\ubcf8 \uac15\uc88c\uc5d0\uc11c\ub294 \uba38\uc2e0\ub7ec\ub2dd \ubc0f \ub525\ub7ec\ub2dd \uae30\uc220\uc744 \ud65c\uc6a9\ud558\uc5ec \ud3c9\uade0 \ubd84\uc0b0 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ucd5c\uc801\ud654\ub97c \uad6c\ud604\ud558\ub294 \ubc29\ubc95\uc5d0 \ub300\ud574 \uc54c\uc544\ubcf4\uaca0\uc2b5\ub2c8\ub2e4. \uc774 \uac15\uc88c\ub294 \ud000\ud2b8 \ub9e4\ub9e4\uc5d0 \uad00\uc2ec\uc774 \uc788\ub294 \ubaa8\ub4e0 \ubd84\ub4e4\uc744 \uc704\ud574 \uc791\uc131\ub418\uc5c8\uc73c\uba70, \ud22c\uc790 \uc804\ub7b5 \uac1c\ubc1c, \ub370\uc774\ud130 \ubd84\uc11d, \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc758 \uae30\ucd08\ubd80\ud130 \uace0\uae09 \ub0b4\uc6a9\uae4c\uc9c0 \ud3ec\uad04\uc801\uc73c\ub85c \ub2e4\ub8e8\uaca0\uc2b5\ub2c8\ub2e4.<\/p>\n<\/div>\n
\uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc740 \ud2b9\uc815 \uc870\uac74\uc5d0 \ub530\ub77c \uc790\ub3d9\uc73c\ub85c \ub9e4\ub9e4\ub97c \uc218\ud589\ud558\ub294 \uc2dc\uc2a4\ud15c\uc744 \uc758\ubbf8\ud569\ub2c8\ub2e4. \uc774 \uc2dc\uc2a4\ud15c\uc740 \uc8fc\uc2dd, \ucc44\uad8c, \ud30c\uc0dd\uc0c1\ud488 \ub4f1 \ub2e4\uc591\ud55c \uae08\uc735 \uc790\uc0b0\uc744 \ub300\uc0c1\uc73c\ub85c \ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc740 \uace0\ube48\ub3c4 \uac70\ub798, \uc2dc\uc7a5 \uc870\uc815, \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uad00\ub9ac \ub4f1 \uc5ec\ub7ec \ubd84\uc57c\uc5d0\uc11c \ub110\ub9ac \ud65c\uc6a9\ub418\uace0 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
1990\ub144\ub300\uc5d0 \ud574\ub9ac \ub9c8\ucf54\uc704\uce20(Harry Markowitz)\uc5d0 \uc758\ud574 \uc81c\uc548\ub41c \ud3c9\uade0 \ubd84\uc0b0 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uc774\ub860\uc740 \ud22c\uc790 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \uc704\ud5d8\uc744 \ucd5c\uc18c\ud654\ud558\uba74\uc11c \uae30\ub300 \uc218\uc775\uc744 \ucd5c\ub300\ud654\ud558\ub294 \ubc29\ubc95\ub860\uc785\ub2c8\ub2e4. \uc774 \uc774\ub860\uc758 \ud575\uc2ec\uc740 \ub2e4\uc591\ud55c \uc790\uc0b0\uc758 \uc870\ud569\uc744 \ud1b5\ud574 \ub9ac\uc2a4\ud06c\ub97c \ubd84\uc0b0\uc2dc\ud0a4\ub294 \uac83\uc785\ub2c8\ub2e4.<\/p>\n
\uae30\ub300 \uc218\uc775\uc740 \uace0\uc720\uc758 \uc790\uc0b0\uc5d0 \ub300\ud574 \ud22c\uc790\uc790\ub4e4\uc774 \uc608\uc0c1\ud558\ub294 \ud3c9\uade0\uc801\uc778 \uc218\uc775\uc744 \uc758\ubbf8\ud569\ub2c8\ub2e4. \ubc18\uba74, \ub9ac\uc2a4\ud06c\ub294 \uc790\uc0b0 \uc218\uc775\ub960\uc758 \ubcc0\ub3d9\uc131\uc744 \ub098\ud0c0\ub0c5\ub2c8\ub2e4. \ud3c9\uade0 \ubd84\uc0b0 \uc774\ub860\uc5d0\uc11c \ub9ac\uc2a4\ud06c\ub294 \ubd84\uc0b0 \ub610\ub294 \ud45c\uc900\ud3b8\ucc28\ub85c \uce21\uc815\ub429\ub2c8\ub2e4.<\/p>\n
