Dynamic Portfolio Using Association Rules

• 발행기관: 한국자료분석학회
• 저자명: Hyeon-Jong Jung
• 간행물 정보: 『한국자료분석학회 학술대회자료집』2022년 하계학술대회 발표집, 211~214쪽, 전체 4쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2022.07.07

영문 초록

We provide dynamic portfolio strategy capitalizing on the time-varying association rules. We set the moving observation window and employed changes in the number of negative rules as a signal for portfolio weights. The back-testing result shows that increasing number of negative rules reflects newly formed negative linkages between Korea stock market and related variables. The result suggests that as a proxy for systemic risk measure, signal from association rules can be an effective tool for portfolio risk management.

목차

1. Introduction

2. Data and methodology

3. Test Results

4. Conclusions

References

키워드

association rules equity investment portfolio risk management