외환 시장 포트폴리오 선정 모형과 투자 알고리즘 개발 및 성과평가

In this paper, we develop a portfolio selection model that can be used to invest in markets with margin requirementssuch as the foreign exchange market. An investment algorithm to implement the proposed portfolio selection modelbased on objective historical data is also presented. We further conduct empirical analysis on the performance ofa hypothetical investment in the foreign exchange market, using the proposed portfolio selection model and investmentalgorithm. Using 7 currency pairs that recorded the highest trading volume in the foreign exchange market duringthe most recent 10 years, we compare the performance of 1) the Dollar Index, 2) a 1/N Portfolio which equally allocatescapital to all N assets considered for investment, and 3) a hypothetical investment portfolio selected and managedaccording to the portfolio selection model and investment algorithm proposed in this paper. Performance is comparedin terms of accumulated returns and Sharpe ratios for the 10-year period from January 2003 to December 2012. Theresults show that the hypothetical investment portfolio outperforms both benchmarks, with superior performance especiallyduring the period following financial crisis. Overall, this paper suggests that a mathematical approach for selectingand managing an optimal investment portfolio based on objective data can achieve outstanding performance in theforeign exchange market.