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
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- Strategic Asset Allocation Of Credit Guarantors.pdfDownload
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