2008/03/14 뷰죚릤돌 쫽솿뮯춶 뚯첬뗷헻쳡짽ퟩ뫏벨킧 ꆪꆪ춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 쿠맘퇐뺿 퓚컒쏇믺릹춶헟뗄춶맦쒣풽살풽듳뗄쟩뿶쿂ꎬ뷶뷶뾿뺫톡룶막살퓶볓ꆶ쫽솿뮯톡막쾵쇐퇐뺿횮튻ꎺ돉뎤뺫컒쏇뗄춶쫕틦뿉쓜뮹늻릻ꆣ닉폃쫊떱뗄춶ퟩ뫏폅뮯벼쫵ꎬ뿉틔맦뇜믲톡50ꆷ 붵뗍늿럖쫐뎡럧쿕ꎬ듓뛸퓶잿컒쏇춶ퟩ뫏뗄헻쳥춶쫕틦ꆣ헢튲쫇컒쏇 죏캪춶ퟩ뫏폅뮯벼쫵퓚춶뻶닟훐뻟폐럇뎣훘튪뗘캻뗄틲평ꆣ 춶ퟩ뫏폅뮯벼쫵훷튪냼삨뺲첬뗄닺엤훃랽쪽뫍뚯첬뗄닺뗷헻랽쪽ꆣ 뺲첬뗄닺엤훃랽쪽훷튪쫇퓚춶웚돵뻍뛔춶ퟩ뫏훐뗄닺뷸탐ퟮ폅뗄 뇈샽럖엤ꎬ틔웚듯떽ퟮ폅뗄춶킧맻ꆣ뚯첬뗷헻뗄랽쪽훷튪쫇퓚춶ퟩ뫏 뗄돖폐맽돌훐틲펦ꎨ풤웚뗄ꎩ릫쮾믹놾쏦ꆢ쫐뎡ힴ뿶ꆢ뫪맛뺭볃뗈뗈랽쏦뗄뇤뮯뛸뛔닺뗄춷듧뷸탐쫊떱뗄뗷헻ꆣ 컒쏇닉폃춶ퟩ뫏폅뮯벼쫵뗄쒿뗄뻍쫇캪쇋퓚풤웚쫕틦폫풤웚럧쿕횮볤톰헒ퟮ폅뗄욽뫢뗣ꆣ뒫춳뗄춶ퟩ뫏샭싛듳뛠풴ퟔ폚Markowitz뗄뻹횵-랽닮쒣탍ꎬ뫋탄쮼쿫뻍쫇ퟶ럖즢뮯춶ꎬ붵뗍춶ퟩ뫏뗄럇쾵춳탔럧쿕ꎬ춬쪱믱뗃ퟮ폅뗄춶믘놨ꆣ 컒쏇뿉쓜룼볓룐탋좤뗄쫇뛔쯹돖폐춶ퟩ뫏퓚잡떱뗄쪱믺뷸탐쫊떱뗄뚯첬뗷헻ꎬ틔웚붵뗍춶ퟩ뫏뗄럧쿕ꎬ믱좡룼뛠뗄뷗뛎탔쫕틦ꆣ듓뛸퓚춶맽돌훐돖폐컈붡뗄춶ퟩ뫏ꎬ쪵쿖ퟮ듳뗄춶믘놨ꆣ뚯첬뗷헻닟싔훷튪냼삨ꆰ퓙욽뫢ꆱꎨrebalanceꎩ닟싔ꆢCPPI닟싔틔벰믽벫뗄뚯첬닟싔뗈뗈ꎬ웤훐 믽벫뗄뚯첬닟싔쯹냼몬뗄쒣탍ퟮ캪럡뢻ꎬ뿉틔닉폃룼뛠뗄횸뇪뷸탐붨쒣ꎬ 쫔춼헒떽뫏뫵쫐뿶뗄춶ퟩ뫏뗷헻닟싔ꆣ 쇭췢ꎬ쎿튻훖춶ퟩ뫏폅뮯닟싔뚼틀삵폚춶헟늻춬뗄럧쿕돐쫜쓜솦ꎬ뛸 쟒튲틀삵폚뛔쫐뎡늨뚯돌뛈뗄맛달쓜솦ꆣ퓚톡퓱쫊떱뗄ퟩ뫏폅뮯닟싔쪱ꎬ 컒쏇펦룃돤럖뾼싇춶뗄쒿뇪ꆢ럧쿕뗄돐쫜쓜솦틔벰쫐뎡뗄늨뚯탔뗈뗈랽 쏦ꎬ듓뛸뷸탐샭탔뗄붨쒣ꎬ헒떽뫏쫊뗄뚯첬뗷헻닟싔ꆣ 컒쏇뾼달닉폃Markowitz쒣탍ꆢTreynor-Black쒣탍틔벰뚯첬뗷헻닟싔ꎨ쟩 탷횸뇪ꎩ뛔쫽솿뮯톡막쯹췆볶뗄G50뷸탐춶ퟩ뫏폅뮯닢쫔ꎬ쿠뇈뗈뇈샽 엤훃뗄G50춶ퟩ뫏ꎬ뒫춳쒣탍죔좻뿉쓜듸살뷏뫃뗄믘놨ꎬ쯤좻컈뚨탔폐 듽맛달ꆣ떫컒쏇춬쪱튲뾴떽뚯첬뗷헻닟싔쯹듸살뗄룼캪솼뫃뗄킧맻ꎬ벴퓚 맦뇜럧쿕ꆢ믱좡룼뫃뗄쫕틦랽쏦뗃떽룼뫃뗄뷡뫏뫍욽뫢ꆣ 컒쏇펦룃닉폃쓇킩폐뺭볃틢틥ꆢ럻뫏샭탔풤웚ꆢ폐횱맛뷢쫍뗄횸뇪ꎬ솦춼 럖 컶 쪦 붨솢룼캪럻뫏쫐뎡쟩뿶ꆢ쫐뎡풤웚ꆢ쇩믮믺뚯뗄뚯첬뗷헻쒣탍ꆣ컒쏇쿠탅킻 붭 헒떽뷏뫃뗄뚯첬뗷헻닟싔뿉틔캪컒쏇뗄춶놣볝뮤몽ꎬ듓뛸믱뗃ퟮ병뗄럧(0755) 8249 2392 쿕폫쫕틦쿠욥엤뗄춶ퟩ뫏ꆣxiejiang@ 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 1 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 쒿 슼 튻ꎬ뒫춳뗄춶ퟩ뫏폅뮯쒣탍......................................................................3 . Markowitz뗄뻹횵ꎭ랽닮ퟩ뫏폅뮯쒣탍..........................................3 . Sharpe뗄떥횸쫽쒣탍....................................................................4 . Treynor-Black쒣탍........................................................................4 튻룶샽ퟓꎺ....................................................................................5 쒣탍뗄삩햹....................................................................................5 . Black-Litterman쒣탍.....................................................................6 . 웤쯻뗄ퟩ뫏폅뮯쒣탍.....................................................................6 뛾ꎬ뚯첬뗷헻춶ퟩ뫏벼쫵.........................................................................7 . 퓙욽뫢닟싔...................................................................................7 . CPPI닟싔......................................................................................8 . 믽벫뗄뚯첬닟싔............................................................................8 죽ꎬ톡퓱쫊떱뗄춶ퟩ뫏닟싔......................................................................9 . 늻춬춶쒿뇪닉폃늻춬뗄ퟩ뫏닟싔................................................9 . 