A Study on the Way to Improve Quality of Asset Portfolio Management Using Structural Time-Series Model

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Journal of Korean Society for Quality Management > Volume 31(3); 2003 > Article

Journal of Korean Society for Quality Management 2003;31(3): 160-.

구조적 시계열모형을 이용한 자산포트폴리오 관리의 개선 방안

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숭실대학교 정보통계학과

A Study on the Way to Improve Quality of Asset Portfolio Management Using Structural Time-Series Model

ABSTRACT

Criteria for the comparison of quality of asset portfolio management are risk and return. In this paper a method to use structural time-series model to determine an optimal portfolio for the improvement of quality of asset portfolio management is suggested. In traditional mean variance analysis expected return is assumed to be time-invariant. However, it is more realistic to assume that expected return is temporally dynamic and structural time-series model can be used to reflect time-varying nature of return. A data set from an insurance company was used to show validity of suggested method.

Key Words: Asset Portfolio Management;Mean-Variance Analysis;Structural Time-Series Model;