원문정보
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초록
영어
This research paper analyzed the stock prices of Mongolia Stock Exchange TOP 20 index from 1 January 2012 to 31 December 2016, and estimated the return rate of these stocks. A hierarchical clustering was created from the correlation matrix of stock returns. From this clustering five stocks were selected for the portfolio construction and the rate of return was maximized using the Modern Portfolio Theory developed by Harry Markowitz. The weight of each stock in the portfolio was calculated for maximization the return rate of the portfolio, and 12 portfolios were constructed from these five stocks. An investor can select appropriate one of these portfolios in accordance with his or her risk and return characteristics.
목차
Abstract
I. INTRODUCTION
II. LITERATURE REVIEW
A. Portfolio management
B. Literature review on the use of data mining methods in the stock market
III. RESEARCH METHODOLOGY
A. Model developed by H. Markowitz
B. Hierarchical clustering analysis
IV. DATA DESCRIPTION
V. EXPERIMENTAL RESULTS
A. Creating a hierarchical clustering
B. Portfolio optimization
VI. CONCLUSION
REFERENCES
I. INTRODUCTION
II. LITERATURE REVIEW
A. Portfolio management
B. Literature review on the use of data mining methods in the stock market
III. RESEARCH METHODOLOGY
A. Model developed by H. Markowitz
B. Hierarchical clustering analysis
IV. DATA DESCRIPTION
V. EXPERIMENTAL RESULTS
A. Creating a hierarchical clustering
B. Portfolio optimization
VI. CONCLUSION
REFERENCES
키워드
저자정보
참고문헌
자료제공 : 네이버학술정보