쪵횤킧맻.......................................................................................9 . 쫽뻝..................................................................................10 . 뒫춳닟싔죔폐킧맻.............................................................10 . 뚯첬닟싔폐킧맦뇜럧쿕......................................................11 . 뚨웚뗷헻닟싔탨뷷짷.........................................................13 . 틲쫆샻떼랽뿉캪..........................................................................15 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 2 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 튻ꎬ뒫춳뗄춶ퟩ뫏폅뮯쒣탍 뒫춳뗄춶ퟩ뫏폅뮯샭싛훷튪쫇첽쳖퓵퇹ퟶ럖즢뮯춶ꎬ틔웚붵뗍춶ퟩ뫏뗄럇쾵춳탔럧쿕뛸춬쪱믱뗃ퟮ폅뗄춶믘놨ꆣ헽쯹캽ꎬꆰ늻튪냑쯹폐뗄벦떰럅퓚튻룶삺ퟓ샯ꆱꎬ헢쫇뛔뛠풪뮯춶ퟩ뫏뗄ퟮ병뇈폷ꎬ튲틑돉캪쿖듺뷰죚춶뷧벰톧쫵퇐뺿랽쏦뗄튻쳵ힼ짾ꆣ쿖듺춶ퟩ뫏샭싛죏캪ꎬ폐킩럧쿕폫웤쯻횤좯컞맘ꎬ럖즢춶뛔쿳뿉틔복짙럇쾵춳탔럧쿕ꎨunique risk or unsystematic riskꎩꆣ쫐뎡럧쿕튻냣폐솽훖ꎺ럇쾵춳탔럧쿕뫍쾵춳럧쿕ꎨsystematic riskꎩꎬ잰헟쫇횸캧죆ퟅ룶뇰릫쮾뗄럧쿕ꎬ쫇횸떥룶릫쮾춶믘놨뗄늻좷뚨탔ꎻ뫳헟횸헻룶헾훎ꆢ뺭볃ꆢ짧믡ꆢ뻼쫂ꆢퟔ좻퓖몦뗈뗈쯹닺짺돶살뗄럧쿕ꎬ늢쟒컞램평럖즢춶살복쟡ꆣ 쿖듺춶ퟩ뫏샭싛ퟮ돵쫇평쏀맺뺭볃톧볒맾샯ꆤ십뿆캬듄ꎨMarkowitzꎩ폚1952쓪뒴솢뗄ꎬ쯻죏캪ퟮ병춶ퟩ뫏펦떱쫇뻟폐럧쿕퇡뛱쳘헷뗄춶헟뗄컞닮틬쟺쿟폫춶ퟩ뫏폐킧잰퇘뗄붻뗣ꆣ췾솮ꆤ쿄웕ꎨSharpeꎩ퓲퓚웤믹뒡짏쳡돶떥횸쫽쒣탍(Single Index Model)ꎬ늢뻝듋붨솢쇋놾닺뚨볛쒣탍(CAPM)ꎬ횸돶컞럧쿕닺쫕틦싊폫폐킧싊뗄럧쿕닺ퟩ뫏쫕틦싊횮볤뗄솬쿟듺뇭쇋룷훖럧쿕욫뫃뗄춶헟ퟩ뫏ꆣ룹뻝짏쫶샭싛ꎬ춶헟퓚ힷ쟳쫕틦뫍퇡뛱럧쿕뗄쟽뚯쿂ꎬ믡룹뻝ퟩ뫏럧쿕쫕틦뗄뇤뮯뗷헻닺ퟩ뫏뗄릹돉ꎬ뷸뛸믡펰쿬떽쫐뎡뻹뫢볛룱뗄탎돉ꆣ . Markowitz뗄뻹횵ꎭ랽닮ퟩ뫏폅뮯쒣탍 Markowitz(1952)쳡돶뗄ꆰ뻹횵ꎭ랽닮ퟩ뫏쒣탍ꆱ쫇퓚뷻횹죚좯뫍쎻폐컞럧쿕뷨듻뗄볙짨쿂ꎬ틔룶뇰막욱쫕틦싊뗄뻹횵뫍랽닮헒돶춶ퟩ뫏뗄폐킧잰퇘(Efficient Frontier)ꎬ벴튻뚨쫕틦싊쮮욽쿂랽닮ퟮ킡뗄춶ퟩ뫏ꆣ룹뻝Markowitz춶ퟩ뫏뗄룅쓮ꎬ폻쪹춶ퟩ뫏럧쿕ퟮ킡ꎬ돽쇋뛠퇹뮯춶폚늻춬뗄막욱횮췢ꎬ뮹펦쳴톡쿠맘쾵쫽뷏뗍짵훁뢺쿠맘뗄막욱ꆣ틲듋ꎬMarkowitz뗄ꆰ뻹횵ꎭ랽닮ퟩ뫏쒣탍ꆱ늻횻틾몬붫뷰럖즢춶폚늻춬훖샠뗄막욱ꎬ뮹펦붫뷰춶폚늻춬닺튵뗄막욱ꆣMarkowitz뗄럧쿕뚨볛쮼쿫뫍쒣탍뻟폐뾪뒴틢틥ꎬ뗬뚨쇋쿖듺뷰죚톧ꆢ춶톧쓋훁닆컱맜샭톧뗄샭싛믹뒡ꆣ뫜뛠춶ퟩ뫏폅뮯쒣탍쫇퇜짺ퟔMarkowitz뗄쒣탍ꎬ샽죧Black-Litterman쒣탍뗈뗈ꆣ Markowitzퟩ뫏춶쮼쿫놻춶헟맣랺뷓쫜ꎬ떫쯻뗄뚨솿쒣탍쫇붨솢퓚튻쾵쇐퇏룱뗄볙짨쳵볾믹뒡횮짏뗄ꎬ훷튪냼삨ꎺ ꎨ1ꎩ횤좯쫐뎡쫇폐킧뗄ꎬ횤좯뗄볛룱랴펳쇋횤좯뗄쓚퓚뺭볃볛횵ꎬ쎿룶춶헟뚼헆컕쇋돤럖뗄탅쾢ꎬ쇋뷢쎿훖횤좯뗄웚췻쫕틦싊벰뇪ힼ닮ꎬ늻듦퓚붻틗럑폃뫍쮰쫕ꎬ춶헟쫇볛룱뷓쫜헟ꎬ횤좯쫇컞쿞뿉럖뗄ꎬ뇘튪뗄뮰뿉틔릺싲늿럖막좨ꆣ ꎨ2ꎩ횤좯춶헟뗄쒿뇪쫇ꎺ퓚룸뚨뗄럧쿕쮮욽짏풤웚쫕틦ퟮ듳ꎬ믲퓚룸뚨뗄풤웚쫕틦쮮욽짏럧쿕ퟮ뗍ꎬ뻍쫇쮵ꎬ춶헟뚼쫇퇡뛱럧쿕뗄ꆣ ꎨ3ꎩ춶헟붫믹폚쫕틦뗄뻹횵뫍뇪ힼ닮믲랽닮살톡퓱ퟮ폅닺춶ퟩ뫏ꎬ죧맻튪쯻쏇톡퓱럧쿕ꎨ랽닮ꎩ뷏룟뗄랽낸ꎬ쯻쏇뚼튪쟳폐뛮췢뗄쫕틦싊ퟷ캪늹뎥ꆣ ꎨ4ꎩ춶헟ힷ쟳웤쎿웚닆뢻웚췻킧폃뗄벫듳뮯ꎬ춶헟뻟폐떥훜웚쫓튰ꎬ쯹폐막욱춶뗄뇈샽쫇럇뢺뗄ꎬ벴늻퓊탭싲뿕폫싴뿕ꆣ 쪵볊짏ꎬMarkowitz쒣탍폐뫜뛠뗄좱쿝ꎬ쯤좻헢룶쒣탍럇뎣뗄뺭뗤ꆢ볲뷠뛸췪쏀ꆣퟮ캪?늡뗄뻍쫇쒣탍뗄볙짨쳵볾ꎬ벴쫕틦싊쫇럾듓헽첬럖늼뗄쯦믺뇤솿ꎬ럧쿕평뇪ힼ닮살뿌뮭ꆣ헽첬럖늼뫜쓑ힼ좷쏨쫶쪵볊뗄춶쫀뷧ꎬ듳뛠쫽막욱뗄퓋탐뚼쫇폐욫뗄ꆣ뛸폃랽닮살뿌뮭럧쿕튲폐웤쓚퓚뗄뇗뛋뫍좱몶ꆣ헽틲캪죧듋ꎬ뫜뛠탞헽쒣탍ꆢ뒴탂쒣탍퓚쫐뎡훐늻뛏펿쿖돶살ꆣ좻뛸ꎬ컒쏇횪뗀Markowitz쒣탍틑뺭쫇춶ퟩ뫏폅뮯뗄튻룶믹ힼ닟싔ꎬ컒쏇죔좻뿉틔뷨본듋쒣탍쟳뷢ퟮ폅뗄춶ퟩ뫏ꆣ 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 3 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 . Sharpe뗄떥횸쫽쒣탍 Sharpe(1963)쳡돶ꆰ떥횸쫽쒣탍ꆱ(Single Index Model)ꎬ붫ꆰ뻹횵ꎭ랽닮쒣탍ꆱ뷸탐쇋볲뮯ꆣ쯻죏캪퓚Markowitz뗄춶ퟩ뫏럖컶훐ꎬ랽닮ꎭ킭랽닮뻘헳첫맽뢴퓓늻틗볆쯣ꎬ틲듋쯻쳡돶뛔뷇쿟쒣쪽살볲뮯랽닮ꎭ킭랽닮뻘헳훐뗄럇뛔뷇쿟풪쯘ꆣ듋쒣탍볙짨횤좯볤뇋듋컞맘쟒룷횤좯뗄쫕틦싊뷶폫쫐뎡틲쯘폐맘ꎬ헢튻틲쯘뿉쓜캪막욱쫐뎡뗄횸쫽ꆢ맺쏱짺닺ퟜ횵ꆢ컯볛횸쫽믲죎뫎뛔막욱쫕틦닺짺ퟮ듳펰쿬뗄틲쯘ꎬ쎿튻훖횤좯뗄쫕틦뚼폫쒳훖떥튻횸쫽쿟탔쿠맘ꆣ ퟷ캪뗚튻룶늻좷뚨탔쳵볾쿂뗄닺뚨볛뗄뻹뫢쒣탍ꎬCAPM뻟폐훘듳뗄샺쪷틢틥ꎬ쯼떼훂쇋컷랽뷰죚샭싛뗄튻뎡룯쏼ꆣ평폚막욱뗈놾닺캴살쫕틦뗄늻좷뚨탔ꎬCAPM뗄쪵훊쫇쳖싛놾럧쿕폫쫕틦뗄맘쾵ꆣCAPM쒣탍쪮럖볲쏷뗄뇭듯헢튻맘쾵ꎬ벴ꎺ룟럧쿕냩쯦ퟅ룟쫕틦ꆣ 퓚튻킩볙짨쳵볾뗄믹뒡짏ꎬ뿉떼돶죧쿂쒣탍ꎺE(Rp)=Rf+ꛂ([(RM)-Rf]ꎬ웤훐E(Rp)뇭쪾춶ퟩ뫏뗄웚췻쫕틦싊ꎻRf캪컞럧쿕놨돪싊ꎬ춶헟쓜틔헢룶샻싊뷸탐컞럧쿕뗄뷨듻ꎻE(RM)뇭쪾쫐뎡ퟩ뫏웚췻쫕틦싊ꎻꛂ캪쒳튻ퟩ뫏뗄쾵춳럧쿕쾵쫽ꎬꛂ=Cov(Ri,Rm)/Var(Rm)ꎬ쫇막욱j 뗄쫕틦싊뛔쫐뎡ퟩ뫏쫕틦싊뗄믘맩랽돌뗄킱싊ꎬ뎣놻돆캪ꆰꛂ쾵쫽ꆱꆣ웤훐Var(Rm)듺뇭쫐뎡ퟩ뫏쫕틦싊뗄랽닮ꎬCov(Ri,Rm) 듺뇭막욱i뗄쫕틦싊폫쫐뎡ퟩ뫏쫕틦싊뗄킭랽닮ꆣ 듓짏쪽뿉틔뾴돶ꎬ튻훖막욱뗄쫕틦폫웤ꛂ쾵쫽쫇돉헽뇈샽맘쾵뗄ꆣ ꛂ쾵쫽쫇쒳훖횤좯뗄쫕틦뗄킭랽닮폫쫐뎡ퟩ뫏쫕틦뗄랽닮뗄뇈싊ꎬ뿉뾴ퟷ막욱쫕틦뇤뚯뛔쫐뎡ퟩ뫏쫕틦뇤뚯뗄쏴룐뛈ꆣ죧맻헢훖횤좯뗄쿟탔쾵쫽ꛂ=1,쓇쎴,헢훖횤좯뗄럧쿕돌뛈 뻍폫쫐뎡횸쫽(벴헻룶쫐뎡뗄럧쿕돌뛈)쿠춬ꎻ죧맻튻훖횤좯뗄쿟탔쾵쫽 ꛂ<1,쓇쎴헢훖횤좯뗄럧쿕돌뛈뻍믡뇈쫐뎡횸쫽룼컈뚨ꎻ죧맻튻훖횤좯뗄쿟탔쾵쫽ꛂ>1,쓇쎴헢훖횤좯뗄럧쿕돌뛈뻍믡뇈쫐뎡횸쫽룼늻컈뚨ꆣ 춨맽뛔ꛂ뷸탐럖컶ꎬ뿉틔뗃돶뷡싛ꎺ퓚럧쿕닺뗄뚨볛훐ꎬ쓇킩횻펰쿬룃횤좯뗄랽닮뛸늻펰쿬룃막욱폫막욱쫐뎡ퟩ뫏뗄킭랽닮뗄틲쯘퓚뚨볛훐늻웰ퟷ폃ꎬ뛔뚨볛캨튻웰ퟷ폃뗄쫇룃막욱뗄ꛂ쾵쫽ꆣ평폚쫕틦뗄랽닮쫇럧쿕듳킡뗄솿뛈ꎬ뿉틔쮵ꎺ폫쫐뎡럧쿕늻쿠맘뗄떥룶럧쿕ꎬ퓚막욱뗄뚨볛훐늻웰ퟷ폃ꎬ웰ퟷ폃뗄쫇폐맦싉뗄쫐뎡럧쿕ꎬ헢쫇CAPM뗄훐탄쮼쿫ꆣ 퓚튻룶듳맦쒣뗄ퟮ폅ퟩ뫏훐ꎬ늻맦퓲뗄펰쿬떥룶횤좯랽닮뗄럇쾵춳탔럧쿕평폚ퟩ뫏뛸놻럖즢뗴쇋ꎬ쪣쿂뗄쫇폐맦퓲뗄쾵춳탔럧쿕ꎬ헢훖럧쿕늻쓜평럖즢뮯뛸쿻돽ꆣ평폚쾵춳탔럧쿕늻쓜평럖즢뮯뛸쿻돽ꎬ뇘탫냩쯦폐쿠펦뗄쫕틦살컼틽춶헟춶ꆣ럇쾵춳탔럧쿕ꎬ평폚뿉틔럖즢뗴ꎬ퓲퓚뚨볛훐늻웰ퟷ폃ꆣ쿄웕뗄랽램듳듳뗘복짙쇋닺ퟩ뫏컊쳢뗄캬쫽,쪹뗃볆쯣폐킧닺ퟩ뫏듳캪볲뮯ꆣ뺭평Sharpe뗄쒣탍ꎬ죎튻막욱쫕틦싊뿉평떥튻뗄췢퓚횸쫽살뻶뚨ꎬ듳듳볲뮯쇋Markowitz쒣탍뗄럖컶릤ퟷꆣ . Treynor-Black쒣탍 Treynor-Black(1973)룸돶튻훖늻뾼싇붻틗돉놾ꎬ쎻폐싴뿕ꆢ춶뇈샽쿞훆뗄믹폚떥횸쫽쒣탍춶ퟩ뫏릹붨랽램ꎬ룃쒣탍헢훖랽램쿠뇈Markowitz1952쓪뗄랽램룼캪볲떥ꎬ늢쟒죝틗췆맣ꆣ퓚Treynor-Black쒣탍훐ꎬ뫢솿룶막쫕틦쮮욽뗄횸뇪쫇alphaꎬ튲뻍쫇쫐뎡럧쿕뗷뷚뫳풤닢뗄뎬뛮믘놨싊ꆣ룹뻝헢룶쒣탍ꎬퟮ폅뗄춶ퟩ뫏펦룃뎬엤쓇킩풤웚폐뎬뛮쫕틦뗄막욱ꎨalpha캪헽ꎩꎬ늢쟒풶샫쓇킩쫕틦풤웚쿂뮬뗄막욱ꎨalpha캪뢺ꎩꆣ뛔폚ퟩ뫏훐뛸퇔ꎬ룶막뗄춶뇈샽폫웤alpha돉헽뇈ꆢ폫룶막뗄럧쿕ꎨ랽닮ꎩ돉랴뇈ꆣ헢튲뇭쏷퓚춶ퟩ뫏훐ꎬ룶막뗄뎬뛮쫕틦뛔룶막춶뇈샽뗄펰쿬뫜훘튪ꎬ떫쫇럧쿕ꎨ룶막럧쿕ꎩ뛔엤뇈뗄펰쿬뿉쓜룼캪훘튪ꆣ 듓Sharpe뗄CAPM쒣탍뿉틔뾴돶ꎬ컒쏇붫닺뗄럧쿕훷튪럖캪솽샠ꎬ벴쾵춳럧쿕ꎨ쫐뎡럧쿕ꎩ뫍쳘뚨럧쿕ꎨ럇쾵춳럧쿕ꎩꆣ쾵춳럧쿕쫇헻룶쫐뎡쾵춳퓋탐맽돌훐쯹듸살뗄럧쿕ꎬ컞램평럖즢뮯춶좥맦뇜믲붵뗍ꆣ뛸쳘뚨럧쿕ꎨ럇쾵춳럧쿕ꎩ쫇횻폫룶막폐맘뗄럧쿕ꎬ헢샠럧쿕뿉틔평럖즢뮯춶쿻믲붵뗍ꆣTreynor-Black쒣탍쪵볊짏뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 4 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 1뻍쫇쫔춼듓alpha폫쳘뚨럧쿕뗄뇈샽쿠뷡뫏훐헒떽뿉틔듸살ퟮ듳ꎨ뿉쓜ꎩ쫕틦뗄춶ퟩ뫏ꆣ컒쏇뾴떽ꎬTreynor-Black쒣탍놾짭뻍럇뎣뗄볲뷠ꆢ폅쏀ꎬ쯹뗃떽뗄뷡싛튲쫇럇뎣뗄횱맛ꆢ뻟폐뫜잿뗄뿉뷢쫍탔ꆣ 퓚Treynor-Black쒣탍훐ꎬ뫢솿룶막쫕틦쮮욽뗄횸뇪쫇alphaꎬ튲뻍쫇쫐뎡럧쿕뗷뷚뫳풤닢뗄뎬뛮믘놨싊ꆣ룹뻝헢룶쒣탍ꎬퟮ폅뗄춶ퟩ뫏펦룃뎬엤쓇킩풤웚폐뎬뛮쫕틦뗄막욱ꎨalpha캪헽ꎩꎬ늢쟒풶샫쓇킩쫕틦풤웚쿂뮬뗄막욱ꎨalpha캪뢺ꎩꆣ뛔폚ퟩ뫏훐뛸퇔ꎬ룶막뗄춶뇈샽폫웤alpha돉헽뇈ꆢ폫룶막뗄럧쿕ꎨ랽닮ꎩ돉랴뇈ꆣ헢튲뇭쏷퓚춶ퟩ뫏훐ꎬ룶막뗄뎬뛮쫕틦뛔룶막춶뇈샽뗄펰쿬뫜훘튪ꎬ떫쫇럧쿕ꎨ룶막럧쿕ꎩ뛔엤뇈뗄펰쿬뿉쓜룼캪훘튪ꆣ 2뻟쳥살쮵ꎬ퓚Treynor-Black쒣탍훐ꎬ뗚i룶닺뗄춶죫뇈샽폫α /σ (e)돉헽뇈i i2샽ꎬ웤훐α 쫇뗚i룶닺뗄alphaꎬ뛸σ (e)캪뗚i룶닺쳘뚨럧쿕뗄욽랽ꆣ쇭췢ꎬeiii 2쫇뗚i룶닺뗄쯦믺냗퓫짹ꆣ룹뻝CAPM쒣탍ꎬ뛔α 뫍σ(e)헢솽룶뇤솿ꎬ컒쏇폐틔i i쿂뗄쟳뷢랽쪽ꎺ α=r - (r-r)β -ri imfif 222 2 σ(e) = σ - σβi i mi튻룶샽ퟓꎺ 컒쏇쿂쏦룸돶뻟쳥퓋폃Treynor-Black쒣탍뗄튻룶샽ퟓꎬ웤훐컞럧쿕쫕틦싊(r)볙f짨캪5%(쓪뮯)ꎬ쫐뎡믘놨싊r캪10%(쓪뮯)ꎬ쫐뎡럧쿕σ캪20%(쓪뮯)ꆣ m m뇭1ꎬ룶막쫕틦싊폫럧쿕 룶막(i) 쓪뮯믘놨싊(ri) 쓪뮯럧쿕(σ i) Beta (b i) 120% 30% 30%45% 315% 15% %12%쫽뻝살풴ꎺ솪뫏횤좯퇐뺿쯹ꆣ 2컒쏇닉폃α 뫍σ(e)헢솽룶뇤솿뗄쟳뷢냬램뛔룷횻막욱뗄춶뇈샽뷸탐볆쯣ꆣ컒i