An empirical study of improving portfolio performance with range correlation in the Korean Stock Market

Abstract

"The purpose of the present paper is to offer an empirical analysis of portfolio performance improvements using range correlation. The data are daily prices (opening, high, low, closing) of equities listed on the KOSPI200 during the period from 2 January 2002 to 30 May 2014. This paper is consisting of in-sample and out-sample test. The results of in-sample test show that if risks of a portfolio are lower while returns do not show a difference, the performance of a portfolio can be improved using range correlation. Also, From the out-sample test I found the evidence that range-correlation can decrease portfolios risk change ratio. ? 2014 International Information Institute.