원문정보
Strategic Asset Allocation based on Risk-Return Relationship of Alternative Investment Assets : On the Asset Management Aspects of Institutional Investors
초록
영어
The purpose of this study is to find out the optimal amount of investment in constructing a portfolio of real estate investments in Korea. The Strategic Asset Allocation is sought when a portfolio is structured with domestic real-estate investments and bonds and short-term investments. The analysis method was derived by applying the Efficient Frontier based on the MVO model of Makowitz. As a result of the analysis, Assuming that the proportion of each asset should be invested to at least 10%, there were three possible portfolio alternatives. The Strategic Asset Allocation is OB_R 14% : RB_R 18% : 17% of corporate bonds : Government bonds 23% : MMF 28% etc. At this time, the optimal return range was between 3.3% and 3.7%, the risk range was between 4.57 and 4.79. Consequently, it demonstrated asset allocation taking into account appropriate risks and return levels when constructing strategic asset allocation for domestic corporate bonds and government bonds and commercial buildings.
목차
Ⅰ. 서론
1. 연구의 목적과 범위
2. 이론적 고찰 및 선행연구 검토
II. 분석모형 및 분석자료
1. 연구모델과 분석방법
2. 분석자료
Ⅲ. 분석 결과
1. 분석대상 자산군의 통계 분석
2. MVO 및 효율적 시장기회선 도출
Ⅳ. 결론
참고문헌