i쏇뾴떽ꎬ쯤좻뗚1횻막욱뗄alpha뫍쳘뚨럧쿕뚼ퟮ듳ꎬ떫쫇쯼쯹믱뗃뗄춶뇈샽좴ퟮ뗍ꆣ뗚4횻막욱쯤좻alphaퟮ뗍ꎬ떫쫇웤쳘뚨럧쿕튲ퟮ킡ꎬ쒣탍룸웤럖엤뗄춶뇈샽좴ퟮ뛠ꆣ컒쏇횪뗀ꎬ룟쫕틦냩쯦뗍럧쿕뗄춶믺믡럇뎣짙ꎬ쯹틔Treynor-Black쒣탍쪵볊짏쫇닠훘뛔뗍럧쿕뗍믘놨샠막욱뗄춶ꎬ춬쪱뛔룟럧쿕룟쫕틦닺쫇퇡뛱뗄ꆣ 뇭2ꎬTreynor-Black쒣탍럖엤뗄춶뇈샽 222룶막(i) Alpha(α ) Specific Risk(σ (e)) 좨훘(α /σ (e)) Share i iii1 % % % 2 % % % 3 % % % 4 % % % Total % 쫽뻝살풴ꎺ솪뫏횤좯퇐뺿쯹ꆣ 컒쏇뾴떽ꎬ룷룶막욱뗄쿠뛔뇈샽횻폫춶뗄럝뛮폐맘ꎬ뛸늻쫇춶뗄뻟쳥뷰뛮ꆣ춬쪱ꎬ퓚볓죫믲쳞돽막욱쪱ꎬ웤쯻막욱볤뗄쿠뛔뇈샽맘쾵믹놾늻쫜펰쿬ꆣ쇭췢ꎬTreynor-Black쒣탍뮹폐튻룶폅뗣ꎬ쓇뻍쫇쒣탍뛔닎쫽뗄쾸킡뇤뚯늢늻쏴룐ꆣ벴쪹닎쫽폐뇤뚯ꎬ쓇쎴춶ퟩ뫏뗄쿠뛔뇈샽늻믡랢짺놾훊탔뗄뇤뮯ꆣ컒쏇횪뗀ꎬMarkowitz쒣탍뻍뛔닎쫽뗄뇤뚯럇뎣뗄쏴룐ꎬ뛸Treynor-Black쒣탍좴폐솼뫃뗄컈뚨탔ꆣ 쒣탍뗄삩햹 샠쯆웤쯻뗄춶ퟩ뫏폅뮯쒣탍ꎬTreynor-Black쒣탍놾짭튲쫇뿉틔볓틔삩햹뗄ꆣ 1 Alpha폫쳘뚨럧쿕뗄뇈샽쪵볊짏뻍쫇탅쾢뇈싊ꎬ쯹틔Treynor-Black쒣탍쪵볊짏쫇뎬엤룟탅쾢뇈싊뗄막욱ꎨ퓚싴뿕쿞훆쿂ꎩꆣ 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 5 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 컒쏇뿉틔쳭볓뇘튪뗄쿞훆쳵볾ꎬ틔돤럖랴펳헦쪵뗄춶탨튪ꆣ샽죧ꎬ쒣탍놾짭ퟔ뚯짨뚨늻쓜싴뿕뗄쿞훆ꎬ튲뻍쫇붫쓇킩alpha캪뢺뗄룶막뗄춶뇈샽횱뷓짨뚨캪쇣ꆣ퓚짏쏦뗄샽ퟓ훐ꎬ컒쏇짵훁뿉틔뛔룶막뗄춶뇈샽볓틔짏쿞뗄쿞훆ꆣ샽죧ꎬ뗚4횻막욱뗄춶럝뛮룟듯%ꎬ뛔믹뷰뛸퇔ꎬ뿉쓜춶뗄뷰뛮뎬맽쇋10%뗄짏쿞ꆣ쓇쎴컒쏇뿉틔볓죫춶뗄뇈샽늻뎬맽10%뗄쿞훆ꎬ춬쪱내헕Treynor-Black쒣탍붫뛠폠뗄뷰퓙듎럖엤떽웤쯻뗄룶막짏ꆣ죧맻컒쏇뛔뛠룶닺뷸탐춶뇈샽뗄쿞훆ꎬ쓇쎴컒쏇횻탨튪뛠뗼듺벸듎Treynor-Black쒣탍ꎬ뻍뿉틔뗃떽ퟮ폅뗄엤뇈ꆣ . Black-Litterman쒣탍 Black-Litterman닺엤훃쒣탍쫇뒫춳뻹횵-랽닮쒣탍뗄훘듳탞헽ꎬ캪솽캻ퟷ헟퓚룟쪢(Goldman Sachs)죎횰쪱쯹랢햹ꆣ퓚Markowitz뗄뻹횵-랽닮쒣탍훐ꎬ쪹폃헟쫤죫튻ퟩ췪헻뗄풤웚믘놨벰랽닮-킭랽닮뻘헳ꎬ춶ퟩ뫏폅뮯돌탲믡닺짺ퟮ폅뗄춶ퟩ뫏좨훘ꆣ평폚풤웚믘놨싊폫춶ퟩ뫏좨훘볤뢴퓓뗄짨뚨ꎬ뇪ힼ뗄춶ퟩ뫏폅뮯뗄쪹폃헟ꎬ뺭뎣랢쿖퓚쯻쏇풤웚믘놨싊쿂쯹뗃떽뗄춶ퟩ뫏ꎬ웤좨훘늢늻뫏샭ꆣ헢킩늻뫏샭뗄뷡맻맩틲폚솽룶훚쯹뷔횪뗄컊쳢ꎺ 1. 풤웚믘놨싊럇뎣쓑틔맀볆ꆣ춶헟춨뎣횻뛔짙쫽벸룶쫐뎡뻟놸뻸뛔믲쿠뛔믘놨싊뗄풨늩횪쪶ꆣ늻맽ꎬ튻훖뇪ힼ뗄폅뮯쒣탍ꎬ튪쟳쯻쏇쳡릩쯹폐닺뗄풤웚믘놨싊ꆣ 2. 뇪ힼ닺엤훃쒣탍폅뮯뗄춶ퟩ뫏좨훘ꎬ뛔쯹쪹폃뗄풤웚믘놨싊볙뚨쫇벫캪쏴룐뗄ꆣ 헢솽룶컊쳢뇋듋믬쿽ꎻ뇪ힼ쒣탍쎻폐냬램듓뢨훺뗄볙뚨훐ꎬ뇦뇰돶잿쇒돖폐뗄틢볻맛뗣ꎬ틔벰쯼쯹뗃떽뗄ퟮ병춶ퟩ뫏ꎬ뢳폨웤뛔풤웚믘놨싊뗄쏴룐뛈ꎬ춨뎣뾴웰살폫춶헟쿫뇭쪾뗄횻폐튻뗣뗣맘쾵ꎬ짵훁컞맘ꆣ퓚 Black -Litterman 뗄쒣탍훐ꎬ쪹폃헟쫤죫죎틢쫽솿뗄틢볻믲맘폚죎틢춶ퟩ뫏풤웚믘놨싊뗄탰쫶ꎬ쒣탍붫뻹뫢뗘닉쓉헢킩틢볻ꎬ춬쪱룸돶ퟮ폅뗄춶ퟩ뫏좨훘ꆣퟔ듓 1990 쓪랢늼틔살ꎬBlack-Litterman 닺엤훃쒣탍틑뺭퓚뫜뛠뷰죚믺릹훐믱뗃맣랺뗄펦폃ꆣ컒쏇룼폐닉폃Black-Litterman쒣탍뷸탐탐튵엤훃랽쏦뗄솿뮯퇐뺿ꎨ닎볻 쯎ꆶ탐튵엤훃쫽솿뮯퇐뺿ꆷꎩꆣ . 웤쯻뗄ퟩ뫏폅뮯쒣탍 춶ퟩ뫏폅뮯쒣탍컞췢뫵쫇톰헒춶ퟩ뫏뗄풤웚쫕틦폫럧쿕횮볤뗄ퟮ폅욽뫢뗣ꆣ뛸톧쫵뷧튲틑뺭뛔춶ퟩ뫏폅뮯쒣탍ퟶ쇋뫜뛠뗄릤ퟷꎬퟜ쳥짏튲뻍쫇퓚럧쿕뛈솿틔벰볓죫웤쯻뗄튻킩쿞훆쳵볾랽쏦ퟶ쇋뫜뛠뗄첽쳖ꆣ뇈죧ꎬMao(1970)붫Markowitz뗄ퟩ뫏쒣탍볓죫튻룶쿞훆쳵볾ꎺ춶ퟩ뫏훐쯹냼몬뗄횤좯쫽쒿늻쓜뎬맽쒳룶짏쿞ꆣJacob(1974)쳡돶튻쳗쫊뫏킡뛮춶헟뗄ퟩ뫏톡퓱쒣탍ꎭꆰ쿞훆닺럖즢쒣탍ꆱꎬ붫Sharpe뗄ꆰ떥횸쫽쒣탍ꆱ볓죫튻쳵쿞훆쪽틔쿞훆춶헟막욱뗄춶쫽쒿ꎬ쪹킡뛮춶헟뿉틔퓚폐쿞뗄막욱쫽쒿훐ꎬ톡퓱ퟮ폅뗄춶ퟩ뫏ꆣ 폐뗄톧헟뮹믡닉폃웤쯻뗄튻킩랽쪽살뛈솿럧쿕ꎬ샽죧닉폃VaRꎬCVaRꎬDown-side risk뗈뗈랽쪽ꎬ짵훁폐톧헟폃욫첬(Skewness)살뛈솿럧쿕ꆣ쯹캽막욱쫕틦싊뗄욫첬ꎬ뻍쫇횸막욱쫕틦싊뗄죽뷗뻘ꎬ죴욫첬캪헽횵(폒욫)ꎬ뇭쪾춶헢훖막욱믱뗃뗄쫕틦싊뿉쓜벫듳ꎬ늢쟒늻듳뿉쓜랢짺듳뗄쯰쪧ꎻ죴막욱쫕틦싊뗄욫첬캪뢺횵(ퟳ욫)ꎬ퓲춶헢훖막욱뿉쓜쯰쪧닒훘ꎬ뛸믱샻뿉쓜뷶뻖쿞폚쒳튻랶캧ꆣ틲듋ꎬ튻냣샭탔춶헟믡톡퓱뻟폐폒욫첬뗄막욱믲춶ퟩ뫏ꆣKonno(1990)쳡돶ꆰ뻹횵ꎭ뻸뛔랽닮ꎭ욫첬ퟮ폅춶ퟩ뫏ꆱ쒣탍ꎬ듋쒣탍틔춶ퟩ뫏뗄풤웚쫕틦틔벰뻸뛔랽닮ퟷ캪쿞훆쳵볾ꎬ틔춶ퟩ뫏뗄욫첬ퟮ듳횵캪쒿뇪ꆣKonno뗄쒣탍붫욫첬쓉죫춶ퟩ뫏폅뮯뗄뾼싇틲쯘훐ꎬ틔싺ퟣ춶헟믱샻컞쟮ꆢ쯰쪧벫킡뗄웚췻ꆣ 퓚럧쿕뛈솿랽쏦ꎬ룼캪뢴퓓뗄쒣탍짵훁믡뾼싇막욱쫕틦싊럖늼몯쫽뗄뇤뚯쟩뿶ꎨ샽죧robust portfolio optimizationꎩꎬ틔톰헒ퟮ뮵쟩탎쿂뗄ퟮ폅춶ퟩ뫏ꆣ퓚웤쯻쿞훆쳵볾랽쏦ꎬ뮹냼삨볓죫붻틗럑폃ꆢퟮ킡붻틗떥캻ꆢ룸뚨막욱룶쫽ꆢퟮ뛠춶막욱쫽ꆢ뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 6 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 2싴뿕뗈뗈쿞훆ꆣ 