INVESTMENT PERFORMANCE OF THE MARKOWITZ’S PORTFOLIO SELECTION MODEL IN THE KOREAN STOCK MARKET

 

Seongmoon Kim, Hongseon Kim

 

Abstract

 

This paper investigated performance of the Markowitz’s portfolio selection model with applications to Korean stock market. We chose Samsung-Group-Funds and KOSPI (Korea Composite Stock Price Index) for performance comparison with the Markowitz’s portfolio selection model. For one and a half year period between March 2007 and September 2008, KOSPI almost remained the same with only 0.1% change, Samsung-Group-Funds showed 20.54% return, and Markowitz’s model, which is composed of the same 17 Samsung group stocks, achieved 52% return. We did sensitivity analysis on the length of referencing financial database (6 months, 1 year, and 2 years) and the frequency of portfolio change (1 week, 4 weeks, 8 weeks, and 12 weeks) to compare the investment performance.

 

Lecture Notes in Management Science (2011) Vol. 3: 27-32

3rd International Conference on Applied Operational Research, Proceedings

© Tadbir Operational Research Group Ltd. All rights reserved.

www.tadbir.ca

 

ISSN 2008-0050 (Print)

ISSN 1927-0097 (Online)

 

ARTICLE OUTLINE

 

·         Introduction

·         Model

·         Methodology

·         Experimental Results

·         Sensitivity Analysis

·         Conclusion

·         References

 

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