Russell-Yasuda모형을 사용한 다기간 자산관리 실증연구

Abstract

Recently, financial environments-regulations, competitions, and uncertainties in both asset and liability side- are changing rapidly, but investors rebalance their portfolio over time. Therefore we need new model instead of single period investment model which is not enough to help investors make tlheir decisions about how to allocate their limited wealth to different assets. So this paper proposes multi-period asset management model. Multi-period Asset Management Model is considered to be more coherent portfolio management model than Mean-Variance model. Multi-period asset management model has property of multi-period and stochastic recourse model. This paper empirically tests 9 assets portfolio optimization using stochastic model and myopic deterministic model, then compare 2 models using back-testing (200l.l-2002.ll). As the result, when we compare 9 assets portfolios using bath stochastic and deterministic model, the optimal portfolio shows different asset weight, which deterministic model proposes whole wealth to be invested in manufacturing industry but stochastic model proposes wealth to be diversified to distribution industry and short term government bond (3m-ly). After back-testing this asset weight, we can show that stochastic model makes higher return. So we can say that stochastic propose more efficient portfolio than deterministic model. But the number of scenario is not sufficient for stochastic model aid some problems using user definition method still remain in this paper.