컒쏇횪뗀ꎬ럖즢춶좷쪵뿉틔붵뗍럇쾵춳탔럧쿕ꆣ떫쫇ꎬ죧맻폐킩럧쿕폫웤쯻믲쯹폐횤좯뗄럧쿕쫇쿠맘뗄ꎬ퓚럧쿕틔쿠쯆랽쪽펰쿬쫐뎡짏뗄쯹폐횤좯쪱ꎬ쓇쎴쯹폐횤좯뚼믡ퟶ돶샠쯆뗄랴펦ꎬ틲듋춶횤좯ퟩ뫏늢늻쓜맦뇜헻룶쾵춳탔뗄럧쿕ꆣ틲듋ꎬ퓚쪵볹훐럧쿕럖즢늢럇ퟜ쫇췪좫폐킧ꆣ믲헟쮵ꎬ컒쏇뫜쓑헒떽헦헽뗄ퟮ폅뗄춶ퟩ뫏ꎬ뇏뺹쫐뎡뇤뮯첫뿬ꆢ돤싺듳솿뗄늻좷뚨탔ꆢ쫐뎡쟩탷뇤뮯튲쫇늻뿉뫶쫓뗄틲쯘ꎬ뗈뗈ꆣ 뛾ꎬ뚯첬뗷헻춶ퟩ뫏벼쫵 톧쫵뷧폐훚뛠뗄뛔떥웚춶ퟩ뫏폅뮯랽램뗄퇐뺿돉맻ꎬ뛸쟒튲뛔뛠웚춶ퟩ뫏폅뮯쒣탍뷸탐쇋듳솿뗄첽쯷ꆣ춨맽쫽솿뮯톡막믲헟믹놾쏦톡막ꎬ컒쏇뿉틔믱뗃뷏뫃뗄폐뫜뫃춶볛횵뗄막욱ꆣ쓇쎴ꎬ컒쏇룼볓룐탋좤뗄쫇뛔쯹돖폐춶ퟩ뫏뷸탐쫊떱뗄뚯첬뗷헻ꎬ틔웚붵뗍춶ퟩ뫏뗄럧쿕ꎬ듯훂컈붡뗄춶ퟩ뫏ꎬ쪵쿖ퟮ듳뗄춶쫕틦ꆣ 춶헟퓚닉폃뚯첬뗷헻벼쫵쪱쪵볊짏쫇뛔쓇킩캴살ퟮ뻟믘놨잱솦뗄막욱룸폨뎬뛮엤훃ꎬ헢훖닟싔쪵볊짏튲쫇틲펦쫐뎡ힴ뿶틔벰잱퓚믘놨뛸뷸탐뚯첬뗄뗷헻ꆣ놾쫐뎡쪵볊짏쫇퓚늻춣뗄뷸탐훜뛸뢴쪼뗄퓋뚯ꎬ퓚늻춬뗄뺭볃훜웚샯늻춬뗄춶욷훖뗄뇭쿖튲늻뺡쿠춬ꆣ뚯첬뗷헻벼쫵튲쫇쫔춼닉폃벼쫵럖컶뗄랽쪽믲헟믹놾쏦럖컶뗄랽쪽좥첽쳖컒쏇헽뒦퓚뺭볃퓋탐뗄쓄튻룶뷗뛎ꎬ틔듋톰헒떽헢튻뷗뛎ퟮ폐짽횵잱솦뗄탐튵믲룶막ꎬ좻뫳볓틔뎬엤살믱좡뎬뛮쫕틦ꆣ 뚯첬뗷헻뗄뫋탄쮼쿫쫇퓚잡떱뗄쪱믺헒떽잡떱뗄냥뿩믲룶막ꎬ듓뛸믱뗃솼뫃뗄쫕틦ꆣ뛸뺲첬뗄닺엤훃닟싔믡쫜쿂뗸럧쿕뗄펰쿬뛸뿉쓜뫁컞쫕틦ꎬ헢튲쫇ꆰ싲죫늢돖폐ꆱ닟싔뗄뇗뛋횮뒦ꆣ뚯첬뗷헻닟싔뻍폐뿉쓜힡쓇킩뫜폐잱솦뗄믘놨믺믡ꎬ듓뛸쪹뗃헻룶춶ퟩ뫏돤싺믮솦ꆣ 뛔폚릲춬믹뷰뛸퇔ꎬ춨맽뛔ퟩ뫏쓚막욱춷듧뗄벰쪱뚯첬뗷헻ꎬ헢퇹튲믡뷸튻늽뗄냯훺컒쏇붵뗍ퟩ뫏뗄춶럧쿕ꆣ쳘뇰쫇퓚태쫐훐ꎬ쓇쎴헢훖뚯첬뗷헻뗄닟싔튲쓜냯훺복짙컒쏇늻샻뗄춷듧ꎬ틔뇜쏢룼듳뗄쯰쪧ꆣ . 퓙욽뫢닟싔 컒쏇횪뗀횤좯춶톧훐폐튻훖뺭뗤뗄ꆰ뫣뚨믬뫏닟싔ꆱꎨConstant Mix Strategyꎩꎬ벴놣돖춶ퟩ뫏훐룷샠닺뗄만뚨뇈샽ꎬ떱쫐뎡늨뚯쪱ꎬ뷸탐쿠펦뗷헻틔놣돖돵쪼뗄엤훃뇈샽ꎬ훘탂믖뢴쇋ꆰ욽뫢ꆱꆣ컒쏇붫헢튻뚯첬맽돌돆캪ꆰ퓙욽뫢ꆱꎨRebalanceꎩ닟싔ꆣ 뻶뚨닺엤훃쫇ퟩ뫏춶뗄맘볼늽훨ꎬ튪돤럖뾼싇춶쒿뇪뫍럧쿕돐쫜쓜솦ꎬ퓙욽뫢쫇튻훖볍싉뮯뗄닟싔ꆣ틔욽뫢탍믹뷰캪샽ꎬ퓚늻뾼싇뷰쇷죫ꆢ쇷돶뗄쟩뿶쿂ꎬ볙짨ퟩ뫏훐뗄막욱닺짏헇쇋50%뛸웤쯻닺늻뇤ꎬ쓇쎴막욱뗄닖캻뻍듓60%쳡짽떽쇋69%ꎨ벴ꎬ90/130ꎩꆣ헢쪱ꎬퟩ뫏뗄럧쿕쮮욽뻍쏷쿔룟폚풭폐엤훃ꎬ탨튪싴뗴튻늿럖막욱ꆣ떱좻ꎬ헢훖닟싔폐튻뚨뗄쫊폃쳵볾ꎬ벴햮좯ퟩ뫏뗄럧쿕늻뇤ꆣ폐맘퇐뺿뇭쏷ꎬ헢훖ꆰ뫣뚨믬뫏닟싔ꆱ퓚헰떴ꆢ늨뚯뗄쫐뎡ힴ뿶쿂룼폐폅쫆ꆣ퓚톧쫵짏ꎬ헢룶퓙욽뫢뗄닟싔놻돆ퟷꆰ늨뚯뇃컼ꆱ닟싔ꆣ튲뻍쫇뿉틔컈뚨컼쫕늨뚯뗄샻죳ꆣ 퓙욽뫢샭싛폐솽룶훘튪뗄볙짨쳵볾ꆣ쫗쿈ꎬ닺뗄쫕틦쮮욽쯦ퟅ쪱볤뗄췆틆뛸믘맩뻹횵쮮욽ꎻ웤듎ꎬ닺뗄뛠퇹뮯쓜릻냯훺춶헟퓚볈뚨뗄럧쿕쮮욽쿂쳡룟웤춶ퟩ뫏뗄쫕틦ꎬ믲헟퓚볈뚨뗄쫕틦쮮욽쿂복짙춶럧쿕ꆣ 폐죽훖믹놾뗄퓙욽뫢닟싔ꎺꎨ1ꎩ뢺랴삡닟싔ꎺ벴싲죵청잿ꎬ싴돶뇭쿖뫃뗄닺틔싲죫뇭쿖닮뗄닺ꎻꎨ2ꎩ헽랴삡닟싔ꎺ벴싲잿청죵ꎬ싴돶뇭쿖닮뗄닺틔싲죫뇭쿖뫃 2 컒쏇폐톧쫵컄헂퓚첽쳖헢랽쏦뗄컊쳢ꎬ닎볻Jiang Xie, Simai He and Shuzhong Zhang. Randomized portfolio selection, with constraints. Pacific Journal of Optimization, Volume 4, Number 1, January 2008, -112. 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 7 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 뗄닺ꎻꎨ3ꎩ횸쫽뮯닟싔ꎺ죎평닺엤훃쯦쪱볤쿲뇭쿖뷏뫃닺뗄뷏룟뇈훘뢡뚯ꎬ늻닉좡믽벫뗄퓙욽뫢탐뚯ꆣ헢죽훖닟싔룷폐늻춬뗄쫊폃쳵볾ꎬ뛸쟒늻춬쫐뿶쿂뿉쓜믱뗃뗄킧맻튲늻뺡쿠춬ꆣ . CPPI닟싔 CPPI폖돆ꆰ뫣뚨뇈샽춶ퟩ뫏놣쿕닟싔ꆱꎬ캪맺췢춶쇬폲퓚춶뻶닟훐쯹뎣폃ꆣ평폚춶놣쿕닟싔퓚춶훐뻟폐훘튪뗄틢틥ꎬ쯹틔폐듳솿뗄샭싛퇐뺿벯훐퓚춶ퟩ뫏놣쿕닟싔뗄퇐뺿폫쪵횤짏ꆣ쒿잰퓚맺췢쇷탐뗄춶놣쿕닟싔훐ꎬ뿉틔럖캪솽룶듳샠ꎺ튻샠쫇믹폚웚좨뚨볛릫쪽뗄뛔돥놣쿕닟싔ꎬ쇭튻샠쫇샻폃볲떥닎쫽짨뚨뗄춶ퟩ뫏놣쿕닟싔ꎬ벴CPPI뚯첬ퟩ뫏놣쿕닟싔ꆣ퓚뗚튻샠놣쿕닟싔훐ꎬ웤놣쿕닟싔뗄횴탐탨튪틀삵폚뛔돥닺욷ꎨ샽죧ꎺ웚좨ꆢ횸쫽웚믵뗈ꎩ살쪵쿖ꆣ 평폚컒맺쫐뎡짏쒿잰죔좻좱짙폐킧뗄뇜쿕릤뻟ꎬ쯹틔맺쓚뷰죚닺욷캪쇋쪵쿖춶놣쿕뗄쒿뗄ꎬ뛠톡퓱만뚨뇈샽춶ퟩ뫏놣쿕닟싔ꎨCPPIꎩퟷ캪춶훐뗄뇜쿕닟싔ꆣ평폚CPPI뻟폐닙ퟷ볲떥ꆢ뇜쿕폐킧탔룟뗄쳘뗣ꎬ폈웤쫊뫏폚틔춶캪훷뗄듳뷰ퟷ캪컈붡탍닙ퟷ믹뒡짏뗄퓶잿탔햽싔ꆣ퓚쪵볹훐ꎬCPPI놣놾벼쫵췹췹폫뗍럧쿕춶닟싔ꎨ샽죧햮좯춶ꎩ쿠뷡뫏틔쪵쿖뚯첬놣놾ꆣ 닉폃CPPI닟싔쪱ꎬ컒쏇붫춶럖캪솽늿럖ꎬ튻늿럖쫇뗍럧쿕뗄햮좯닺ꎬ뛾쫇뻟폐뷏룟럧쿕뗄닺ꆣ퓚쎿튻룶뚯첬뗷헻쪱뿌ꎬ닺폫햮좯닺내튻뚨뗄뇈샽뚯첬뗷헻ꆣ웤훐ꎬ맘볼쫇뛔컞럧쿕쫕틦럅듳튻뚨놶쫽ꎨmꎩ뷸탐럧쿕쿠뛔룼듳뗄춶ꆣ죧맻m풽듳뇪횾ퟅ닺퓚돶쿖쿂뗸뗄맽돌훐ꎬ닺뇆뷼놣놾뗗쿟뗄쯙뛈풽뿬ꎬ캪쇋쪵쿖놣놾쒿뗄ꎬ탨튪뚯첬뗷헻뗄욵싊튲뻍풽룟ꎬ죧맻평폚쫐뎡쇷뚯탔틔벰붻틗돉놾뗈풭틲늻쓜릻벰쪱쪵쿖뚯첬뗷헻ꎬ쓇쎴쿲쿂뗸웆놣놾뗗쿟뗄럧쿕풽듳ꆣ떱좻m좡횵풽킡ꎬ퓚짏헇뗄쪱뫲ꎬ쓜릻럖쿭떽짏헇쫕틦뗄뇈샽튲뻍쿠뛔뷏뗍ꆣ캪쇋쪵쿖뚯첬놣놾ꎬ컒쏇뿉틔춨맽듳솿쪵횤쒣쓢닢쯣ퟮ폅뗄놶쫽mꆣ퓚쿠펦뗄뚯첬뗷헻욵뛈쿂ꎬ췪좫뿉틔놣횤놾뷰뗄낲좫탔ꎬ늢쟒뿉틔뷏듳돌뛈뗘럖쿭닺뷏룟뗄춶쫕틦ꆣ뾼싇떽춶뗄럧쿕탔ꎬ퓚닉폃CPPI닟싔뗄쪱뫲ꎬ춬쪱맦뚨쇋춶뗄ퟮ듳뇈샽ꆣ 