Strategy for Portfolio Management using Inventory Control Approach

摘要

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).