\ud6a8\uc728\uc801 \ud504\ub860\ud2f0\uc5b4\ub780, \uc8fc\uc5b4\uc9c4 \ub9ac\uc2a4\ud06c \uc218\uc900\uc5d0\uc11c \ucd5c\ub300\uc758 \uae30\ub300 \uc218\uc775\uc744 \ub2ec\uc131\ud560 \uc218 \uc788\ub294 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \uc9d1\ud569\uc744 \uc758\ubbf8\ud569\ub2c8\ub2e4. \ud22c\uc790\uc790\ub294 \uc790\uc2e0\uc758 \ub9ac\uc2a4\ud06c \uc218\uc6a9 \ub2a5\ub825\uc5d0 \ub530\ub77c \uc774 \ud504\ub860\ud2f0\uc5b4 \uc0c1\uc5d0\uc11c \ucd5c\uc801\uc758 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub97c \uc120\ud0dd\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
\ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ucd5c\uc801\ud654\ub294 \uc77c\ubc18\uc801\uc73c\ub85c \ub2e4\uc74c\uacfc \uac19\uc740 \ubaa9\uc801 \ud568\uc218\ub97c \uc0ac\uc6a9\ud558\uc5ec \uc218\ud589\ub429\ub2c8\ub2e4:<\/p>\n
Maximize: E(R) - (\u03bb * \u03c3^2)<\/code><\/pre>\n\uc5ec\uae30\uc11c E(R)\uc740 \uae30\ub300 \uc218\uc775, \u03c3^2\ub294 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\uc758 \ubd84\uc0b0, \u03bb\ub294 \ub9ac\uc2a4\ud06c \ud68c\ud53c\ub3c4\uc785\ub2c8\ub2e4.<\/p>\n<\/div>\n
\n3. \uba38\uc2e0\ub7ec\ub2dd \ubc0f \ub525\ub7ec\ub2dd\uc744 \ud65c\uc6a9\ud55c \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ucd5c\uc801\ud654<\/h2>\n
\uba38\uc2e0\ub7ec\ub2dd\uacfc \ub525\ub7ec\ub2dd \uae30\uc220\uc744 \ud65c\uc6a9\ud558\uba74 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ucd5c\uc801\ud654\uc758 \uc815\ud655\uc131\uacfc \ud6a8\uc728\uc131\uc744 \ud06c\uac8c \ud5a5\uc0c1\uc2dc\ud0ac \uc218 \uc788\uc2b5\ub2c8\ub2e4. \uae30\uacc4 \ud559\uc2b5 \uae30\ubc95\uc744 \ud1b5\ud574 \ud1b5\uacc4\uc801 \ud328\ud134\uacfc \ud2b8\ub80c\ub4dc\ub97c \ud559\uc2b5\ud558\uc5ec \ubbf8\ub798 \uc218\uc775\ub960\uc744 \uc608\uce21\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
3.1 \ub370\uc774\ud130 \uc218\uc9d1<\/h3>\n
\uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc5d0\uc11c\uc758 \uccab \ubc88\uc9f8 \ub2e8\uacc4\ub294 \ub370\uc774\ud130 \uc218\uc9d1\uc785\ub2c8\ub2e4. Yahoo Finance, Alpha Vantage\uc640 \uac19\uc740 API\ub97c \uc0ac\uc6a9\ud558\uc5ec \ud544\uc694\ud55c \uc8fc\uc2dd \ub370\uc774\ud130\ub97c \uc218\uc9d1\ud569\ub2c8\ub2e4. \uc77c\ubc18\uc801\uc73c\ub85c \uc218\uc9d1\ud558\ub294 \ub370\uc774\ud130\ub294 \ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4:<\/p>\n
\n- \uac00\uaca9 \ub370\uc774\ud130: \uc8fc\uc2dd\uc758 \uc885\uac00, \uace0\uac00, \uc800\uac00, \uac1c\uc7a5\uac00 \ub4f1.<\/li>\n
- \uac70\ub798\ub7c9: \ud2b9\uc815 \uae30\uac04 \ub3d9\uc548 \uac70\ub798\ub41c \uc8fc\uc2dd \uc218.<\/li>\n
- \uc7ac\ubb34 \uc9c0\ud45c: PER, PBR, ROE \ub4f1 \uae30\uc5c5\uc758 \uc7ac\ubb34\uc801 \uac74\uac15 \uc0c1\ud0dc\ub97c \ub098\ud0c0\ub0b4\ub294 \ub9e4\ud2b8\ub9ad\uc2a4.<\/li>\n<\/ul>\n