쪵볹닙ퟷ훐ꎬ닺훐춶늿럖ퟮ돵캪쇣ꆣ쯦뺭펪훜웚퇓뎤ꎬ퓚햮좯춶닺짺헋쏦펮샻뗄쟩뿶쿂ꎬ춶헟뿉틔뛔펮샻늿럖럅듳튻뚨놶쫽뷸탐춶ꆣ샽죧ꎬ퓚짨뚨튻훜캪튻룶뗷헻훜웚쟩뿶쿂ꎬ닖캻짏쿞붫퓚쎿훜만뚨쪱웚뷸탐뗷헻ꆣ뗷헻쒿뗄퓚폚ꎺ퓚놾쫐뎡쿲뫃쟩뿶쿂ꎬ춶늿럖벰쪱퓶닖ꎻ놾쫐뎡쿂뗸쪱벰쪱복닖ꎬ쳥쿖퓋ퟷ퓱쪱쓜솦ꆣ춶샭싛뇈샽ퟷ캪뺭샭닙ퟷ짏쿞ꎬ퓚쫐뎡탐쟩쿲뫃뗄쟩뿶쿂폐뿉쓜내짏쿞엤훃닺ꎻ막쫐뗍쏔쪱퓲놣돖뷏뗍뇈샽ꆣ춨맽뢳폨쿞뚨뇈샽쓚뗄춶뗷뿘쓜솦퓶잿닺뗄쫐뎡랴펦쓜솦ꆣ ퟷ캪뗍럧쿕닺뗄퓶잿탍닙ퟷ닟싔ꎬCPPI벼쫵쪼훕냑뿘훆럧쿕럅퓚쫗캻ꆣ퓚막쫐돶쿖벱뗸뗄쟩뿶쿂ꎬCPPI벼쫵춨맽횸뇪닙뿘뿉틔폐킧뿘훆닖캻ꎬ붫ퟮ듳쯰쪧뿘훆퓚햮좯퓋ퟷ늿럖틑쪵쿖헋쏦펮샻늿럖ꎬ듓뛸쪹닺뗄놾뷰늻쫜쯰쪧ꆣ벴쪹쫐뎡돶쿖뿬쯙짏헇ꎬ컒쏇튲뿉틔벰쪱엗돶믱샻틔쪵쿖쫕틦ꎬ웤쒿뗄뚼퓚폚붫럧쿕닺늨뚯쿞뚨폚뿉뿘랶캧횮쓚ꆣ폫뒫춳쿠뇈ꎬCPPI벼쫵폐뿉쓜쪹뚯첬놣놾쪵쿖룼룟쫕틦ꎬ퓚쒿잰맺쓚쫐뎡햮좯쫕틦ힴ뿶쿂ꎬ쪹폃CPPI벼쫵폐뿉쓜믱뗃쓪뻹5%짵훁룼룟튻뗣뗄쫕틦ꆣ뛸폫튻냣탍쿠뇈ꎬCPPI벼쫵뗄쪹폃뿉틔쪹폐맘쪵쿖뗍럧쿕ꆢ컈뚨쫕틦쳘헷ꆣ . 믽벫뗄뚯첬닟싔 쇭췢ꎬ컒쏇뿉틔닉좡룼캪믽벫뗄닟싔좥뚯첬뗷헻컒쏇뗄춶ퟩ뫏ꎬ틔웚햽쪤퓙욽뫢닟싔뗈웤쯻랽쪽믱뗃뗄춶킧맻ꆣ쯹캽믽벫닟싔ꎬ쪵볊짏쫇뇈뷏뿭랺뗄튻룶룅쓮ꎬ컒쏇탨튪ퟛ뫏뾼싇룷랽쏦틲쯘ꎬ좻뫳뛔춶ퟩ뫏뷸탐뫏샭쫊떱뗄뗷헻ꆣ헢랽쏦ꎬ컒쏇뿉틔샻폃뛔룶막믲헟듳엌ퟶ뚨탔랽쏦뗄에뛏ꎬ틔웚퓶복쯹돖폐뗄막욱ꎻ쇭튻랽쏦ꎬ컒죔좻뿉틔샻폃솿뮯뗄랽램좥뫢솿ꆢ에뛏뫏쫊뗄쪱믺틔뗷헻춶ퟩ뫏믲룶막뗄춷듧ꆣ 퓚뫳탸놨룦훐ꎬ컒쏇붫믡쳖싛닉폃뚨솿뗄랽쪽뛔춶ퟩ뫏뷸탐뚯첬뗄뗷헻ꆣ헢킩믽벫뗄ퟩ뫏뗷헻닟싔튲냼삨닉폃튻킩폅뮯뗄벼쫵횸뇪ꆢ럧쿕횸뇪ꆢ맀횵횸뇪ꆢ닆컱횸뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 8 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 뇪ꆢ뫪맛횸뇪ꆢ듳쫂볾뗈뗈뷸탐튻쾵쇐뗄뚯첬퓱쪱닟싔뗄붨쒣ꆣ 뷓쿂살ꎬ컒쏇뷩짜튻쿂맺췢믺릹춶헟쯹뾼싇늢닉폃뗄튻킩횸뇪ꎺ Fed modelꎺ훷튪죏캪듓뻹뫢뗄맛뗣살뾴ꎬ뎤웚맺햮쫕틦싊펦룃폫막욱뗄뎤웚믘놨쿠닮컞벸ꎬ쓇쎴룹뻝솽헟횮볤뗄닮틬뻍뿉틔에뛏막욱쫇놻룟맀뮹쫇놻뗍맀ꆣ샽죧ꎬ죧맻뮦짮300횸쫽뗄쫐펯싊떹쫽(E/P)뇈맺햮쫕틦싊룟ꎬ쓇쎴뇭쪾막볛놻뗍맀ꎻ랴횮ꎬ죧맻뮦짮300횸쫽뗄쫐펯싊떹쫽(E/P)뇈맺햮쫕틦싊뗍ꎬ쓇쎴뇭쪾막볛놻룟맀ꆣ 짌튵훜웚믲뫪맛뺭볃퓋탐횸뇪ꎺ쫔춼힡뺭볃훜웚뇤뮯뗄쪱뗣ꎬ틔듋톰헒뫃뗄춶믺믡ꆣ뎣폃뗄횸뇪훷튪냼삨웚쿞쾢닮(term spread)(뎤뛌웚햮좯뗄쫕틦싊횮닮)뫍탅듻쾢닮(credit spread)ꎨ룟탅폃벶뇰릫쮾햮좯폫뗍탅폃벶뇰릫쮾햮좯뗄쫕틦싊횮닮ꎩꎬꆰ럇풤웚춨헍싊ꆱꎬ릤튵짺닺횸쫽(Industrial production)ꎨ뫢솿훆퓬튵ꆢ뿳튵폫릫릲쫂튵뗄쪵훊닺돶ꎬ뫢솿뗄믹뒡쫇쫽솿,뛸럇뷰뛮ꎩꆣ 믹놾쏦맀횵횸뇪ꎺ튻훖랽쪽쫇닉폃릫쮾믹놾쏦맀횵냬램ꎬ샽죧샻폃막쾢싊ꆢPBꆢPE뗈횸뇪뫢솿릫쮾뗄쿠뛔볛횵ꆣ쇭췢튻훖랽쪽쫇닉폃ퟔ짏뛸쿂믲헟ퟔ쿂뛸짏뗄쿖뷰쇷맀횵냬램ꎨDamodaran,2002ꎩꎻ샽죧샻폃DDM쒣탍듓막볛뫍풤닢뗄막쾢퓶뎤싊훐랴췆돶틾몬뗄믘놨싊ꆣ믹놾쏦횸뇪퓚훐웚뇈뷏폐킧ꆣ 뚯솿횸뇪ꎺ쫔춼룺쯦쫐뎡뛌웚뗄뚯솿킧펦틔퓶볓뎬뛮쫕틦ꆣ뚯솿횸뇪훷튪냼삨튻킩벼쫵횸뇪ꆢ펯샻퓶뎤ꆢ뮻쫖싊뗈뗈ꆣ죧맻뚯솿횸뇪폫믹놾쏦횸뇪믲헟뺭볃훜웚횸뇪쓜릻폐킧뗄뷡뫏퓚튻웰ꎬ쓇쎴컒쏇쓜릻헒떽뷏뫃뗄춶믺믡ꆣ뚯솿횸뇪퓚뛌웚뇈뷏폐킧ꆣ 쟩탷횸뇪ꎺ튻냣쫇닉폃랴쿲닟싔톰헒벫뛋뗄쫐뎡쟩탷ꎬ듓훐랢쿖춶볛횵ꆣ헢샠횸뇪퓚훐웚뇈뷏폐킧ꆣ 죽ꎬ톡퓱쫊떱뗄춶ퟩ뫏닟싔 . 늻춬춶쒿뇪닉폃늻춬뗄ퟩ뫏닟싔 컒쏇탨튪맛달늻춬뗄쫐뿶ꎬ늢닉폃뫏쫊뗄뚯첬뗷헻랽쪽ꎬ틔믱좡뎬뛮뗄쫕틦ꆣ쫐뎡늻믡뎤쪱웚뗄떥랽쿲퓋뚯ꆣ샽죧ꎬ떱막욱듓100뗸떽90ꎬ좻뫳폖믘짽떽100헢룶맽돌ꆣ헢횻막욱뾴웰살쫇퓚욽탐퓋뚯ꎬ좻뛸쪵볊짏쯼쫇엜쇋룶살믘ꆣ헢훖쟩탎쿂ꎬ싲죫늢돖폐뗄닟싔ꎨbuy-and-holdꎩ뻍캴믱뗃죎뫎쫕틦ꆣ쿠랴뗄ꎬ죧맻컒쏇닉폃퓙욽뫢닟싔ꎬ튲뻍쫇퓚쿂뗸뗄쪱뫲ꎬ싲죫뗃룼뛠ꆣ쓇쎴퓚막욱믘짽횮뫳ꎬ컒쏇뿉틔믱뗃헽뗄믘놨ꆣ떱좻ꎬ죧맻막욱쫇듓90퓙듎뗸80ꎬ쓇쎴퓙욽뫢닟싔믡쫜떽룼뛠뗄쯰쪧ꆣ틲듋헢킩닟싔뚼쫇폐웤ퟔ짭쓚퓚뗄좱몶ꎬ컒쏇탨튪볓틔쫊떱뗄뾼솿ꆣ 믽벫뗄뚯첬닟싔룼볓뾼퇩춶헟뛔헻룶쫐뎡뗄냑컕쓜솦ꎬ헢튲쫇ퟮ쓑ퟶ뗄릤ퟷꆣ쎿튻훖ퟩ뫏폅뮯닟싔뚼틀삵폚춶헟늻춬뗄럧쿕돐쫜돌뛈ꎬ뛸쟒튲틀삵폚쫐뎡뗄늨뚯돌뛈ꆣ퓚톡퓱쫊떱뗄ퟩ뫏폅뮯닟싔쪱ꎬ컒쏇펦룃돤럖뾼싇춶뗄쒿뇪ꆢ럧쿕뗄돐쫜쓜솦틔벰쫐뎡뗄늨뚯탔뗈뗈랽쏦ꎬ듓뛸뷸탐샭탔뗄붨쒣ꆣ컒쏇튲펦룃닉폃쓇킩폐뺭볃틢틥ꆢ럻뫏샭탔풤웚ꆢ폐횱맛뷢쫍뗄횸뇪ꆣ퓚붨솢쒣탍뗄맽돌훐ꎬ컒쏇늻튪ퟶ첫뛠뗄쫽뻝췚뻲ꎬ틔쏢뛔쫽뻝뷸탐맽뛈쓢뫏ꎬ헢퇹랴뛸늻쓜랴펳뿍맛뗄춶닟싔뫍춶믺믡ꆣ . 쪵횤킧맻 컒쏇붫틔쫽솿뮯톡막닟싔퓚2007쓪5퓂럝쳡릩뗄G50뗈뇈샽춶ퟩ뫏캪믹ힼꎬ뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 9 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 럖뇰뾼달뒫춳춶ퟩ뫏폅뮯벼쫵ꎨ컒쏇뷶뾼달Markowitz뫍Treynor-Black쒣탍ꎩ폫뚯첬뗷헻닟싔ꎨ뷶뾼달쟩탷횸뇪ꎩ뛔G50막욱ퟩ뫏뷸탐뗷헻뗄쪵볊킧맻ꎬ틔듋볲떥뷩짜춶ퟩ뫏폅뮯벼쫵룸컒쏇뗄춶쯹듸살뗄쫕틦ꆣ . 쫽뻝 컒쏇훷튪뛔G50ퟩ뫏훐뗄막욱뷸탐춶ퟩ뫏폅뮯닢쫔ꆣ 쫽뻝닉벯쟸볤ꎺ2006쓪11퓂1죕훁2008쓪3퓂5죕ꆣ 춶ퟩ뫏뾼달쟸볤ꎺ2007쓪5퓂10죕훁2008쓪3퓂5죕ꆣ 뇈뷏믹ힼꎺG50뗈뇈샽엤훃ꎨퟩ뫏ꎩꆣ . 