뫞뉺곬뻇곣ꡳ , , 2006 닄75-98궶 ꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꇐꕈ꒽냈ꑈ귻끨ꗰ벾꣹냲결꣒ Domestic Asset Allocation Algorithm for Pension Fun撡?A Case Study of Public Employees Retirement System 1234ꩌ뙩끝 뎯뇒? Ꟶ곮뽐 Ꝥꧺ뺧 (Received: Aug. 1, 2005ꅆFirst Revision: Dec. 13, 2005ꅆAccepted: Feb. 9, 2006) 멋굮 ꖻꓥ뗛궫꧳ꕸ왗끨ꗰ냲룪늣끴롭궫굮꧊꒧맪쏒곣ꡳꅁꣃ룕맏ꕘꑀꙘ뉺ꕩꛦꡍꥷ룪늣끴롭꒧땻Ꟈꓨꩫꅁꕈ낵결끨ꗰ냲뫞뉺돦ꛬ뙩ꛦ룪늣끴롭덗릺껉꒧냑ꛒꅃꖻꓥꝑꗎꙨ뫘놡맒꒣Ꙑ듁뚡돸륓뙩뛇닎ꓨꚡꅁ꙰ꖭꞡ볆-엜늧볆룪늣끴롭뉺뷗맯ꑊ굮꿀꛴군뭾깴꒧놡ꅃꙐ껉싇ꗑ돌ꝃ굮ꡄ돸륓ꥍ돌ꑪ뻷뉶ꩫ떥돌빁룪닕Ꙙꡍꥷꓨꩫꅁ꣓엜꣤돌ꝃ굮ꡄ돸륓ꅂꕩ깥띬ꖢ뻷뉶ꅂ룪듁뚡ꥍꗘ볐돸륓뉶떥ꙝ꿀ꅁꕈ셁룑룪듁뚡ꅂ냲굮ꡄ돌ꝃ돸륓뉶냲뫞뉺궷쁉멁ꯗ맯냲룪늣끴롭ꡍ떦꒧뱶암ꅃ 쏶쇤꙲ꅇ끨ꗰ벾꣹냲룪늣끴롭ꅂꙨ뫘놡맒룪늣끴롭볒ꚡꅂ룪듁뚡ꅂ믝ꡄ돸륓뉶 Abstract This paper puts emphasis on the empirical study of the importance of Taiwan pension fund asset allocation and attempts to develop a proper process of asset allocation decision-making method as a reference of the pension fund sponsors dealing with this task. This paper tries to use the scenario-based asset allocation model and different investment horizon to improve the estimated errors of input element in traditional mean-variance optimization model. Besides, based on the investment portfolio determining methods of both the minimum required return rate and the maximum probability method, and through changing the minimum required return rate, the probability of tolerance loss investment horizon and target return rate, it is easy to understand the investment horizon, required return rate and attitude of investor toward risk how to influence the asset allocation decision. Keywords: Pension fund asset allocation, multi-scenario-based assets allocation model, investment horizon required return rate 1꒸냶곬뻇덎뻇끼롧샧뫞뉺곣ꡳ꧒뇐뇂 2ꩆ뗘ꑪ뻇냪믚ꗸ띾곣ꡳ꧒뇐뇂 3ꗦ덱ꑪ뻇롧샧뫞뉺곣ꡳ꧒ 4ꩆ뗘ꑪ뻇냪믚ꗸ띾곣ꡳ꧒ - 75 -
