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Portfolio optimization strategy based on financial ratios
Journal of the Korean Data & Information Science Society 2017;28:1481-500
Published online November 30, 2017
© 2017 Korean Data & Information Science Society.

Jung Yong Choi1 · Jiwoo Kim2 · Kyong Joo Oh3

1Devision of Investment Information Engineering, Yonsei University
23Department of Industrial Engineering, Yonsei University
Correspondence to: Kyong Joo Oh
Professor, Department of Industrial Engineering, Yonsei University, Seoul, 03722, Korea. E-mail:
Received October 16, 2017; Revised November 7, 2017; Accepted November 13, 2017.
This is an Open Access article distributed under the terms of the Creative Commons Attribution Non-Commercial License ( which permits unrestricted non-commercial use, distribution, and reproduction in any medium, provided the original work is properly cited.
This study examines the stability and excellence of portfolio investment strategies based on the accounting information of the Korean stock market. In the process of constructing the portfolio, various combinations of financial ratios are used to select the stocks with high expected return and to measure their performance. We also tried to improve our investment performance by using genetic algorithm optimization. The results of this study show that portfolio strategies using accounting information are effective for investment decision making and can achieve high investment performance. We also verify that portfolio strategy using genetic algorithms can be effective for investment decision making.
Keywords : financial ratio, genetic algorithm, portfolio decision making, portfolio strategies