뒫춳닟싔죔폐킧맻 컒쏇닉폃냫쓪ꎨ120쳬ꎬ2007쓪5퓂10죕잰ꎩ뗄샺쪷쫽뻝ꎬ틔듋맀볆G50막욱뗄욽뻹쫕틦싊ꆢ랽닮-킭랽닮뻘헳뗈ꆣ 죧맻닉폃싲죫늢돖폐닟싔ꎬ컒쏇랢쿖Markowitz쒣탍쯹뗃떽뗄G50ퟩ뫏퓚헻쳥ퟟ쫆짏폫믹ힼ쿠닮컞벸ꎬ돖폐웚쫕틦뫃폚믹ힼ춬웚뇭쿖ꆣ퓚헢샯ꎬ컒쏇뛔Markowitz쒣탍ퟶ짔탭탞헽ꎬ벴볓죫룶막춶ퟮ뗍뇈샽늻뗍폚1%뗄쿞훆ꎻ쇭폐10횻룶막평폚샺쪷쫽뻝늻좫ꎬ맊횻ퟶ뗈뇈샽ꎨ2%ꎩ엤훃ꎬ뛔쪣폠뗄40횻막욱내헕Markowitz쒣탍뗃돶뗄뇈샽뷸탐엤훃ꆣ 춼1ꆢMarkowitz닟싔ꎨ싲죫늢돖폐ꎩ 200G50(Markowitz)G50(뗈뇈샽엤훃)180160140120100802007-05-102007-06-142007-07-192007-08-232007-09-272007-11-082007-12-132008-01-212008-03-03쫽뻝살풴ꎺ솪뫏횤좯퇐뺿쯹ꆣ 닉폃Treynor-Black쒣탍쯹뗃떽뗄G50춶ퟩ뫏ꎬퟟ쫆틠폫믹ힼ샠쯆ꎬ쫕틦싊쮮욽싔뫃ꆣ샠쯆뗄ꎬ폐10횻쫽뻝늻좫뗄막욱내뗈뇈샽ꎨ2%ꎩ엤훃ꆣ퓚쒣탍닢쫔훐ꎬ컒쏇닉폃삩햹뗄Treynor-Black쒣탍ꎬ벴쓉죫룶막쮫쪮뗄뇈샽쿞훆ꆣ 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 10 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 춼2ꆢTreynor-Black닟싔ꎨ싲죫늢돖폐ꎩ 200G50(Treynor-Black)G50(뗈뇈샽엤훃)180160140120100802007-05-102007-06-142007-07-192007-08-232007-09-272007-11-082007-12-132008-01-212008-03-03쫽뻝살풴ꎺ솪뫏횤좯퇐뺿쯹ꆣ . 뚯첬닟싔폐킧맦뇜럧쿕 퓚헢샯컒쏇뷶뾼싇닉폃쟩탷횸뇪살뛔막욱뷸탐뚯첬뗄뗷헻ꆣ헢샯뗄쟩탷횸뇪ꎬ컒쏇뷶닉폃늨뚯싊횸뇪ꎬ폐쏻뗄늨뚯싊쟩탷횸뇪쫇VIX횸쫽ꆣVIX쫇틔쏀맺뇪ힼ웕뛻500횸쫽ꎬ튻쾵쇐뗄죏릺ꆢ죏링웚좨횮틾몬늨뚯싊훐볆쯣돶살뗄횸쫽ꎬ랴펳쫐뎡뛔캴살뗄뿖믅쟩탷ꆣ룹뻝맽췹뺭퇩VIX쫇튻룶늻쯗뗄랴쿲횸헫ꎬ샽죧떱VIX뗸훁벫뗍쮮욽ꎬ쯤랴펳춶헟뛔뫳쫐웄캪샖맛ꎬ떫쪵훊쫇낵쪾듳쫐뿬붫떽뚥믘실횮톶뫅ꆣ춬퇹뗀샭ꎬ볙죴떱VIX짽훁튻웄룟쮮욽쪱ꎬ쯤좻랴펳춶헟뛔쫐뿶벫횮믌뿖ꎬ떫쪵훊짏좴낵쪾듳쫐뿬붫떽뗗ꎬ뛸횹뗸믘짽횮웚늻풶틓ꎡ 컒쏇쿖퓚죔좻컞램볆쯣A막쫐뎡뗄VIX횸쫽ꎬ컒쏇헢샯뷶닉폃30쳬샺쪷늨뚯싊3살ퟶ튻룶듺쳦ꆣ듓짏횤횸쫽뷼웚뗄ퟟ쫆폫웤30쳬샺쪷늨뚯싊(VIX30)횸뇪뗄뛔뇈살뾴ꎬ30쳬샺쪷늨뚯싊(VIX30)횸뇪폐샠쯆VIX횸쫽뗄횸쪾ퟷ폃ꆣ 30쳬샺쪷늨뚯싊(VIX30)횸뇪뿉틔랴펦쫐뎡뗄뿖믅쟩탷ꎬ컒쏇죏캪볈뿉틔폃VIX30뫢솿쫐뎡헻쳥뗄뿖믅쟩탷ꎨ벴맛달VIX30횸쫽폫쫐뎡횸쫽뗄맘쾵ꎩꎬ튲뿉틔닉폃VIX30뫢솿춶헟뛔룶막뗄뿖믅쟩탷ꆣ틲듋ꎬ컒쏇볈뿉틔춨맽맛달VIX30살뛔뫪맛쫐뎡볓틔에뛏ꎬ튲뿉틔춨맽맛달VIX30살뛔룶막뗄ퟟ쫆볓틔에뛏ꆣ 3 뷨폃VIX뗄볇뫅ꎬ컒쏇붫ꆰ30쳬샺쪷늨뚯싊ꆱ볇캪VIX30ꎻ틔듋샠췆ꆣ 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 11 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 춼3ꆢ쟩탷횸뇪ꎨ30쳬샺쪷늨뚯싊ꎩ 짏횤횸쫽(ퟳ훡)늨뚯싊(VIX30)-06-212007-07-262007-08-302007-10-112007-11-152007-12-202008-01-28쫽뻝살풴ꎺ솪뫏횤좯퇐뺿쯹ꆣ 샠쯆짏횤횸쫽폫웤30쳬샺쪷늨뚯싊뗄ퟟ쫆ꎬ컒쏇뾴떽G50믹ힼퟩ뫏폫웤30쳬샺쪷늨뚯싊ꎨVIX30ꎩ뗄ퟟ쫆틠폐샠쯆뷡맻ꎬ벴30쳬샺쪷늨뚯싊폫횸쫽ퟟ쫆돊랴쿲맘쾵ꎨ샠춬VIX횸쫽탔훊ꎩꆣ G50뚯첬뗷헻닟싔ꎺ캪볲뇣웰볻ꎬ컒쏇뷶맛달G50믹ힼퟩ뫏폫웤30쳬샺쪷늨뚯싊뗄ퟟ쫆ꎬ떱30쳬샺쪷늨뚯싊ꎨ뻹쿟ꎩ뗍뗣ꎨ벴2007쓪10퓂뗗ꎩ뢽뷼랴쪱ꎬ컒쏇벴뿉뷸탐튻듎탔뗄복닖뗷헻ꎬ벴붫G50훐쎿횻막욱뗄닖캻뗷헻떽60%ꆣ놾놨룦훐ꎬ컒쏇횻쫇볲떥듖싔뗄뾼달듋닟싔뗄킧맻ꎬ뷶릩놾컄ퟶ뇈뷏폃춾ꆣ뫳탸놨룦붫룹뻝VIX30횸쫽뛔쫐뎡벰룶막ퟟ쫆뷸탐ퟛ뫏에뛏ꎬ톡퓱쫊떱쪱믺뷸탐퓶닖/복닖뗷헻ꆣ 춼4ꆢ샻폃쟩탷횸뇪ꎨ30쳬샺쪷늨뚯싊ꎩ톡퓱G50헻쳥탔뚯첬뗷헻뗄쪱믺 늨뚯싊(VIX30)%18010 쳬틆뚯욽뻹 (늨뚯싊(VIX30))%%%%%%%%1002007-06-212007-07-192007-08-162007-09-132007-10-182007-11-152007-12-132008-01-14쫽뻝살풴ꎺ솪뫏횤좯퇐뺿쯹ꆣ 컒쏇뾴떽ꎬ듓G50춶ퟩ뫏뗄ퟮ탂룺ퟙ킧맻ꎨ싲죫늢돖폐ꎩ살뾴ꎬMarkowitz쒣탍쯹뗃떽뗄쫕틦싊뷡맻뇭쿖ퟮ병ꎻTreynor-Black닟싔듎횮ꎻ뚯첬뗷헻닟싔짔룟폚뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 12 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 믹ힼꎨ뗈뇈샽엤훃ꎩꆣ 춼5ꆢMarkowitz닟싔킧맻쿔훸ꎨ싲죫늢돖폐ꎬ쟸볤쫕틦ꎩ 80%Markowitz70%G50(뗈뇈샽엤훃)G50(뚯첬뗷헻)Treynor-Black60%MarkowitzTreynor-BlackG50(뚯첬뗷헻)G50(뗈뇈샽엤훃)50%40%쫽뻝살풴ꎺ솪뫏횤좯퇐뺿쯹ꆣ 