3.2 \ub370\uc774\ud130 \uc804\ucc98\ub9ac<\/h3>\n
\uc218\uc9d1\ud55c \ub370\uc774\ud130\ub97c \ubd84\uc11d\ud558\uae30 \uc804\uc5d0 \uc804\ucc98\ub9ac \uacfc\uc815\uc744 \uac70\uccd0\uc57c \ud569\ub2c8\ub2e4. \uc774 \uacfc\uc815\uc5d0\uc11c\ub294 \uacb0\uce21\uac12 \ucc98\ub9ac, \uc774\uc0c1\uce58 \uc81c\uac70, \ub370\uc774\ud130 \uc815\uaddc\ud654 \ub4f1\uc744 \uc218\ud589\ud569\ub2c8\ub2e4. \ud30c\uc774\uc36c\uc758 Pandas \ub77c\uc774\ube0c\ub7ec\ub9ac\ub97c \uc0ac\uc6a9\ud558\uc5ec \ub370\uc774\ud130\ub97c \uc27d\uac8c \uc870\uc791\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n<\/div>\n
\n4. \uba38\uc2e0\ub7ec\ub2dd \ubaa8\ub378 \uc801\uc6a9<\/h2>\n
\ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ucd5c\uc801\ud654\ub97c \uc704\ud55c \uba38\uc2e0\ub7ec\ub2dd \ubaa8\ub378\uc758 \uc120\ud0dd\uacfc \uc801\uc6a9 \uacfc\uc815\uc5d0 \ub300\ud574 \uc54c\uc544\ubcf4\uaca0\uc2b5\ub2c8\ub2e4. \uac00\uc7a5 \ub9ce\uc774 \uc0ac\uc6a9\ub418\ub294 \uba38\uc2e0\ub7ec\ub2dd \uc54c\uace0\ub9ac\uc998\uc740 \ud68c\uadc0 \ubd84\uc11d, \uacb0\uc815 \ud2b8\ub9ac, \ub79c\ub364 \ud3ec\ub808\uc2a4\ud2b8, SVM, \uc2e0\uacbd\ub9dd \ub4f1\uc785\ub2c8\ub2e4.<\/p>\n
4.1 \ud68c\uadc0 \ubd84\uc11d<\/h3>\n
\ud68c\uadc0 \ubd84\uc11d\uc740 \uc8fc\uc2dd\uc758 \uacfc\uac70 \uc218\uc775\ub960\uc744 \uae30\ubc18\uc73c\ub85c \ubbf8\ub798 \uc218\uc775\ub960\uc744 \uc608\uce21\ud558\ub294 \ub370 \uc0ac\uc6a9\ub429\ub2c8\ub2e4. \uc120\ud615 \ud68c\uadc0, \ub2e4\ud56d \ud68c\uadc0 \ubaa8\ub378 \ub4f1\uc744 \uc0ac\uc6a9\ud558\uc5ec \uc218\uc775\ub960 \uc608\uce21 \ubaa8\ub378\uc744 \uad6c\ucd95\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
4.2 \ub79c\ub364 \ud3ec\ub808\uc2a4\ud2b8<\/h3>\n
\ub79c\ub364 \ud3ec\ub808\uc2a4\ud2b8\ub294 \uc5ec\ub7ec \uac1c\uc758 \uacb0\uc815 \ud2b8\ub9ac\ub97c \uc0dd\uc131\ud558\uc5ec \uacb0\uacfc\ub97c \ud3c9\uade0\ud654\ud568\uc73c\ub85c\uc368 \uc608\uce21 \uc131\ub2a5\uc744 \ud5a5\uc0c1\uc2dc\ud0a4\ub294 \uc54c\uace0\ub9ac\uc998\uc785\ub2c8\ub2e4. \uc774 \uc54c\uace0\ub9ac\uc998\uc740 \uc624\ubc84\ud53c\ud305\uc744 \ubc29\uc9c0\ud558\uace0, \ubcf5\uc7a1\ud55c \ub370\uc774\ud130\uc14b\uc5d0 \uc801\ud569\ud55c \uc608\uce21 \ubaa8\ub378\uc744 \uc0dd\uc131\ud558\ub294 \ub370 \uac15\ub825\ud569\ub2c8\ub2e4.<\/p>\n
4.3 \uc2e0\uacbd\ub9dd \ubaa8\ub378<\/h3>\n
\ub525\ub7ec\ub2dd\uc758 \ud55c \ubd84\uc57c\uc778 \uc778\uacf5\uc2e0\uacbd\ub9dd(ANN)\uc740 \ube44\uc120\ud615\uc801\uc778 \uad00\uacc4\ub97c \ubaa8\ub378\ub9c1\ud558\ub294 \ub370 \uac15\ub825\ud55c \ub3c4\uad6c\uc785\ub2c8\ub2e4. LSTM(Long Short-Term Memory) \ub124\ud2b8\uc6cc\ud06c\ub294 \uc2dc\uac04\uc5d0 \ub530\ub978 \ub370\uc774\ud130 \ubcc0\ud654\ub97c \uc798 \ud3ec\ucc29\ud558\uc5ec \uc8fc\uc2dd \uac00\uaca9 \uc608\uce21\uc5d0 \ud6a8\uacfc\uc801\uc785\ub2c8\ub2e4.<\/p>\n<\/div>\n
