Journal of Korean Society for Quality Management (품질경영학회지)

Korean Society for Quality Management (한국품질경영학회)
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A Study on the Way to Improve Quality of Asset Portfolio Management Using Structural Time-Series Model

구조적 시계열모형을 이용한 자산포트폴리오 관리의 개선 방안

  • 이창수 (숭실대학교 정보통계학과)
  • Published : 2003.09.01
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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.

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References

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