ETF와 블랙리터만 모형을 이용한 인핸스드 인덱스 전략Enhanced Indexation Strategy with ETF and Black-Litterman Model
- Other Titles
- Enhanced Indexation Strategy with ETF and Black-Litterman Model
- Authors
- 박기경; 이영호; 서지원
- Issue Date
- 2013
- Publisher
- 한국경영과학회
- Keywords
- Enhanced Index Funds; Black-Literman Model; Exchange Trade Funds; Information Ratio; Momentum Strategy
- Citation
- 경영과학, v.30, no.3, pp.1 - 16
- Indexed
- KCI
- Journal Title
- 경영과학
- Volume
- 30
- Number
- 3
- Start Page
- 1
- End Page
- 16
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/105042
- DOI
- 10.7737/KMSR.2013.30.3.001
- ISSN
- 1225-1100
- 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.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - College of Engineering > School of Industrial and Management Engineering > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.