\n5. \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ucd5c\uc801\ud654 \uad6c\ud604<\/h2>\n
\uc774\uc81c \uba38\uc2e0\ub7ec\ub2dd \ubaa8\ub378\uc744 \ud559\uc2b5\uc2dc\ucf1c \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ucd5c\uc801\ud654\ub97c \uad6c\ud604\ud558\ub294 \ubc29\ubc95\uc744 \uc54c\uc544\ubcf4\uaca0\uc2b5\ub2c8\ub2e4. Python\uacfc \uad00\ub828 \ub77c\uc774\ube0c\ub7ec\ub9ac\ub97c \uc0ac\uc6a9\ud558\uc5ec \uc2e4\uc81c \ucf54\ub4dc \uc608\uc81c\ub97c \ud1b5\ud574 \uc124\uba85\ud558\uaca0\uc2b5\ub2c8\ub2e4.<\/p>\n
5.1 \ub77c\uc774\ube0c\ub7ec\ub9ac \uc124\uce58<\/h3>\npip install numpy pandas scikit-learn matplotlib yfinance<\/code><\/pre>\n5.2 \ub370\uc774\ud130 \uc218\uc9d1 \ubc0f \uc804\ucc98\ub9ac<\/h3>\n\nimport yfinance as yf\nimport pandas as pd\n\n# \uc8fc\uc2dd \ud2f0\ucee4 \ub9ac\uc2a4\ud2b8\ntickers = ['AAPL', 'GOOGL', 'MSFT', 'AMZN']\n\n# \ub370\uc774\ud130 \uc218\uc9d1\ndata = yf.download(tickers, start='2020-01-01', end='2023-01-01')['Adj Close']\n\n# \ub370\uc774\ud130 \uc804\ucc98\ub9ac\nreturns = data.pct_change().dropna()\n<\/code><\/pre>\n5.3 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uae30\ub300 \uc218\uc775 \ubc0f \ubd84\uc0b0 \uacc4\uc0b0<\/h3>\n\n# \uae30\ub300 \uc218\uc775 \uacc4\uc0b0\nexpected_returns = returns.mean() * 252 # \uc5f0\uac04 \uc218\uc775\ub960 \uacc4\uc0b0\n\n# \uacf5\ubd84\uc0b0 \ud589\ub82c \uacc4\uc0b0\ncov_matrix = returns.cov() * 252 # \uc5f0\uac04 \uacf5\ubd84\uc0b0 \uacc4\uc0b0\n<\/code><\/pre>\n5.4 \ucd5c\uc801\uc758 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uac00\uc911\uce58 \uacc4\uc0b0<\/h3>\n\nimport numpy as np\n\ndef portfolio_performance(weights):\n # \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uae30\ub300 \uc218\uc775 \ubc0f \ub9ac\uc2a4\ud06c\n portfolio_return = np.dot(weights, expected_returns)\n portfolio_volatility = np.sqrt(np.dot(weights.T, np.dot(cov_matrix, weights)))\n return portfolio_return, portfolio_volatility\n\n# \ucd08\uae30 \uac00\uc911\uce58\nnum_assets = len(tickers)\ninitial_weights = np.array(num_assets * [1. \/ num_assets])\n\n# \ubaa9\ud45c \ud568\uc218 \ubc0f \uc81c\uc57d\uc870\uac74 \uc124\uc815\nfrom scipy.optimize import minimize\n\ndef negative_sharpe_ratio(weights):\n p_return, p_volatility = portfolio_performance(weights)\n return -p_return \/ p_volatility\n\nconstraints = ({'type': 'eq', 'fun': lambda x: np.sum(x) - 1})\nbounds = tuple((0, 1) for asset in range(num_assets))\n\noptimal_portfolio = minimize(negative_sharpe_ratio, initial_weights, method='SLSQP', bounds=bounds, constraints=constraints)\noptimal_weights = optimal_portfolio.x\n<\/code><\/pre>\n<\/div>\n\n6. \ubc31\ud14c\uc2a4\ud305\uc73c\ub85c \uc131\ub2a5 \uac80\uc99d<\/h2>\n