뫞뉺곬뻇곣ꡳ , , 2006 1. 뫼뷗 ꙝ냪깡끨ꗰ벾꣹냲룪늣Ꟗ덴ꙡ닖뽮ꅁ굙꿠ꚳ껄ꙡ륂ꗎ뫞뉺끨ꗰ벾꣹냲ꅁꭨ녯ꕈ떽냪깡끝걆ꅃꙝꚹꅁ끨ꗰ벾꣹냲꒧룪늣끴롭궫굮꧊곛맯뒣낪ꅃꑀ꿫꒤ꑪꮬ냲꒤ꅁ룪돸륓뉶꒧꣓랽ꅁꕩ꓀결룪늣끴롭ꅂ뿯떦늤뻜껉떦늤ꑔ뫘ꅃ걏ꅁꗘꭥꚳ덜Ꙩ맪쏒떲ꩇꕘꅁ룪늣끴롭꒧ꙝ꿀ꕩꕈ룑쓀떴ꑪꙨ볆룪늣닕Ꙙ돸륓꒧깴늧꧊ꅃꑀ꿫ꛓꢥꅁ룪늣끴롭걏ꡍꥷ룪닕Ꙙ궷쁉뭐돸륓꒧쏶쇤ꙝ꿀ꅁꛓ끨ꗰ벾꣹냲룪듁궭ꅁ듁꒧룪늣꓀끴ꡍ떦ꙝꚹꟳ결궫굮ꅃ꧒ꕈꅁ꙰꛳ꚳ껄ꙡ맯ꑊ엜볆낵꛴군ꅁ샀ꥷ듁궷쁉꓀뒲꒧ꡍ떦ꅁ곛궫굮ꅃꙝꚹꅁꖻꓥ녎룕뗛ꯘꗟꙨ뫘ꪬ멁ꅁꟳ뫫뵔ꙡ뇀꛴땵듁ꅝꑀ꙾ꅞ룪늣끴롭꒧ꙕ뚵ꑊ굮꿀ꅆꙁꓞꑊ듁ꅝꑔ꙾꒭꙾ꅞ꒧룪늣끴롭닕Ꙙꅁꣃ뭐땵듁룪늣끴롭ꓨꚡ낵ꓱ룻ꅃꛓꙢ룪듁뚡궷쁉꧊룪늣꒧뿯뻜ꑗꅁꭨꝑꗎꡍꥷ돌빁룪닕Ꙙ꒧꣢뫘ꓨꩫꕛꕈ놴끑ꅃ ꗘꭥ냪꒺룪ꖻꖫ돵뙽꧱ꅁ뿄냓ꭾꙨ볋꓆ꅁ꣏녯ꙕ뫘룪닕Ꙙ꒧쏶ꭙ뿹뫮뷆싸ꅁ결꣮굱돌꣎룪ꡍ떦ꅁ룪뫞뉺ꖲ뚷ꛒ뙱뒺껰ꪬꩰ뭐룪듁뚡떥엜볆ꅁ맯룪닕Ꙙ룪늣돸륓뉶꒧뱶암ꅃꙝꚹꅁꖻꓥ꒧곣ꡳ냝썄결ꅇ 1. 놴끑롧샙엜볆룪껆뿯꣺껉듁ꅁ맯꛴뫢룪늣끴롭ꑊ굮꿀꒧뱶암ꅃ 2. 놴끑띬ꖢ뻷뉶깥땻ꯗ돌ꝃ굮ꡄ돸륓뉶ꅁ걏ꝟ라뱶암룪늣끴롭ꓱ궫ꅃ 3. 놴끑룪듁뚡꒧땵ꅁ걏ꝟ라뱶암룪ꗘ볐꒧륆ꚨ뉶룪닕Ꙙꡍ떦ꅃ ꛓꖻꓥ꒧곣ꡳꗘꪺ결ꅇ 1. ꯘꗟꙨ뫘ꪬ멁룪늣끴롭볒ꮬꛒ뱻룪듁뚡꒧룪늣끴롭볒ꮬꅁꕈ산ꝕ냲뫞뉺꣮ꥷꟳ꣣껄뉶꒧룪ꡍ떦ꅃ 2. 셁룑냲뫞뉺꒧궷쁉낾ꙮ땻ꯗ돌ꝃ돸륓뉶굮ꡄꅁ맯룪ꡍ떦꒧뱶암ꅃ 3. 셁룑룪듁뚡꒧땵ꅁ맯룪닕Ꙙ꒧룪늣끴롭꒧뱶암ꅃ ꕈꑕꖻꓥ둎룪늣끴롭ꅂꡍꥷ돌빁룪늣끴롭ꅂ끨ꗰ냲룪늣끴롭ꕸ왗끨ꗰ냲룪늣끴롭떥곛쏶ꓥ쑭ꕛꕈꙞ압ꅃ ꑀ꿫꣓뮡ꅁ돌녠ꗎ꣓ꡍꥷ룪늣끴롭ꪺ볆뙱ꓨꩫ걏Markowitz (1952, 1959)ꪺꖭꞡ볆-엜늧볆꓀ꓨꩫꅃꚹꑀ걛멣ꭙ낲덝룪ꑈꞡ결궷쁉쇍쇗ꅁꕂ끬ꡄ룪닕Ꙙ뉻륷듁돸륓돌ꑪꅆꝙꙢ궷쁉ꥷ놡ꩰꑕꅁ룪ꑈ라뿯뻜돸륓뉶돌낪꒧룪닕Ꙙꅁ돸륓뉶ꥷ꒧놡ꩰꑕꅁ궷쁉돌ꑰ꒧룪닕Ꙙꅃꑗ굺꣢뫘꽓꧊꒧룪닕Ꙙꝙ결껄뉶룪닕Ꙙ(efficient portfolio)ꅁ꣤꧒멣ꚨ꒧룪뻷라닕Ꙙꭨ뫙결껄뉶ꭥ뵴(efficient frontier)ꅃ 뙩ꛦꖭꞡ볆-엜늧볆꓀꩒ꭥꅁꖲ뚷꣣돆ꑔ뚵ꑊ굮꿀ꅇ룪늣꒧륷듁돸륓뉶ꅂ엜늧볆꒣Ꙑ룪늣뚡꒧Ꙁ엜볆ꅃ끷맯ꑊ굮꿀꒧꛴군ꅁꑀ꿫걏뿯꣺륌ꕨꑀ걱껉듁꒧룪늣돸륓뉶ꅁꣃꡄ꣤ꖭꞡ귈ꕈꝀ결맯ꖼ꣓돸륓뉶꒧륷듁ꅃꚹꕾꅁChopra and Ziemba (1993) 뭐Koskrosidis and Duarte (1997)ꞡꕘꅁꕈ뻺ꕶꖭꞡ돸륓귈낵결ꑊ굮꿀꛴군귈꒧Ꝁꩫꅁ녎라ꙝ뿯꣺꒧껉듁꒣Ꙑꅁꛓ꣏꧒녯꣬꒧끴롭ꚳ꧒꒣Ꙑ꒧떲뷗ꅃ꧒ꕈꅁ꙰ꩇ뻺ꕶꖭꞡ돸륓뉶꒣ꢬꕈꕎꫭ뉻ꩰ걏ꖼ꣓ꅁꕂ쁈뗛롧샙놡뛕뭐끝냈샴맒ꪺ엜ꅁ녎뻉교때ꩫ빁꓁ꙡ륷듺ꖼ꣓ꅆꕂ룪닕Ꙙꕵ굮땹ꚳ엜냊ꅁꝙꕩ꿠라ꓞ끟룪떲ꩇꪺꑪ둔엜냊ꅃ - 76 -
ꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꇐꕈ꒽냈ꑈ귻끨ꗰ벾꣹냲결꣒ 결꣏ꑊ굮꿀꒧꛴군ꚳꑀ교꧊ꅁꕈ꿠냷ꛒ뱻꣬ꖼ꣓ꙕ놡ꩰ땯ꗍ꒧뻷뉶냝썄ꅁEdesess and Hambrecht (1990)ꕄ녩ꅁꙢꯘ멣룪늣륷듁돸륓뉶껉ꅁꕩꕈ녎ꖼ꣓꓀결볆뫘놡ꩰꅁꣃ꓀ꝏ놴끑ꙕ뫘놡ꩰꑕꕩ꿠땯ꗍ꒧뻷뉶ꅁꙕ뚵룪볐ꪺꪫꖼ꣓꒧ꫭ뉻ꪬꩰꅁꕈ뇀꛴ꙕ뚵ꑊ굮꿀꒧륷듺귈ꅆFarrell (1989)뒣ꕘꖿ뵔꛴군ꑊ엜볆ꪺꕼ귓ꡂ왊ꅆDembo (1991)ꕘꅁꝑꗎ놡맒꓀꩒꒧ꓨꚡ꣓뙩ꛦ룪늣끴롭ꪺꙮ덂걏ꅁꕩꕈ둎ꡃ뫘꒣Ꙑ꒧ꖫ돵놡ꩰꯘ멣룪닕Ꙙꅁ꣤냲ꖻꭥ뒣걏ꅁ굮ꗽ셁룑ꙕ뫘놡맒꒧ꕩ꿠땯ꗍ뻷뉶ꅁꣃ샲ꪾ룪늣닕Ꙙ뚡꒧곛꒬쏶ꭙꅆKoskosidis and Duarte (1997)뭻결ꅁꑀ깍ꕩꛒ뱻ꖼ꣓Ꙩ뫘놡맒꒧룪늣끴롭걹땻ꅁ걏귗ꖿ륌ꕨ껄뉶ꭥ뵴꒣쎭ꥷ뭐꒣쏶꒧돌꣎ꓨꩫꅁ꣤ꝑꗎꅵ돦꿂륷듺ꅶ(naive