
학술대회자료
Dynamic Portfolio Using Association Rules
- Hyeon-Jong Jung
- 한국자료분석학회
- 한국자료분석학회 학술대회자료집
- 2022년 하계학술대회 발표집
- 2022.07
- 211 - 214 (4 pages)
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.
1. Introduction
2. Data and methodology
3. Test Results
4. Conclusions
References