ETF와 블랙리터만 모형을 이용한 인핸스드 인덱스 전략
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 박기경 | - |
dc.contributor.author | 이영호 | - |
dc.contributor.author | 서지원 | - |
dc.date.accessioned | 2021-09-06T07:33:03Z | - |
dc.date.available | 2021-09-06T07:33:03Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2013 | - |
dc.identifier.issn | 1225-1100 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/105042 | - |
dc.description.abstract | In this paper, we deal with an enhanced index fund strategy by implementing the exchange trade funds (ETFs) within the context of the Black-Litterman approach. The KOSPI200 index ETF is used to build risk-controlled portfolio that tracks the benchmark index, while the proposed Black-Litterman model mitigates estimation errors in incorporating both active investment views and equilibrium views. First, we construct a Black-Litterman model portfolio with the active market perspective based on the momentum strategy. Then, we update the portfolio with the KOSPI200 index ETF by using the equilibrium return ratio and weighted averages, while devising optimization modeling for improving the information ratio (IR) of the portfolio. Finally, we demonstrate the empirical viability of the proposed enhanced index strategies with KOSPI 200 data. | - |
dc.language | Korean | - |
dc.language.iso | ko | - |
dc.publisher | 한국경영과학회 | - |
dc.title | ETF와 블랙리터만 모형을 이용한 인핸스드 인덱스 전략 | - |
dc.title.alternative | Enhanced Indexation Strategy with ETF and Black-Litterman Model | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 이영호 | - |
dc.identifier.doi | 10.7737/KMSR.2013.30.3.001 | - |
dc.identifier.bibliographicCitation | 경영과학, v.30, no.3, pp.1 - 16 | - |
dc.relation.isPartOf | 경영과학 | - |
dc.citation.title | 경영과학 | - |
dc.citation.volume | 30 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 1 | - |
dc.citation.endPage | 16 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART001820361 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Enhanced Index Funds | - |
dc.subject.keywordAuthor | Black-Literman Model | - |
dc.subject.keywordAuthor | Exchange Trade Funds | - |
dc.subject.keywordAuthor | Information Ratio | - |
dc.subject.keywordAuthor | Momentum Strategy | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.