • 발행 : 2017.11.30
⟨ 이전 논문 다음 논문 ⟩

초록

본 연구는 우리나라 주식시장을 대상으로 회계 정보 기반 포트폴리오 투자전략의 안정성과 우수성을 확인하였다. 포트폴리오를 구성 하는 과정에서 재무비율의 다양한 조합을 활용하여 기대수익률이 높고, 투자 위험이 낮은 종목군을 선정하고 그 성과를 측정하였다. 또한 회계 정보 기반 유전자 알고리즘 최적화 아이디어를 제시하여 투자성과를 높이고자 했다. 본 연구의 결과로 회계 정보를 활용한 포트폴리오 구성 전략이 투자 의사결정에 유효하며, 이를 통하여 높은 투자성과를 얻을 수 있음을 확인했다. 또한 유전자 알고리즘을 활용한 포트폴리오 투자전략이 실무적으로 투자 의사결정에 유용하게 활용될 수 있음을 검증하였다.

This study examines the stability and excellence of portfolio investment strategies based on the accounting information of the Korean stock market. In the process of constructing the portfolio, various combinations of financial ratios are used to select the stocks with high expected return and to measure their performance. We also tried to improve our investment performance by using genetic algorithm optimization. The results of this study show that portfolio strategies using accounting information are effective for investment decision making and can achieve high investment performance. We also verify that portfolio strategy using genetic algorithms can be effective for investment decision making.

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과제정보

연구 과제 주관 기관 : 한국연구재단

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