forecasting)ꓨꩫꅁꕈ냑ꛒ륌ꕨ뒿롧땯ꗍ륌꒧ꪬꩰꅁ낵결냏꓀놡맒뭐ꯘꗟ놡맒륷듁돸륓뉶꒧뻚ꅃ셼꣒꣓뮡ꅁ낲꙰룪닕Ꙙ걏ꡃꥵ뷕뻣ꑀꚸꅁꭨ뭠뚰돌꫱ꑑ꙾ꪺꥵ뻺ꕶ룪껆ꅁꑀ꙾꒧꒤ꕼꥵ꒧룪껆곛럭꧳뒣꣑ꑆꕼ뫘꒣Ꙑ놡맒ꅁ꣤ꚸꕩꕈ엽ꙕ놡맒ꚳ곛Ꙑ꒧땯ꗍ뻷뉶ꅁ걏ꖼ꣓땯ꗍ꒧ꕩ꿠꧊ꛓ떹꒩꒣Ꙑ뻷뉶앶궫ꅁꙢ늣ꗍꑊ굮꿀ꯡꅁꙁ삳ꗎꅵ뫴룴돌빁꓆ꅶ볒ꚡ꣓뙩ꛦ룪늣끴롭ꡍ떦ꅆFabozzi and Fong (1985)걏녎뛇닎ꖭꞡ볆-엜늧볆볒ꮬꅁ쉘깩ꚨꕩꕈꡄ뫢ꛒ뙱Ꙩ뫘놡맒ꑕ꒧껄뉶ꭥ뵴ꅁꣃꕘꕵ굮군뫢ꕘꙕ뚵룪늣돸륓뉶꒧셰Ꙙ뻷뉶꓀끴ꅁꙁ떹ꥷꙕ뫘놡맒ꕩ꿠땯ꗍ꒧뻷뉶ꅁꝙꕩꝑꗎ쏾돦ꑀ놡맒ꡄ뫢껄뉶ꭥ뵴꒧ꖩꅁ녯꣬ꛒ뙱ꙕ뫘ꕩ꿠땯ꗍ놡맒ꑕ꒧껄뉶ꭥ뵴ꅃ 껄뉶ꭥ뵴걏꧒ꚳ껄뉶룪닕Ꙙ꒧뚰Ꙙꅁ뉺뷗ꑗꅁ굮Ꙣ껄뉶ꭥ뵴ꑗꡍꥷ돌빁꒧룪닕Ꙙꅁ삳ꗽꕘ룪ꑈ꒧껄ꗎ꣧볆ꅃ럭돸륓뉶결녠멁꓀끴룪ꑈ꒧껄ꗎ꣧볆결ꑇ뚥꣧볆껉ꅁ꣏ꗎ돸륓뉶뭐볐럇깴꣢뫘엜볆ꝙꕩ둹쎸ꕘꕎꫭ룪ꑈ껄ꗎ꣧볆꒧때늧ꚱ뵵ꅃ꣤뭐껄뉶ꭥ뵴꒧꓁쉉꧒ꕎꫭ꒧룪닕Ꙙꅁꝙ결맯룪ꑈ껄ꗎ돌ꑪ꒧돌빁룪늣끴롭ꅃ 굮ꡄꕘ룪ꑈ꒧껄ꗎꚱ뵵ꑑ꓀ꝸ쏸ꅃꙝꚹꅁLeibowitz and Henriksson (1989)ꕈ덝ꥷ띬ꖢ궭꣮뇸ꗳ꒧ꓨꚡꅁ꣓뿯꣺돌빁룪늣끴롭ꅃꕌ귌뭻결룪ꑈ녠결룪닕Ꙙ덝ꥷ걙ꑀ냲럇돸륓뉶(benchmark)ꅁꕈ엽룪닕Ꙙ꒧듁뇦돸륓뉶ꝃ꧳ꚹꑀ냲럇꒧뻷라륆꣬돌ꝃꅃ꣤륂ꗎꓨꩫ결Ꙣꡄ룑껄뉶ꭥ뵴껉ꅁꕛꑊꑀꭈ뿠궭꣮(confidence limit)ꅁꕈ뵔ꭏ꣤ꕩꛦ룑꒧륷듁돸륓뉶,R,Ꙣ걙ꑀꭈ뿠냏뚡꒤ꅁꚳα꒧뻷뉶라낪꧳꧒굮ꡄ꒧돌pꝃ돸륓뉶, Sꅃ럭덝ꥷ꒧굮ꡄ돸륓뉶뙖ꝃꅁ궭꣮ꚡ라ꖭꛦꦹꑕ늾냊ꅁꕩꛦ룑뵤돲엜ꑪꅁ덝ꥷ낪꧳굮ꡄ돸륓뉶꒧뻷뉶뙖ꝃꅁ궭꣮ꚡ꒧뇗뉶뙖ꑰꅁꕩꛦ룑꒧뵤돲라뱗ꕛꅃ ꗑ꧳굮ꡄ돸륓뉶꒣Ꙑ껉ꅁ궭꣮ꚡ라쁈뗛ꑗꑕ늾냊ꅁ꣏ꕩꛦ룑꒧뵤돲쁈꒧ꩩ냊ꅁꚹ껉꒴꒣깥꧶ꡍꥷ돌빁룪닕Ꙙ꒧룪늣끴롭ꅃꙝꚹꅁFong and Fabozzi (1985)뒣ꕘ띬ꖢ궷쁉볐 (risk of loss)꒧랧꧀ꅃ꣤낵ꩫ걏ꗽꡍꥷꑀ귓돌ꝃ굮ꡄ돸륓뉶ꅁꙁ꓀ꝏ군뫢ꡃꑀ룪닕Ꙙ듁뇦돸륓뉶ꝃ꧳ꚹꑀ굮ꡄ돸륓뉶꒧뻷뉶ꅁꛓꝃ꧳돌ꝃ굮ꡄ돸륓뉶뻷뉶돌ꝃ꒧룪닕Ꙙꝙ걏돌꣎룪닕ꙘꅃWilliams (1997)뒣ꕘꑀ귓ꥍ띬ꖢ궷쁉볐ꭄ녠쏾ꅁ군뫢곛ꓨꙖ뻷뉶ꪺꓨꩫ—ꅵ돌ꑪ뻷뉶ꩫꅶꅁ꣓걄뿯돌빁룪늣끴롭ꅁ꣤뭻결룪ꑈ꒧룪ꗘ볐삳결돌ꑪ꓆륆꣬꽓ꥷꗘ볐꒧뻷뉶ꅁ럭ꗘ볐륆ꚨ껉ꅁ룪궷쁉ꑝ라Ꙑ껉궰ꝃꅃꙝꚹꅁ돌ꑪ뻷뉶ꩫ꒧ꗘꪺꙢꡄ뫢껄뉶ꭥ뵴ꑗ꒧꧒ꚳ닕Ꙙ꒤ꅁꚳ돌ꑪ뻷뉶꿠냷Ꙣ꽓ꥷ룪듁뚡떥꧳ꑪ꧳걙ꑀꗘ볐뷆ꝑ돸륓뉶ꅁꝙ결돌빁룪닕Ꙙꅃ - 77 -
뫞뉺곬뻇곣ꡳ , , 2006 끨ꗰ냲룪늣뫞뉺꒧ꕄ굮ꗘꪺ걏엽끨ꗰꑈ귻ꚳꖿ녠끨ꗰ떹ꕉꅁ걇끨ꗰ냲롧샧ꭙꕈꙷꗾ꧊듁룪결ꕄ굮ꛒ뙱궫쉉ꅃ꙰꛳ꯘꗟ꣣ꚳꙷꗾ꧊ꅂ귝압ꚬ꽱꧊뭐듁덗릺꽓ꛢ꒧룪닕Ꙙꅁ걏럭ꭥ끨ꗰ냲룪늣뫞뉺믢냬돌궫굮꒧뷒썄ꅃArnott (1985)ꕘ끨ꗰ냲꒧룪떦늤꣤룪늣끴롭ꅁ삳뿄ꖫ돵ꪬꩰ듁꒧룪떦늤꣓뷕뻣ꅁꛓ듁꒧룪늣끴롭룪떦늤꒧ꯘꗟꅁ삳뻚끨ꗰ냲뒣벷꒽ꕱ귻ꑵ꒧닕ꚨꅁ꙾쓖떲멣꒧엜ꥍ늣띾꒧뾳끉엜꓆꣓뷕뻣ꅃ끨ꗰ냲ꗑ꧳룪듁뚡ꅁ꧓꣼ꖫ돵땵듁ꩩ냊꒧꿠ꑏꑝ녪ꅁꙝꛓꕩ뇄꣺룻뽮랥ꪺ룪떦늤ꅁꕈ샲꣺듁룻낪꒧돸륓뉶ꅃBierman (1997)맯룪닕Ꙙ꒧룪늣끴롭뭐룪듁뚡꒧쏶ꭙ뙩ꛦ곣ꡳꅁ뭻결Ꙣꛒ뱻룪ꑈ꒧껄ꗎ꣧볆ꯡꅁ뱗룪닕Ꙙ꒧룪듁뚡ꕩ꣏녯룪ꑈ꧓꣼궷쁉꒧꿠ꑏ뱗ꕛꅃꕴꑀꓨ궱ꅁ끨ꗰ냲ꦹꦹ냲꧳뒣낪ꙷꗾ꧊꒧ꛒ뙱ꅁ맯룪늣꓀끴ꚳ꽓ꝏ궭꣮ꅃEichhorn, Gupta and Stubbs (1998)끷맯ꚳ궭꣮뇸ꗳꑕ꒧룪늣끴롭뙩ꛦ곣ꡳꅁ꣤뭻결Ꙣ맯룪늣꒧궷쁉—돸륓꛴군때ꩫ뵔ꥷ꒧놡ꩰꑕꅁ맯룪늣끴롭궭꣮쇶ꕩ듮ꝃ룪닕Ꙙ꒧륷듁ꩩ냊꧊ꅁꙐ껉꣤륷듁돸륓뉶ꑝ라궰ꝃꅃ Booth and Yakoubov (2000)ꕈ굞냪1982꙾ꛜ1997꙾뚡꒧뻺ꕶ룪껆뙩ꛦ뵔ꥷ뒣벷꣮끨ꗰ냲룪늣끴롭꒧볒샀ꅁ뭻결늼꒧낪륷듁돸륓뉶녎ꕩ궰ꝃ룪닕Ꙙꝃ꧳걙ꑀ냲럇꒧뻷뉶ꅃꛓꙢꡍꥷ룪떦늤꒧궷쁉ꓴ럇껉ꅁꑝꖲ뚷녎늼꒧돸륓뉶뭐끨ꗰ냲룪늣꧒믝굮돸륓뉶꒧쏶ꭙꙃꑊꛒ뱻ꅆꙝ결ꗑ뻺ꕶ룪껆꣓곝ꅁ늼꒧돸륓뉶뭐덱덦뾱뗈뉶꒧쏶ꭙꑑ꓀녋꓁ꅁ굙Ꙣ끨ꗰ냲꒧룪닕Ꙙ꒤꿇ꑊ룻Ꙩꓤ늼룪ꅁ녎ꕩꚳ껄덗쇗덱덦뾱뗈꒧궷쁉ꅃ Ꙣ냪꒺쏶꧳끨ꗰ냲룪늣끴롭꒧곣ꡳꓨ궱ꅁꛈ곂ꅝ1989ꅞꗑ꣮ꯗ궱뭐ꩫꕏꑗ꒧놴끑ꅁ뭻결뉻ꛦ룪뵤돲덗ꥷ륌꧳꽕륩ꅁꗑ꧳륌ꯗ궫뗸ꙷꗾ꧊뚵ꗘꅁꕈ교ꦿ늤냲륂ꗎꚬ꽱꒧궫굮꧊ꅃꕂ녎ꑪ뎡꓀룪룪꧳ꥷꚬ꽱꒧룪뚵ꗘꅁ때ꩫꚳ껄륋ꓮ덱덦뾱뗈맯냲믹귈꒧ꭉ뭫ꅃꓨꧺꑴꅝ1993ꅞ뭻결끨ꗰ냲꣣ꚳꙷꗾ꧊ꥍ샲ꝑ꧊꣢뫘꽓꧊ꅁ걇룪ꓨꚡ삳쁈뗛룪샴맒꒧엜빅ꅁꛒ뙱돌ꑪ궷쁉띬ꖢ꒧꧓꣼꿠ꑏꅁꛓ엜꣤룪닕Ꙙ룪뚵ꗘꅃ램듂ꚨꅝ1994ꅞ뭻결끨ꗰ냲쓝꧳듁꧊냲ꅁ빁Ꙙ룪꧳늼꧐ꙡ늣떥땵듁궷쁉꧊룻낪꒧룪늣ꅃ뛀꒶ꅝ1994ꅞ땯뉻돒끨냲룪륂ꗎ낾Ꙗ꒤땵듁ꅁ륈끨ꗰ냲꣣듁꧊꒧ꖻ뷨ꅁ결뒣낪냲꒧롧샧껄뉶ꅁ삳꧱뱥룪궭꣮ꅁ뫻꯹냲뽗ꗟ뻞Ꝁꅁ듮ꓖ걆ꩶꑺ륷ꅁ녎냲ꥥꕾ뫞뉺뙽꧱ꛛ샧ꅃ뎯곮ꅝ1997ꅞꕘꅁꗑ셚껄ꙮ꒧냲롧뉺ꑈꕎ결뻞Ꝁ룪냲ꅁ둎듁ꛓꢥꅁ꒣뛈ꕩꕈ샲녯낪썂꒧돸륓ꅁꛓꕂꕩ륆꣬궷쁉꓀뒲꒧ꗘꪺꅃꫴ엣ꓱꅝ1997ꅞ뭻결ꕸ왗돒끨냲룪늣끴롭ꑷ룻뽮랥ꅁ뭐꣤ꕌ냪깡곛ꓱꅁ룪꧳ꖫ꒧ꓱ꣒낾ꝃꅆꛓ땵듁ꩩ냊꧊낪꒧룪닕Ꙙꅁ듁돸륓뉶뙖낪ꅃꙝꚹꅁ꧔룪듁궭ꕩꕈ꣏돸륓뉶엜냊꧊ꧺ엣궰ꝃꅁ룪닕Ꙙ돸륓뉶ꝃ꧳ꭏ쏒ꚬ꽱뉶꒧뻷라궰ꝃꅃ걇ꕸ왗끨ꗰ냲삳ꕈ굞ꅂ과떥뽮랥꒧룪늣끴롭닕Ꙙ결ꗩ껄맯뙈ꅁꕈ듁꒧룪돸륓결ꕄ굮ꛒ뙱ꅃ 뫮Ꙙꕈꑗ꧒굺ꅁ끨ꗰ냲뫞뉺꒧뭐ꝟꅁ쏶냪깡끝걆ꑈꗁ꒧뫖곧ꅃꙝꚹꅁ꙰꛳ꚳ껄ꙡ뫞뉺냲룪걏ꑑ꓀궫굮꒧뷒썄ꅁꛓꙢ룪늣끴롭볒ꚡ꒤ꅁ껄뉶룪닕Ꙙ꒧ꡍꥷꅁꭙ꣼꣬룪룪늣뚵ꗘꅂ룪듁뚡ꅂꗘ볐돸륓뉶ꑊ굮꿀꛴군귈떥ꙝ꿀꒧뱶암ꅁ꙰꛳ꚳ껄놱꣮ꙕ뚵ꙝ꿀ꖿ뵔ꙡ꛴군ꑊ굮꿀걏꣮ꥷ룪ꡍ떦꒧쏶쇤꧊냝- 78 -
ꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꇐꕈ꒽냈ꑈ귻끨ꗰ벾꣹냲결꣒ 썄ꅃ꧒ꕈꅁꖻꓥ녎놴끑놡맒엜꓆룪듁뚡꒧땵ꅁ맯ꑊ굮꿀꛴군뭾깴꒧뱶암ꅃꙐ껉싇ꗑ엜룪듁뚡ꅂꕩ깥띬ꖢ뻷뉶륷듁돸륓뉶떥ꙝ꿀ꅁ셁룑꣤맯룪ꡍ떦꧒늣ꗍ꒧뱶암ꅃ 2. 냲룪늣끴롭볒ꚡ꒧ꯘ멣 ꡍ떦볒ꚡ 룪늣끴롭ꭙ냲뫞뉺돦ꛬ둎룓냲ꕩ룪셠썂ꯗꅁ걙뫘ꓱ꣒꓀끴꧳ꕩ룪룪늣뚵ꗘ꒧ꡍ떦륌땻ꅁꛓ룪늣룪닕Ꙙ걏롧ꡍꥷꯡ룪늣끴롭떲ꩇꅃꑀ꿫ꛓꢥꅁ냲뫞뉺돦ꛬ결꣏귻ꑵ끨ꗰ벾꣹룪꿠뫻꯹듁ꖭ뿅ꅁꣃ뵔ꭏ귻ꑵ끨ꗰ벾꣹껉꒧ꗍ겡ꅃꙝꚹꅁ꙰굮룪둎ꖲ뚷ꛒ뙱ꕩ꿠꒧돸륓뉶뭐궷쁉ꅁꣃꛒ뱻ꙷꗾ꧊ꅂꚬ꽱꧊ꅂ걹냊꧊ꅂ뫖ꝑ꧊ꫀ라꧊떥귬ꭨꅃ ꑀ꿫냲룪늣끴롭ꡍ떦볒ꚡꅁꕩ꓀결ꅇꅝ1ꅞ덝ꥷ룪늣끴롭ꗘ볐ꅆꅝ2ꅞ뿯꣺룪볐ꪺꅆꅝ3ꅞꑊ굮꿀ꅝ륷듁돸륓뉶ꅂ엜늧볆ꅞ꒧꛴군ꅆꅝ4ꅞ륂ꗎꓱ꣒궭꣮ꅆꅝ5ꅞ돌꣎꓆ꡄ룑볒ꚡꅆꅝ6ꅞꯘꗟ껄뉶ꭥ뵴ꅆꅝ7ꅞ뿯꣺돌꣎룪늣끴롭떥ꑃ귓ꡂ왊ꅁ꙰맏1꧒ꗜꅃ 1.덝ꥷ룪늣끴롭ꗘ볐 ꪬ멁Aꅇ낪ꚨ뉶?낪덱뾱뉶 ꪬ멁Fꅇ꒤ꚨ뉶?ꝃ덱뾱뉶 ꪬ멁Bꅇ낪ꚨ뉶?꒤덱뾱뉶 ꪬ멁Gꅇꝃꚨ뉶?낪덱뾱뉶ꪬ멁Cꅇ낪ꚨ뉶?ꝃ덱뾱뉶 ꪬ멁Hꅇꝃꚨ뉶?꒤덱뾱뉶 ꪬ멁Dꅇ꒤ꚨ뉶?낪덱뾱뉶 ꪬ멁Iꅇ₧䎦ꢪ?뉶?ꝃ덱뉶뾱 ꪬ멁Eꅇ꒤ꚨ뉶?꒤덱뾱뉶 2.뿯꣺룪볐ꪺ (2)덝ꥷ꒣Ꙑ(1) ꯘꗟꖼ꣓ 3.ꑊ굮꿀꒧꛴군 궷쁉냑볆 ꙕ듁ꪬ멁 4. 륂ꗎꓱ꣒궭꣮ a⺹瞴着겺䇂뺾? b?뇀꛴ꙕꑊ굮꿀 5.₳첨캤욨䒸톼튦ꄠ 6. ꯘꗟ껄뉶ꭥ뵴? 띬ꖢ궭꣮뇸ꗳ? 7.뿯꣺돌꣎룪늣끴롭 돌ꑪ뻷뉶ꩫ? 맏1₸ꎰ璸涨䶵ꚬ禵箹켠 - 79 -
