Strategic asset allocation of credit guarantorsopen access
- Authors
- Rhee, Dong-Woo.; Kang, Hyoung Goo; Kim, Soo Hyun
- Issue Date
- Aug-2015
- Publisher
- CLUTE Institute
- Keywords
- Equal risk portfolio; Guarantee portfolio; Mean-variance optimization; Minimum variance portfolio; Strategic asset allocation
- Citation
- Journal of Applied Business Research, v.31, no.5, pp.1823 - 1834
- Indexed
- SCOPUS
- Journal Title
- Journal of Applied Business Research
- Volume
- 31
- Number
- 5
- Start Page
- 1823
- End Page
- 1834
- URI
- https://scholarworks.bwise.kr/hanyang/handle/2021.sw.hanyang/156615
- DOI
- 10.19030/jabr.v31i5.9406
- ISSN
- 0892-7626
- Abstract
- How to manage the portfolio of credit guarantors is important in practice and public policy, but has not been investigated well in the prior literature. We empirically compare four different approaches in managing credit guarantor portfolios. The four approaches are equal weighted, minimum variance, mean variance optimization and equal risk contribution methods. In terms of risk return ratio, the mean variance optimization model performs best in out-of-sample test. This result contrasts with previous findings against mean variance optimization. Our results are robust. The results do not change as the characteristics of guarantee portfolio vary.
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