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

이창수 (숭실대학교 정보통계학과)
Publication Information
Journal of Korean Society for Quality Management / v.31, no.3, 2003 , pp. 160-171 More about this Journal
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.
Keywords
Asset Portfolio Management; Mean-Variance Analysis; Structural Time-Series Model;
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