\ubaa8\ub378\uc744 \uc124\uacc4\ud55c \ub4a4\uc5d4 \ubc31\ud14c\uc2a4\ud305\uc744 \ud1b5\ud574 \uc131\ub2a5\uc744 \uac80\uc99d\ud574\uc57c \ud569\ub2c8\ub2e4. \ubc31\ud14c\uc2a4\ud305\uc774\ub780 \uacfc\uac70 \ub370\uc774\ud130\ub97c \uc0ac\uc6a9\ud558\uc5ec \uac1c\ubc1c\ud55c \uc804\ub7b5\uc774 \uc2e4\uc81c\ub85c \uc791\ub3d9\ud588\uc744\uc9c0\ub97c \ud14c\uc2a4\ud2b8\ud558\ub294 \uacfc\uc815\uc744 \ud1b5\ud574, \uc791\ub3d9\ud558\uc9c0 \uc54a\uc744 \uacbd\uc6b0 \uadf8 \uc6d0\uc778\uc744 \ud30c\uc545\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n
6.1 \uc2dc\ubbac\ub808\uc774\uc158 \ud658\uacbd \uad6c\ucd95<\/h3>\n\n# \ub9e4\ub9e4 \uc2dc\ubbac\ub808\uc774\uc158\ninitial_investment = 1000000 # \ucd08\uae30 \ud22c\uc790 \uae08\uc561\nweights = optimal_weights # \ucd5c\uc801\uc758 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uac00\uc911\uce58\nportfolio_values = []\n\n# \ucd08\uae30 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \uac00\uce58\nportfolio_value = initial_investment\nfor date in returns.index:\n portfolio_value *= (1 + returns.loc[date].dot(weights))\n portfolio_values.append(portfolio_value)\n<\/code><\/pre>\n6.2 \uc131\uacfc \uba54\ud2b8\ub9ad \uacc4\uc0b0<\/h3>\n\nimport matplotlib.pyplot as plt\n\n# \ub204\uc801 \uc218\uc775\ub960 \ud50c\ub86f\nplt.figure(figsize=(10, 6))\nplt.plot(portfolio_values, label='Portfolio Value')\nplt.title('Portfolio Value Over Time')\nplt.xlabel('Date')\nplt.ylabel('Portfolio Value')\nplt.legend()\nplt.show()\n<\/code><\/pre>\n<\/div>\n\n7. \uacb0\ub860<\/h2>\n
\ubcf8 \uac15\uc88c\uc5d0\uc11c\ub294 \uba38\uc2e0\ub7ec\ub2dd \ubc0f \ub525\ub7ec\ub2dd\uc744 \ud65c\uc6a9\ud55c \ud3c9\uade0 \ubd84\uc0b0 \ud3ec\ud2b8\ud3f4\ub9ac\uc624 \ucd5c\uc801\ud654 \ubc29\ubc95\uc5d0 \ub300\ud574 \ub2e4\ub918\uc2b5\ub2c8\ub2e4. \uc54c\uace0\ub9ac\uc998 \ud2b8\ub808\uc774\ub529\uc758 \uae30\ucd08\ub97c \uc774\ud574\ud558\uace0, \ub370\uc774\ud130 \uc218\uc9d1 \ubc0f \uc804\ucc98\ub9ac\ub97c \ud1b5\ud574 \uba38\uc2e0\ub7ec\ub2dd \ubaa8\ub378\uc744 \uc801\uc6a9\ud558\uba70, \ucd5c\uc801\uc758 \ud3ec\ud2b8\ud3f4\ub9ac\uc624\ub97c \uad6c\uc131\ud558\ub294 \uacfc\uc815\uc744 \uc0c1\uc138\ud558\uac8c \uc124\uba85\ud588\uc2b5\ub2c8\ub2e4. \ud000\ud2b8 \ub9e4\ub9e4\ub97c \ud1b5\ud574 \uc548\uc815\uc801\uc774\uace0 \uc218\uc775\uc131 \ub192\uc740 \ud22c\uc790 \uc804\ub7b5\uc744 \uad6c\ud604\ud558\uae30 \uc704\ud574 \uacc4\uc18d\ud574\uc11c \ud559\uc2b5\ud558\uace0 \uc5f0\uad6c\ud558\ub294 \uac83\uc774 \uc911\uc694\ud569\ub2c8\ub2e4.<\/p>\n<\/div>\n