경영과학 (Korean Management Science Review)

한국경영과학회 (The Korean Operations Research and Management Science Society)
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ETF와 블랙리터만 모형을 이용한 인핸스드 인덱스 전략

Enhanced Indexation Strategy with ETF and Black-Litterman Model

  • 박기경 (고려대학교 산업경영공학부) ;
  • 이영호 (고려대학교 산업경영공학부) ;
  • 서지원 (고려대학교 산업경영공학부)
  • 투고 : 2013.05.28
  • 심사 : 2013.08.09
  • 발행 : 2013.11.30
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초록

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.

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참고문헌

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