Earticle

초록

영어

In this study, we investigate empirically whether the control of the correlation matrix via the random matrix theory (RMT) method can create a more efficient portfolio than the traditional Markowitz's model. The reasons for this improvement are also investigated. From the viewpoints of both the degree of efficiency and diversification, we find that the portfolio from the correlation matrix without the properties of the largest eigenvalue via the RMT method is more efficient than the one created from the conventional Markowitz’s model. Furthermore, we empirically confirm that the properties of the largest eigenvalue cause an increase in the value of the correlation matrix and a decrease in the degree of diversification, thus ultimately increasing the degree of portfolio risk. These results suggest that the properties of a market factor are negatively related to the degree of efficiency obtainable through the Markowitz's portfolio model. In addition, on the basis of the ex-ante test (using the expected stock returns and risk of the past period as well as actual data in the future period) we find that the performance of the observed RMT-based efficient portfolio is superior to that of the portfolio from Markowitz's model. These results demonstrate that the improvement of Markowitz's portfolio model via the control of the correlation matrix can be a source of significant practical utility.

목차

Abstract
 1. Introduction
 2. Data and Methods
  2.1 Data
  2.2 Random Matrix Theory Method
  2.3 Markowitz's Optimization Model
 3. Results for Effective Portfolio Optimization
  3.1 Existence of a More Efficient Portfolio via the RMT
  3.2 Reasons for Existence of a More Efficient Portfolio
  3.3 The Effects of Market Properties on a More Efficient Portfolio
 4. Results for an Ex-ante test of a More Efficient Portfolio
  4.1 An Empirical Design for an Ex-ante Test
  4.2. Results from an Ex-ante Test
 5. Conclusions
 REFERENCES

저자

• Cheoljun Eom [ Division of Business Administration, Pusan National University, Busan 609-735, Republic of Korea ]
• Woo-Sung Jung [ Department of Physics and Basic Science Research Institute, Pohang University of Science and Technology, Pohang 790-784, Republic of Korea, Center for Polymer Studies and Department of Physics, Boston University, Boston, MA 02215, USA ]
• Taisei Kaizoji [ Division of Social Sciences, International Christian University, Tokyo 181-8585, Japan ]
• Yong H. Kim [ College of Business, University of Cincinnati, OH 45221, USA ] Corresponding author
• Jongwon Park [ Division of Business Administration, University of Seoul, Seoul 130-743, Republic of Korea ]

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간행물

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• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330