뫞뉺곬뻇곣ꡳ , , 2006 ꑊ굮꿀꒧꛴군 Ꙣ룪늣끴롭ꡍ떦륌땻꒤ꅁꙘ뉺ꙡ꛴군ꑊ굮꿀걏ꑑ꓀궫굮ꪺ(Koskrosidis and Duarte, 1997; Chopra and Ziemba, 1993)ꅃꙝꚹꅁꖻꓥ샀ꕈ(ꑀ)Ꙩ뫘ꪬ멁볒ꚡꅆ(ꑇ)ꛒ뙱꒣Ꙑ룪듁뚡ꑊ굮꿀꛴군ꑇ뫘ꓨꚡꅁ뙩ꛦꑊ굮꿀꒧꛴군ꅃ꓀ꝏ뮡ꧺ꙰ꑕꅇ 1. Ꙩ뫘ꪬ멁볒ꚡ Ꙩ뫘ꪬ멁볒ꚡ걏뻚뭠뚰꒧룪끔ꅝ꙰ꙕ냪GDPꚨ뉶ꅂ덱덦뾱뗈뉶ꅂ땵듁ꝑ뉶ꅂ뿄걆떦뭐덦맴꣮ꯗ떥ꙝ꿀ꅞ녎ꖼ꣓꓀결볆뫘ꪬ멁ꅁꕈ뇀꛴ꙕꑊ굮꿀꒧륷듺귈ꅃꗑ꧳룪닕Ꙙ꒧ꚨ꣼ꑊ굮꿀뱶암곆ꑪꅁ결떽ꚹꑀꪬ멁ꅁ덜Ꙩ뻇ꯘ쒳녎ꖼ꣓놡ꩰ냏꓀결Ꙩ뫘ꪬ멁ꅁꕈꙘ뉺ꙡ꛴군ꙕꑊ굮꿀(Edesess and Hambrecht, 1990; Koskrosidis and Duarte, 1997)ꅃꕈꑕ꓀ꕼ귓ꡂ왊꣓끑뷗ꅇ ꡂ왊ꑀꅇꯘꗟꖼ꣓ꪬ멁꓀쏾 ꖻꓥ껚뻚Farrell (1989)Ꝁꩫꕛꕈ쉘녩ꅁ맪뷨롧샙ꚨ뉶덱덦뾱뗈뉶꒧낪ꝃꅃ녎ꖼ꣓꒧롧샙ꪬ멁꓀ꚨꑅ쏾ꅇꪬ멁Aꅇ낪롧샙ꚨ뉶/낪덱덦뾱뷣뉶ꅆꪬ멁Bꅇ낪롧샙ꚨ뉶/꒤덱덦뾱뷣뉶ꅆꪬ멁Cꅇ낪롧샙ꚨ뉶/ꝃ덱덦뾱뷣뉶ꅆꪬ멁Dꅇ꒤롧샙ꚨ뉶/낪덱덦뾱뷣뉶ꅆꪬ멁Eꅇ꒤롧샙ꚨ뉶/꒤덱덦뾱뷣뉶ꅆꪬ멁Fꅇ꒤롧샙ꚨ뉶/ꝃ덱덦뾱뷣뉶ꅆꪬ멁Gꅇꝃ롧샙ꚨ뉶/낪덱덦뾱뷣뉶ꅆꪬ멁Hꅇꝃ롧샙ꚨ뉶/꒤덱덦뾱뷣뉶ꅆꪬ멁Iꅇꝃ롧샙ꚨ뉶/ꝃ덱덦뾱뷣뉶ꅁ꙰ꫭ1꧒ꗜꅃ ꫭ1₸柀?겺?꓀쏾 놡맒꓀쏾 낪롧샙ꚨ뉶 ꒤롧샙ꚨ뉶 ꝃ롧샙ꚨ뉶 낪덱덦뾱뗈뉶ꪬ멁Aꅇ낪ꚨ뉶/낪덱뾱뉶ꪬ멁Dꅇ꒤ꚨ뉶/낪덱뾱뉶ꪬ멁Gꅇꝃꚨ뉶/낪덱뾱뉶 ꒤덱덦뾱뗈뉶ꪬ멁Bꅇ낪ꚨ뉶/꒤덱뾱뉶ꪬ멁Eꅇ꒤ꚨ뉶/꒤덱뾱뉶ꪬ멁Hꅇꝃꚨ뉶/꒤덱뾱뉶 ꝃ덱덦뾱뗈뉶ꪬ멁Cꅇ낪ꚨ뉶/ꝃ덱뾱뉶ꪬ멁Fꅇ꒤ꚨ뉶/ꝃ덱뾱뉶ꪬ멁Iꅇ ꝃꚨ뉶/ꝃ덱뾱뉶 ꡂ왊ꑇꅇꪬ멁Ꝑ쉟볐럇 결ꧺ뵔ꥷ롱ꙕ뫘ꪬ멁ꅁꖻꓥꕈ맪뷨롧샙ꚨ뉶덱덦뾱뗈뉶꒧ꖭꞡ귈냏꓀낪/꒤/ꝃꑔ뫘롧샙ꚨ뉶ꅁ낪/꒤/ꝃꑔ뫘덱덦뾱뗈뉶놡ꩰꅁꙁ꓀ꝏꡄꕘꙕꪬ멁ꑕ룪늣꒧ꖭꞡ돸륓뉶ꅁꕈ낵결ꖼ꣓ꑊ굮꿀꒧꛴군귈ꅃꪬ멁꒧Ꝑ쉟볐럇ꫭꗜ꙰ꑕꅇ X , RGDP>RGDP+S tRGDPRGDP=Y , RGDP−S≤RGDP≤RGDP+S, ꅝ1ꅞ tRGDPtRGDPZ , RGDP<RGDP−StRGDP ꣤꒤ꅁRGDPꫭ닄t듁꒧맪뷨롧샙ꚨ뉶ꅆRGDPꅇꫭ뿯꣺t듁룪껆ꅝ맪뷨롧샙ꚨt- 80 -
ꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꇐꕈ꒽냈ꑈ귻끨ꗰ벾꣹냲결꣒ 뉶ꅞ꒧ꖭꞡ귈ꅁSꫭ뿯꣺룪껆t듁맪뷨롧샙ꚨ뉶꒧귓볐럇깴ꅆXꫭ낪롧샙ꚨRGDP뉶ꅆYꫭ꒤롧샙ꚨ뉶ꅆZꝃ롧샙ꚨ뉶ꅃ O , RCPI>RCPI+S tRCPIRCPI=P , RCPI−S≤RCPI≤RCPI+S, ꅝ2ꅞ tRCPItRCPIQ , RCPI<RCPI−StRCPI꣤꒤ꅁRCPIꫭ닄t듁꒧덱덦뾱뗈뉶ꅆRCPIꫭ뿯꣺t듁룪껆ꅝ덱덦뾱뗈뉶ꅞ꒧ꖭꞡt귈ꅁSꫭ뿯꣺룪껆t듁덱덦뾱뗈뉶꒧귓볐럇깴ꅆOꫭ낪덱덦뾱뗈뉶ꅆPꫭ꒤덱RCPI덦뾱뗈뉶ꅆQꫭ낪덱덦뾱뗈뉶ꅃ 롧ꗑꭥ굺꓀쏾ꅝ1ꅞꚡꅝ2ꅞꚡꅁꥷ롱ꪬ멁Aꅂꪬ멁Bꅂꪬ멁Cꅂꪬ멁Dꅂꪬ멁Eꅂꪬ멁ꅂFꪬ멁Gꅂꪬ멁H뭐ꪬ멁I꒧ꪬ멁놡맒닕Ꙙ꓀ꝏ결ꅇꅝX, OꅞꅂꅝX, PꅞꅂꅝX, QꅞꅂꅝY, OꅞꅂꅝY, PꅞꅂꅝY, QꅞꅂꅝZ, OꅞꅂꅝZ, Pꅞ뭐ꅝZ, Qꅞꅃ ꡂ왊ꑔꅇꪬ멁땯ꗍ뻷뉶 ꙢꙨ뫘ꪬ멁볒ꚡꑕꅁꙕꪬ멁땯ꗍ꒧뻷뉶걏ꕴꑀ궫굮꒧꛴군엜볆ꅃꖻꓥ뇄ꗎ남ꕩꓒ쏬ꅝMarkov Chainꅞ꣓ꡄ뫢신늾뻷뉶ꅃ뻚남ꕩꓒ쏬꒧꧊뷨ꅁꑕꑀ듁신엜결걙뫘ꪬ멁꒧뻷뉶ꅁꕵ뭐ꖻ듁꒧ꪬ멁ꚳ쏶ꅁꛓ뭐꒧ꭥꪺ뻺ꕶ면엜때쏶ꅃ꧒ꕈꙕꪬ멁뚡꒧신늾ꚸ볆꽸끽N결 ALLIANLLNAAAIBNLLNBABIN = MMLL. ꅝ3ꅞ MINLLNIAII꣤꒤Nꫭꖻ듁결ꪬ멁iꅁꛓꑕꑀ듁결ꪬ멁j땯ꗍ꒧ꚸ볆ꅁi, j = A, B,…, Iꅃꭨꖻ듁결ijꪬ멁iꅁꑕꑀ듁결ꪬ멁j꒧신늾뻷뉶P결ꅇ ij NijP=. ꅝ4ꅞ ijN+N+⋅⋅⋅+NiAiBiIꙐ껉ꅁ닄t + 1듁결ꪬ멁j땯ꗍ꒧뻷뉶P(t+1)결ꅇ j 9P(t+1)=P(t)P(t), ꅝ5ꅞ ∑jjijj=1꣤꒤P(t)ꫭꙢt듁듁ꫬ결ꪬ멁j꒧뻷뉶ꅆP(t)ꫭꙢ닄t듁결ꪬ멁i신늾ꛜ닄t+1듁결jijꪬ멁j꒧뻷뉶ꅃ - 81 -
뫞뉺곬뻇곣ꡳ , , 2006 ꡂ왊ꕼꅇ룪늣끴롭ꓨꚡ꒧ꡍꥷ ꖻꓥꝑꗎClarke and Silva (1998)꒧ꓨꩫꅁ녎꒣Ꙑꪬ멁ꑕꅁꑊ굮꿀꒧ꕛ앶ꖭꞡꡄ룑ꩫ꣓ꡄ녯ꙕ꛴군ꑊ굮꿀ꅁꣃꕎꑊMarkowitz (1952)꒧ꖭꞡ볆-엜늧볆볒ꮬ꒤ꅁꕈ둍ꡄ껄뉶룪닕Ꙙꅃꚳ쏶ꑊ굮꿀꒧꛴군ꚡ결ꅇ IR=PR, ꅝ6ꅞ k∑iiki=1 2I2σ=P(Rik−R), ꅝ7ꅞ k∑iki=1 Iσ=P(R−R)(R−R), ꅝ8ꅞ kl∑iikkilli=1꣤꒤ꅁPꫭꪬ멁i땯ꗍ꒧뻷뉶ꅆRꫭꪬ멁iꑕ닄k뫘룪늣꒧돸륓뉶ꅆRRꫭ닄l lkiikk뫘룪늣꒧ꖭꞡ돸륓뉶ꅆσꫭ닄l k뫘룪늣꒧돸륓뉶Ꙁ엜늧볆ꅃ kl 2. 룪듁뚡꒧ꑊ굮꿀꛴군 껚뻚Bierman (1997)Michaud (1998)꒧왛쉉ꅁ뱗룪닕Ꙙ꒧룪듁뚡ꅁꕩ꣏녯룪ꑈ꧓꣼궷쁉꒧꿠ꑏ룻낪돸륓뉶꒧곝ꩫꅃꖻꓥꕈꑔ꙾듁꒭꙾듁꒧륷듁둘꛳ꖭꞡ돸륓뉶ꅁ륷듺륷듁ꖭꞡ돸륓뉶엜늧볆ꅁꕈ낵결ꖭꞡ볆-엜늧볆닕Ꙙ볒ꮬ꒧ꑊ엜볆ꅁ꣓ꡄ뫢듁룪꒧껄뉶ꭥ뵴ꅁꣃꥍ땵듁룪꒧껄뉶ꭥ뵴ꕛꕈꓱ룻ꅁꕈ셁룑꛳룻꣣껄뉶꧊ꅃ ꑀ꙾듁룪걏ꕈ곣ꡳ듁뚡꒧ꖭꞡ꙾돸륓뉶ꅁ낵결ꙕ뚵룪ꑵ꣣꒧듁뇦돸륓뉶ꅆꑔꅝ꒭ꅞ꙾듁룪걏ꗽ꛴뫢룪듁뚡꒧둘꛳ꖭꞡ꙾돸륓뉶ꅁꙁ꛴뫢곣ꡳ듁뚡꒧듁뇦돸륓뉶엜늧볆ꅃ 룪늣끴롭볒ꮬ뭐껄뉶ꭥ뵴꒧ꯘꗟ ꖻꓥꕈMarkowitz (1952)꒧ꖭꞡ볆-엜늧볆룪닕Ꙙ볒ꮬꅁꡄꕘ꒣Ꙑ놡ꩰꑕ꒧룪닕Ꙙ껄뉶ꭥ뵴ꅁ뙩ꛓ놴끑끨ꗰ냲돌빁룪늣끴롭ꅃ꣤냲ꖻ뉺뷗볒ꮬꕈꑕꙃ볆뻇ꚡꫭꗜꅃ nnnnn222Min σ=wwσ=wσ+2wwσ ꅝ9ꅞ ∑∑klkl∑kk∑∑klklPk=1l=1k=1k=1l=1k≠ln . E(R)=wE(R) p∑kkk=1w≥0 knw=1,∑kk=1 - 82 -
ꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꇐꕈ꒽냈ꑈ귻끨ꗰ벾꣹냲결꣒ 2꣤꒤ꅁE(R)ꅇ룪닕Ꙙ꒧듁뇦돸륓뉶ꅆE(R)ꅇ닄k뚵룪늣꒧듁뇦돸륓뉶ꅆσꅇPkp룪닕Ꙙ돸륓뉶꒧엜늧볆ꅆwꅇ닄k뚵룪늣ꕥ셠룪썂꒧앶궫ꕂ때꧱놡ꅆwꅇkl2l뚵룪늣ꕥ셠룪썂꒧앶궫ꕂ때꧱놡ꅆσꅇ닄k뚵룪늣돸륓뉶꒧엜늧볆ꅆσꅇkkl닄k뚵룪늣돸륓뉶뭐닄l뚵룪늣돸륓뉶꒧Ꙁ엜늧볆ꅃ 돌빁룪늣끴롭꒧ꡍꥷ ꡍꥷ껄뉶ꭥ뵴ꯡꅁ굮꙰꛳ꡍꥷ돌빁룪닕Ꙙꑓ걏ꑀ귓냝썄ꅃ뉺뷗ꑗ걏ꝑꗎ룪껄ꗎ꣧볆꒧때늧ꚱ뵵ꥍ껄뉶ꭥ뵴꒧꓁쉉꣓ꡍꥷꅃꙝ결룪꒧껄ꗎ엜꓆쏸ꕈ뙱꓆ꅁꙢ륂ꗎꑗꚳ꣤ꝸ쏸꧊꙳ꙢꅃꙝꚹꅁLeibowitz and Kogelman (1991)Williams (1997)떥뒣ꕘꅁ1. 돌ꝃ돸륓굮ꡄ궭꣮2. 돌ꑪ뻷뉶ꩫꅁ꣓룑ꡍ껄ꗎ엜꓆쏸ꕈ뙱꓆꒧냝썄ꅃ 1. 돌ꝃ돸륓굮ꡄ궭꣮ ꖻꓥ뇄ꗎLeibowitz and Kogelman (1991)녎돌ꝃ돸륓굮ꡄ궭꣮뇸ꗳ삳ꗎ꧳ꖭꞡ볆-엜늧볆꓀꩒꒤ꅁ룓궭꣮뇸ꗳ결: nP(wE(R)≥r)=1−α, ꅝ10ꅞ ∑kkmink=1꣤꒤ꅁr결룪닕Ꙙ돸륓뉶돌ꑪ띬ꖢꅆα결깥띬ꖢ뻷뉶ꅁꝙꑕꑀ듁룪닕Ꙙ돸륓min뉶ꅁ라ꝃ꧳굮ꡄ돌ꝃ돸륓뉶꒧뻷뉶ꚳαꅃꅝ10ꅞꚡ걏꽁쁉귈 (Value at RiskꅆVaRꅞ꒧왛꧀ꅁꑝ둎걏ꅵꙢꑀꥷ꒧룪듁뚡꒤ꅁ꧳ꑀꥷ꒧ꭈ뿠ꓴ럇ꑕꅁ룪닕Ꙙ돸륓뉶꒧ꕩ꿠돌ꑪ띬ꖢ결rꅶꅃ min녎돌ꝃ돸륓굮ꡄ궭꣮뇸ꗳꅁꕛꑊ뛇닎꒧ꖭꞡ볆-엜늧볆꓀꩒꒤ꅁ꣓ꡄ꣺돌빁룪늣끴롭꒧볒ꮬ덝군꙰ꑕꅇ nnnnn222Min σ=wwσ=wσ+2wwσ ꅝ11ꅞ ∑∑klkl∑kk∑∑klklPk=1l=1k=1k=1l=1k≠lns .t . E(R)=wE(R) p∑kkk=1nP(wE(R)≥r)=1−α ∑kkmink=1w≥0knw=1. ∑kk=1꧳돸륓뉶결녠멁꓀끴(Normal Distribution)낲덝ꑕꅁꕩ녎 nP(wE(R)≥r)=1−α, ∑kkmink=1 - 83 -
뫞뉺곬뻇곣ꡳ , , 2006 뱧ꚨꑕꚡꅇ r−E(R)minP−Z=, ꅝ12ꅞ 1−ασP꣤꒤ꅁZ결볐럇녠멁꓀끴귈ꕂ결ꖿ귈ꅆE(R)결룪닕Ꙙ돸륓뉶ꅆσ결룪닕Ꙙ볐럇1−αPP깴ꅃ 싇ꗑ뿯꣺꒣Ꙑ꒧띬ꖢ뻷뉶ꅁ엜돌ꝃ돸륓뉶꒧굮ꡄꅁ꣏녯룪닕Ꙙ꒤꒧궷쁉꧊룪늣꒧꯹ꚳꓱ꣒ꑗꑕ궰ꅁꛓ띬ꖢ뻷뉶꒧뿯꣺돌ꝃ굮ꡄ돸륓꒧덝ꥷꅁꭙ꣺ꡍ꧳룪맯궷쁉꒧쇍쇗땻ꯗꛓꥷꅁ덱녠궷쁉끪쇗라뿯꣺룻ꝃ꒧띬ꖢ뻷뉶ꅁ덝ꥷ룻ꝃ꒧돌ꝃ굮ꡄ돸륓ꅁꚹꑀꡍ떦ꓨꙖ라꣏녯룪늣끴롭꒧궷쁉꧊룪늣끴롭ꓱ꣒궰ꝃꅃ 2. 돌ꑪ뻷뉶ꩫ ꖻꓥ뇄ꗎWilliams (1997)꒧낵ꩫꅁ녎닅Ꙙ맯볆녠멁꓀끴꒧뻺ꕶ돸륓뉶ꅝ륷듁돸륓뉶결E(R)ꅁ볐럇깴결σꅞꅁ신뒫결ꑕꙃ엜볆ꚨ꒧녠멁꓀끴ꅁa결륷듁ꅵ1+꽵맪돸륓뉶ꅶ꒧맯볆ꅆ m결둘꛳ꖭꞡ볆ꅆ s결볐럇깴ꅃ꣤군뫢ꓨꚡ꙰ꑕꅇ a=ln(1+E(R), ꅝ13ꅞ 22s=ln(1+σ/(1+E(R)), ꅝ14ꅞ 2m=a−s/2. ꅝ15ꅞ ꛓꑀ귓륷듁돸륓뉶결E(R)ꅁ볐럇깴결σ꒧룪닕Ꙙꅁꕩ껚뻚꣤ꗘ볐뷆ꝑ돸륓뉶ꅝT(R)ꅞꅁ뭐ꖼ꣓룪듁뚡ꅝY꙾ꅞ꣓군뫢z-scoreꅃ꣤군뫢ꓨꚡ꙰ꑕꅇ z=(Y/s)(m−K), ꅝ16ꅞ T꣤꒤K=ln(1+T(R)ꅁ ꅝ17ꅞ Tꡄ녯z-scoreꯡꅁꕩ뫢ꕘꑀ룪닕Ꙙ꧳Y꙾룪듁뚡꒧돸륓뉶ꅁꑪ꧳ꗘ볐뷆ꝑ돸륓뉶T(R)꒧뻷뉶결P(T(R)=P(z)ꅃ꣤꒤P(z)결볐럇녠멁ꫭ꒤z귈꧒맯삳꒧닖뽮뻷뉶꓀끴귈ꅃ ꕈꑗ꒧신뒫륌땻ꅁꕩꡄꕘ껄뉶ꭥ뵴ꑗꡃꑀ귓룪닕ꙘꅁꙢ걙룪듁뚡꒤륆꣬굮ꡄ돸륓뉶꒧뻷뉶ꅁ뻷뉶돌낪ꝙ결돌빁룪닕Ꙙꅃ 3. 떲ꩇ뭐꓀꩒ ꖻꓥꕈ냪꒺끨ꗰ냲결꣒ꅁꝑꗎꭥ뎡꓀끑뷗꒧룪늣끴롭볒ꮬ뙩ꛦ맪쏒곣ꡳꅃꝙꝑꗎ냪꒺룪ꑵ꣣꒧돸륓뉶룪껆ꅁ뇀꛴ꙕ볒ꮬ꒧ꑊ굮꿀꛴군귈ꅃꯘꗟ껄뉶룪닕Ꙙꅁꚨ껄뉶ꭥ뵴ꅁꕈ셁룑꒣Ꙑ볒ꮬ꒧룪ꡍ떦꛳결꣎ꅃꕴꕾꅁꙢꡍꥷ돌빁룪늣끴롭륌땻꒤ꅁ싇ꗑ띬ꖢ깥뻷뉶ꅂ돌ꝃ굮ꡄ돸륓뉶룪듁궭떥엜볆꒧떽ꅁ놴끑ꑗ굺엜볆맯룪늣끴롭ꡍ떦꒧뱶암ꅃ - 84 -
ꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꇐꕈ꒽냈ꑈ귻끨ꗰ벾꣹냲결꣒ 룪늣끴롭 1. 굱ꥷ룪ꗘ볐뭐뿯꣺룪볐ꪺ (1) 룪ꗘ볐 끨벾냲ꚨꗟ꒧ꗘꪺ결뵔ꭏ끨ꗰꑈ귻꧳끨ꗰ꿠믢꣬삳녯꒧떹ꕉꅁ걇뚷귝압룪꒧ꙷꗾ꧊뭐ꚬ꽱꧊ꅃꙝꚹꅁꗘ볐돸륓뉶꒧덝ꥷ믝륆꣬ꖼ꣓ꢬꕈꓤꕉ끨ꗰꓤꕘ꒧돌ꝃ굮ꡄ룪돸륓뉶ꓴ럇ꅃ듁ꛓꢥꅁ돸륓뉶믝꣏룪ꚬ꽱ꢬꕈꓤꕉ끨ꗰꓤꕘꅆ둎땵듁ꛓꢥꅁ삳ꩠ띎끨벾냲ꚳꑔ꙾꒺ꖭꞡ꙾ꚬ꽱ꅁ꒣녯ꝃ꧳ꕸ믈ꑇ꙾듁ꥷ꙳ꝑ뉶꒧굮ꡄꅃ (2) 뿯꣺룪볐ꪺ ꗘꭥ끨벾냲꒧룪뵤돲ꅁ궭꣮Ꙣ꒽뛅ꅂ꒽ꕱ뛅ꅂ냪깷꣩ꅂ땵듁늼꣩ꅂꑗꖫꅝ쉤ꅞ꒽ꕱ늼ꅂꥷ듁꙳듚꧱듚떥뚵ꗘꅆꖻꓥ꿇ꑊꛛꛦ롧샧룪닕Ꙙ꒧룪ꑵ꣣ꅁ뻚뉻맪놡뭐룪껆꣺녯쏸꧶땻ꯗ꒩ꕈꛒ뙱ꅁꕝ걁ꑀ꙾듁ꅂꑇ꙾듁ꥷ듁꙳듚ꅂ냪꒺ꑗꖫ늼ꅂ냓띾ꖻ늼(91-180ꓑ)ꅂ냪깷꣩(182ꓑ)떥뚵ꗘꅃ뇄ꗎ꒧룪껆꣓ꛛꕸ왗띳돸룪껆깷ꅝ꙰ꑀꅂꑇ꙾듁ꥷ꙳ꅂꕸ왗늼볆돸륓뉶ꅞꙕ뚵룪ꑵ꣣ꅁꛛ1982꙾ꛜ2000꙾꒧꙾돸륓뉶룪껆꙰ꫭ2꧒ꗜꅃꫭ3결ꙕ룪ꑵ꣣돸륓뉶뚡꒧곛쏶ꭙ볆ꅃꗑꫭ3녯ꪾꅁ늼돸륓ꥍ꣤ꕌ룪ꑵ꣣돸륓꒧곛쏶꧊ꝥ뉻Ꙗ쏶ꭙꅃ ꫭ2 1982-2000꙾ꙕ룪ꑵ꣣꒧돸륓뉶 냓띾ꖻ늼ꑀ꙾듁ꥷ꙳ ꑇ꙾듁ꥷ꙳냪깷꣩(182ꓑ) ꕸ왗늼볆 ꑃ꙾듁꒽ꕱ뛅 (91-180ꓑ) 1982 1983 1986 1987 1988 1989 1990 1993 1994 1995 1996 1997 1998 1999 2000 뫢덎ꖭꞡ 볐럇깴 - 85 -
