Strategy for Portfolio Management using Inventory Control Approach

Hyun Joon Shin; Jaepil Ryu  and Sung Won Yoo

doi:10.17485/ijst/2015/v8i25/80967

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Strategy for Portfolio Management using Inventory Control Approach

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Indian Journal of Science and Technology

DOI: 10.17485/ijst/2015/v8i25/80967

Year: 2015, Volume: 8, Issue: 25, Pages: 1-6

Original Article

Strategy for Portfolio Management using Inventory Control Approach

Hyun Joon Shin^1*, Jaepil Ryu² and Sung Won Yoo³

¹ Department of Management Engineering, Sangmyung University, Cheonan, Korea; [email protected]
² KIS Pricing Inc., Seoul, Korea; [email protected]
³ Department of Convergence, Sangmyung University, Cheonan, Korea; [email protected]

This work is licensed under a Creative Commons Attribution 4.0 International License.

Abstract

This paper proposes an efficient strategy for portfolio management named SPM with consideration of risk and required return. SPM employs Markowitz’s portfolio model to select securities and adopts inventory control scheme (ICS) that is a well-known technique in the inventory control area to revise the current portfolio. Computational experiments using virtual stock prices generated by Monte Carlo simulation method as well as real stock ones of KOSPI for recent 4 years are conducted to show the excellence of the portfolio management under ICS framework. The result shows that SPM is remarkably superior to both 6 or 12 months based periodic portfolio revision method and market (KOSPI index).
Keywords: ICS, Markowitz, Portfolio Management, SPM, Systematic Framework