떫쫇ꎬ듓럧쿕ꎨ늨뚯싊ꎩ뷇뛈뾴ꎬ컒쏇랢쿖닉폃뚯첬뗷헻닟싔뗄G50춶ퟩ뫏횮럧쿕ꎨ늨뚯싊ꎩ뒦폚ퟮ뗍쮮욽ꆣ 춼6ꆢ뚯첬뗷헻닟싔럧쿕ퟮ뗍ꎨ죕늨뚯싊ꎩ %G50(뗈뇈샽엤훃)%G50(뗈뇈샽엤훃)Treynor-BlackG50(뚯첬뗷헻)%G50(뚯첬뗷헻)%쫽뻝살풴ꎺ솪뫏횤좯퇐뺿쯹ꆣ 듓럧쿕폫믘놨뗄벨킧뇈뷏Sharpe뇈싊살뾴ꎺ뗈뇈샽엤훃뗄믹ힼG50춶ퟩ뫏벨킧ퟮ닮ꎨ럧쿕ퟮ룟ꎬ쫕틦ퟮ킡ꎩꎻMarkowitz쒣탍쯹뗃춶ퟩ뫏벨킧횸뇪ퟮ뫃ꎨ떥캻뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 13 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 럧쿕뗄쫕틦싊틧볛ퟮ룟ꎩꎻ뛸뚯첬뗷헻닟싔폫Treynor-Black쯹뗃G50춶ퟩ뫏뇭쿖ퟮ캪컈뚨ꎨ쫕틦폫럧쿕쿠욥엤ꎩꆣ 춼7ꆢSharpe뇈싊 (뗈뇈샽엤훃)G50(뚯첬뗷헻)G50(뚯첬뗷헻)(뗈뇈샽엤훃)쫽뻝살풴ꎺ솪뫏횤좯퇐뺿쯹ꆣ . 뚨웚뗷헻닟싔탨뷷짷 쇭췢ꎬ죧맻늻닉폃싲죫늢돖폐뗄닟싔ꎬ뛸쫇닉폃뚨웚뗷헻뗄닟싔ꎬ쓇쎴컒쏇죔탨튪뛔뗷헻닟싔뷸탐뷷짷뗄뾼싇ꆣ컒쏇닉폃Markowitz쒣탍뫍Treynor-Black쒣탍뛔G50쎿3룶퓂뷸탐튻듎뗷헻ꎬ늢폫믹ힼퟩ뫏벰잰쫶뚯첬뗷헻ꎨ쟩탷횸뇪ꎩ닟싔ퟩ뫏뷸탐뛔뇈ꆣ컒쏇랢쿖ꎬ쎿3룶퓂뚨웚뗄뗷헻ꎬ늻튻뚨쓜듯떽뫃뗄춶킧맻ꆣ 춼8ꆢ3룶퓂뗷헻튻듎춶ퟩ뫏 60%G50(뚯첬뗷헻)G50(뗈뇈샽엤훃)50%40%30%G50(뗈뇈샽엤훃)G50(뚯첬뗷헻)20%MarkowitzTreynor-Black10%0%1Markowitz-10%Treynor-Black-20% 쫽뻝살풴ꎺ솪뫏횤좯퇐뺿쯹ꆣ 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 14 / 16
춶ퟩ뫏폅뮯쾵쇐퇐뺿횮튻 Mar-2008 듓쎿6룶퓂뷸탐튻듎뗷헻살뾴ꎬ킧맻죔좻뇈믹ힼ뫍뚯첬닟싔캪닮ꆣ헢훖뚨웚뗷헻뗄닟싔믲탭늢캴쓜냑컕힡쫐뎡훐뗄폐킧탅쾢ꎬ틲듋킧맻잷병ꆣ 춼9ꆢ6룶퓂뗷헻튻듎춶ퟩ뫏 60%G50(뚯첬뗷헻)G50(뗈뇈샽엤훃)50%40%G50(뗈뇈샽엤훃)G50(뚯첬뗷헻)30%MarkowitzTreynor-BlackMarkowitz20%Treynor-Black10%0%쫽뻝살풴ꎺ솪뫏횤좯퇐뺿쯹ꆣ . 틲쫆샻떼랽뿉캪 듓뒫춳뗄춶ퟩ뫏폅뮯쒣탍폫믽벫뗄뚯첬뗷헻닟싔뛔뇈ꎬ듓뚨웚뗷헻폫틲쫆샻떼뗄뗷헻ꎨ퓱쪱닟싔뗈뗈ꎩ뛔뇈ꎬ컒쏇뾴떽ꎬ믽벫뗄ꆢ틲펦쫐뿶뗄뗷헻닟싔닅쓜폐킧뗄맦뇜럧쿕ꎬ듓뛸믱뗃솼뫃뗄쫕틦믘놨ꆣ퓚싲죫늢돖폐뗄닟싔쿂ꎬ컒쏇잰웚뗄튻킩퇐뺿놨룦튲폐횸돶ꎬ뒫춳뗄춶ퟩ뫏폅뮯벼쫵뻟폐늻컈뚨뗄쳘훊ꆣ헢샯뗄훷튪풭틲ꎬ튻랽쏦쫇평폚뒫춳춶ퟩ뫏폅뮯닟싔놾짭뗄좱몶ꎨ샽죧Markowitz닟싔믲믡뷸튻늽럖즢뮯춶ꎬ퓶듳춶ퟩ뫏뗄럧쿕ꎩꎬ쇭튻랽쏦튲폐쒣탍훐탅쾢룼탂훍뫳뗄틲쯘ꆣ 만뚨뛸뿌냥뗄뗷헻닟싔뿉쓜뫜쓑늶ힽ쫐뎡뗄믺믡ꎬ튲뷏쓑틔맦뇜쫐뎡럧쿕ꆣ컒쏇죏캪ꎬ닉폃믽벫폐킧뗄쫐뎡탅쾢ꎬ뚯첬뗷헻닟싔닅뿉틔뗃떽솼뫃뗄춶ퟩ뫏엤훃킧맻ꆣ틲듋ꎬ컒쏇뿉틔쫔춼뛔뚯첬뗷헻닟싔뷸탐짮닣듎췚뻲ꎬ틔톰헒떽쫊뫏쫐뎡ힴ뿶벰쫐뎡캴살풤웚뗄쇩믮믺뚯뗄쒣탍ꎬ늢늻뛏볓틔늹돤ꆢ탞헽ꆢ뗷헻ꆣ 뷷쟫닎퓄캲튳훘튪짪쏷벰솪뫏횤좯막욱뫍탐튵움벶뇪ힼꆣ 15 / 16
솪뫏횤좯막욱움벶뇪ힼ 퓶 돖 캴살6룶퓂쓚막볛뎬풽듳엌10%틔짏 훐 탔 캴살6룶퓂쓚막볛쿠뛔듳엌늨뚯퓚-10% 훁10%볤 복 돖 캴살6룶퓂쓚막볛쿠뛔듳엌쿂뗸10%틔짏 솪뫏횤좯탐튵움벶뇪ힼ 탐튵막욱횸쫽뎬풽듳엌 퓶 돖 탐튵막욱횸쫽믹놾폫듳엌돖욽 훐 탔 탐튵막욱횸쫽쏷쿔죵폚듳엌 복 돖 짮 ? 짏 몣 짏몣웖뚫슽볒ퟬ뚫슷161 뫅헐짌뻖듳쿃34 닣 짮?싞뫾짮쓏뚫슷5047뫅짮?랢햹틸탐듳쿃10닣 폊헾뇠싫ꎺ200121 폊헾뇠싫ꎺ518001 TEL: (86-21) 5840 6452 FAX: (86-21) 5840 6254 TEL: (86-755) 8249 2212 FAX: (86-755) 8249 2062 E-MAIL: lzrd@ E-MAIL: lzrd@ 쏢퓰짪쏷 놾퇐뺿놨룦뷶릩솪뫏횤좯폐쿞퓰죎릫쮾ꎨ틔쿂볲돆“솪뫏횤좯”ꎩ뿍뮧쓚늿붻쇷쪹폃ꆣ놾놨룦쫇믹폚컒쏇죏캪뿉뾿쟒틑릫뾪뗄탅쾢ꎬ컒쏇솦쟳떫늻놣횤헢킩탅쾢뗄ힼ좷탔뫍췪헻탔ꎬ튲늻놣횤컄훐맛뗣믲돂쫶늻믡랢짺죎뫎뇤룼ꆣ컒쏇믡쫊쪱룼탂컒쏇뗄퇐뺿ꎬ떫뿉쓜믡틲쒳킩맦뚨뛸컞램ퟶ떽ꆣ 놾놨룦쯹퓘탅쾢뻹캪룶죋맛뗣ꎬ늢늻릹돉쯹짦벰횤좯뗄룶죋춶붨틩ꎬ튲캴뾼싇떽룶뇰뿍뮧쳘쫢뗄춶쒿뇪ꆢ닆컱ힴ뿶믲탨쟳ꆣ뿍뮧펦뾼싇놾놨룦훐뗄죎뫎틢볻믲붨틩쫇럱럻뫏웤쳘뚨ힴ뿶ꆣ놾컄훐쳡벰뗄춶볛룱뫍볛횵틔벰헢킩춶듸살뗄쫕죫뿉쓜믡늨뚯ꆣ쒳킩붻틗ꎬ냼삨잣짦웚믵ꆢ웚좨벰웤쯼퇜짺릤뻟뗄붻틗ꎬ폐뫜듳뗄럧쿕ꎬ뿉쓜늢늻쫊뫏쯹폐춶헟ꆣ 솪뫏횤좯쫇튻볒뢲룇횤좯뺭볍ꆢ춶틸탐ꆢ춶맜샭뫍횤좯톯뗈뛠쿮튵컱뗄좫맺탔ퟛ뫏샠횤좯릫쮾ꆣ컒릫쮾뿉쓜믡돖폐놨룦훐쳡벰릫쮾쯹랢탐뗄횤좯춷듧늢뷸탐붻틗ꎬ뮹뿉쓜캪헢킩릫쮾쳡릩믲헹좡쳡릩춶틸탐ꆢ닆컱맋컊믲뷰죚닺욷뗈쿠맘럾컱ꆣ 컒쏇뗄퇐뺿놨룦훷튪틔뗧ퟓ냦탎쪽럖랢ꎬ볤믲튲믡뢨틔펡쮢욷탎쪽럖랢ꆣ컒쏇쿲쯹폐뿍뮧춬쪱럖랢뗧ퟓ냦퇐뺿놨룦ꆣ ©냦좨쯹폐2008쓪 솪뫏횤좯폐쿞퓰죎릫쮾퇐뺿쯹 캴뺭쫩쏦쫚좨ꎬ놾퇐뺿놨룦뗄죎뫎늿럖뻹늻뗃틔죎뫎탎쪽뢴훆ꆢ랢믲릫뾪뒫능ꆣ죧폻틽폃믲퓘놾컄쓚죝ꎬ컱뇘솪싧솪뫏횤좯퇐뺿쯹뿍뮧럾컱늿ꎬ늢탨힢쏷돶뒦캪솪뫏횤좯퇐뺿쯹ꎬ쟒늻뗃뛔놾컄뷸탐폐풭틢뗄틽폃뫍즾룄ꆣ
