215 89

Strategic Asset Allocation Of Credit Guarantors

Title
Strategic Asset Allocation Of Credit Guarantors
Author
강형구
Keywords
Strategic Asset Allocation; Guarantee Portfolio; Mean-Variance Optimization; Minimum Variance Portfolio; Equal Risk Portfolio
Issue Date
2015-09
Publisher
The Clute Institute
Citation
Journal of Applied Business Research, v. 31, NO 5, Page. 1823-1834
Abstract
How to manage the portfolio of credit guarantors is important in practice and public policy, but has not been investigated well in the prior literature. We empirically compare four different approaches in managing credit guarantor portfolios. The four approaches are equal weighted, minimum variance, mean variance optimization and equal risk contribution methods. In terms of risk return ratio, the mean variance optimization model performs best in out-of-sample test. This result contrasts with previous findings against mean variance optimization. Our results are robust. The results do not change as the characteristics of guarantee portfolio vary.
URI
https://www.cluteinstitute.com/ojs/index.php/JABR/article/view/9406http://hdl.handle.net/20.500.11754/27761
ISSN
0892-7626; 2157-8834
DOI
10.19030/jabr.v31i5.9406
Appears in Collections:
GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > ETC
Files in This Item:
Strategic Asset Allocation Of Credit Guarantors.pdfDownload
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE