학술논문
An Analysis of the Performance of the “1/N” Naïve Portfolio Strategy i n Korean S tock M arkets
이용수 59
- 영문명
- 발행기관
- People & Global Business Association
- 저자명
- Sang Hoon Lee Ji hun Kim
- 간행물 정보
- 『Global Business and Finance Review』Vol.23 No.4, 94~108쪽, 전체 15쪽
- 주제분류
- 경제경영 > 경영학
- 파일형태
- 발행일자
- 2018.12.30
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국문 초록
영문 초록
In this study, we compare three measurements of 12 asset-allocation strategies to a “1/N” portfolio using historical data of Korean stock markets, which is a representative emerging market, from January 2000 to December 2015. We find that in Korean stock markets the asset allocation strategies with short sale constraint have better performance than the “1/N” portfolio (i.e., high Sharpe ratios and high certainty-equivalent returns). While these optimal asset-allocation models have higher turnover than the “1/N” portfolio, the Sharpe ratio of short sale constraint is still higher than the “1/N” portfolio when we consider transaction costs. The results are surprising because no asset-allocation strategies are consistently dominant on “1/N” portfolio using US stock market data.
목차
Abstract
Ⅰ. Introduction
Ⅱ. Information on data and asset-allocation strategy
Ⅲ. Empirical Results
Ⅳ. Concluding Remarks
References
키워드
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