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Journal of Korean Society for Quality Management 2003;31(3): 160-. |
구조적 시계열모형을 이용한 자산포트폴리오 관리의 개선 방안 |
이창수 |
숭실대학교 정보통계학과 |
A Study on the Way to Improve Quality of Asset Portfolio Management Using Structural Time-Series Model |
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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; |
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