뫞뉺곬뻇곣ꡳ , , 2006 2. ꑊ굮꿀꒧꛴군 ꑊ굮꿀꒧꛴군ꅁꖻꓥꝑꗎ(1)Ꙩ뫘ꪬ멁볒ꚡ(2)ꛒ뱻룪듁뚡꒧ꑊ굮꿀꛴군떥ꑇ뫘ꓨꚡꅁ꓀ꝏ뮡ꧺ꙰ꑕꅇ ꫭ3 ꙕ룪ꑵ꣣돸륓뉶꒧곛쏶ꭙ볆ꫭ ꑀ꙾듁ꥷ꙳ ꑇ꙾듁ꥷ꙳ 냓띾ꖻ늼 냪깷꣩ ꑀ꙾듁ꥷ꙳ ꑇ꙾듁ꥷ꙳ 냓띾ꖻ늼 냪깷꣩ ꕸ왗늼볆 (1) 뵔ꗟ끟ꥬ쉉 ꖻꓥ녎ꖼ꣓ꕩ꿠땯ꗍ꒧ꪬ멁냏꓀결ꑅ쏾ꅁ꙰ꫭ1꒤꒧꒺깥꣓끑뷗룪늣끴롭놡ꅃ (2) ꯘꗟꖼ꣓ꪬ멁꒧꓀쏾 ꕈ맪뷨롧샙ꚨ뉶덱덦뾱뗈뉶낵결ꪬ멁꒧냏꓀볐럇ꅁꝑꗎꚹ냏꓀볐럇ꅁꕩ녎1982-2000꙾꒧룪껆냏꓀결ꑗ굺ꑅ뫘ꪬ멁ꅁꣃ싇ꕈ왛맮셠엩롧샙엜볆뭐곛쏶룪늣돸륓뉶꒧엜꓆ꅃ뿽ꑀꙃꗜꑆ1982-2000꙾뚡ꙕ꙾꒧ꪬ멁꓀쏾ꅂ롧샙ꚨ뉶ꅂ덱덦뾱뗈뉶ꙕ룪ꑵ꣣돸륓뉶곛쏶룪껆ꅃꙕꪬ멁룪늣뻺ꕶꖭꞡ돸륓뉶ꅁ꙰뿽ꑇ꧒ꗜꅃ (3) ꪬ멁땯ꗍ뻷뉶 ꗑ뿽ꑀ꒧롧샙ꚨ뉶덱덦뾱뗈뉶ꅁꕩ녯ꪬ멁Aꅂꪬ멁BꛜI떥ꑅ뫘ꪬ멁신늾ꚸ볆꽸끽Nꅁꙁꅝ3ꅞꚡꅂꅝ4ꅞꚡꅝ5ꅞꚡꡄ뫢ꅁꕩ녯ꙕꪬ멁꒧신늾뻷뉶꽸끽PꅃꗑP녯ꪾꅇP맯ꚳꪺi, j = A, B, C ,…, Iꣃ꒣ꑀꥷ곛Ꙑꅃ걇ꙢꙨ뫘ꪬ멁볒ꚡꑕꅁij꒣Ꙑ롧샙ꪬꩰ꒧뻺ꕶ돸륓뉶떹꒩꒣Ꙑ앶궫ꅁ꣏꣤닅Ꙙ맪믚놡ꩰꅁꕈ녯꣬ꖿ뵔꒧룪닕Ꙙꅃ ABCDEFGHI ABCDEFGHI A000000100A000000100B001000000B001000000D000200000D000100000N = E000100000; P = E000100000 H000000001H000000001 - 86 -
ꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꇐꕈ꒽냈ꑈ귻끨ꗰ벾꣹냲결꣒ (4) 륷듁돸륓뉶ꅂ엜늧볆Ꙁ엜볆꒧꛴군 녎뿽ꑇ꒤ꅁꙕꪬ멁ꑕ룪늣뻺ꕶ돸륓뉶ꙕꪬ멁신늾뻷뉶ꕎꑊꅝ6ꅞꚡꅂꅝ7ꅞꚡꅝ8ꅞꚡꅁꝙꕩꡄ녯ꙕ뫘ꪬ멁ꑕ꒧륷듁돸륓뉶ꅂ엜늧볆Ꙁ엜볆ꅃ돌ꯡꅁ녎ꑗ굺ꡂ왊군뫢ꙕꑊ굮꿀ꕎꑊ룪늣끴롭볒ꮬ꒤싐ꡄ룑ꅁꕩ녯ꕘ껄뉶ꭥ뵴ꅃ (5) Ꙩ뫘ꪬ멁뭐뛇닎볒ꚡ꒧ꓱ룻 뛇닎볒ꚡ꒧ꑊ굮꿀결돸륓뉶ꖭꞡ볆ꅂ엜늧볆볐럇깴ꅁꭙꕈ뿯꣺껉듁꒧뻺ꕶꖭꞡ귈낵결꛴군귈ꅆꙨ뫘ꪬ멁볒ꚡ걏ꕈ롧샙엜볆녎뿯꣺껉듁냏꓀결볆뫘ꪬ멁ꯡꅁ꓀ꝏ꛴뫢ꑊ굮꿀ꅁꙁꪬ멁땯ꗍ꒧뻷뉶ꕛ앶녯ꕘꑊ굮꿀꒧꛴군귈ꅃꫭꛜꫭ결ꙕ뫘ꪬ멁ꑕ껄뉶룪닕Ꙙ꒧륷듁돸륓뉶ꅂ볐럇깴ꙕ뚵룪볐ꪺ꒧룪앶궫ꅃ ꗑꫭꛜꫭ꒧볒샀닕Ꙙ꒤ꕩ쉫꿇ꕘꅁ뛇닎ꓨꚡꥍꙨ뫘ꪬ멁ꓨꚡ꒧ꑀ꿫꧊떲ꩇꅇ a. 굙굮ꡄꪺ돸륓뉶뙖낪껉ꅁꭨ꣤볐럇깴뙖낪ꅁ궷쁉뙖ꑪꅁ닅Ꙙ낪궷쁉낪돸륓룪뉺뷗ꅃ b. ꫭ꒤ ‘X’ꕎꫭꙢ놡맒ꪬ멁ꑕꅁ때ꩫ륆ꚨ굮ꡄ꒧듁뇦돸륓뉶ꅁ귬ꙝ걏뿯꣺꒧룪ꑵ꣣꒣ꢬꅁꕛꑗꚳ놡맒꒧뻺ꕶ룪껆ꓓꓖꅁꕈ교때ꩫ륆꣬룓놡맒꒧끟ꥬꪬ멁ꑕ꧒굮ꡄ꒧듁뇦돸륓뉶ꅃ c. 늼돸륓뉶꒧볐럇깴ꓓꑪꅁ걇낣ꭄ굮ꡄ꒧돸륓랥낪ꅁꕂ냲뫞뉺꒧궷쁉꧓꣼띎쑀ꑪ둔뱗ꕛꅁꝟꭨꙢꙷꗾ꧊ꛒ뙱ꑕꅁ덱녠꒣라뱗ꕛ꣤끴롭ꓱ꣒ꅃ ꗑ맪쏒곣ꡳ꒤귌녯ꪾꅁꖭꞡ볆—엜늧볆볒ꮬ꣼ꑊ굮꿀뱶암믡뉠ꅁ결ꚳ껄놱꣮ꕈ뻺ꕶ룪껆결ꑊ굮꿀꒧뭾깴ꅁ덜Ꙩ뻇ꯘ쒳녎뻺ꕶ룪껆냏꓀결ꙕ뫘ꪬ멁ꅁꕈꡄꟳ뫫뵔ꙡ늣ꗍꑊ굮꿀꛴군귈ꅃBrocato and Steed (1998)뭻결ꅁꙕ뚵룪ꑵ꣣꒧룪늣돸륓뉶ꅁ라쁈뗛뒺껰둠샴엜냊ꛓ엜냊ꅃ ꖻꓥꝑꗎFarrell (1989)ꓨꚡꅂ덱덦뾱뗈뉶롧샙ꚨ뉶ꅁ녎ꖼ꣓냏꓀결ꕼ뫘ꪬ멁ꅝꕈ맪뷨롧샙ꚨ뉶덱덦뾱뗈뉶꒧꒤ꛬ볆냏꓀낪/ꝃ롧샙ꚨ낪/ꝃ덱덦뾱뗈꒧놡ꩰꅞꕛꕈ쉘녩ꅁꙕꕛꑊ꒤ꯗꚨ뉶ꅁ녎ꪬ멁ꦵ결ꑅ뫘ꅁ샋뗸덱덦뾱뗈뉶롧샙ꚨ뉶ꅁ맯룪ꑵ꣣꒧룪늣돸륓뉶꒧뱶암결꛳ꅈ꣤떲ꩇ랧굺꙰ꑕꅇ (1) 덱덦뾱뗈맯룪늣돸륓뉶꒧뱶암 ꥷꚬ꽱쏒꣩꒧믹껦ꭙ꣺ꡍ꧳뉻뉶꒧낪ꝃꅁ꣤Ꙣ덱덦뾱뗈껉ꅁ결ꑆ뫻꯹맪뷨돸륓뉶ꅁ뉻뉶라Ꙗꑗ뷕ꅁ꣏녯ꥷꚬ꽱쏒꣩꒧믹껦ꑕ궰ꅆ곛ꙡꅁꙢ덱덦뫲셙뇸ꗳꑕꅁ뉻뉶라Ꙗꑕ뷕궰ꅁ꣏녯ꥷꚬ꽱쏒꣩꒧믹껦쁈꒧ꑗ몦ꅃꙝꚹꅁꙢꪫ믹ꑕ궰껉듁ꅁꥷꚬ꽱쏒꣩꒧ꫭ뉻룻ꙮꅃꛓ앶꽱쏒꣩꒧꽓꧊ꭨ뭐ꥷꚬ꽱쏒꣩곛ꅁ꣤ꩆ꒧룪돸륓뉶ꝑ떥뉻걹뙱ꅁꕩ싇ꗑ늣ꭾ믹껦꒧뷕뻣꣓걍덱덦뾱뗈놡ꣃꕛꕈ뫻꯹ꅃ (2) 롧샙ꚨ맯룪늣돸륓뉶꒧뱶암 앶꽱쏒꣩돸륓뉶꣼뒺껰엜냊꒧뱶암믡뉠ꅁ뒺껰ꙮ껉ꅁ뻣엩ꗦ꧶샴맒볶떸ꅁ꒽ꕱ샲ꝑ싗ꭰꅁ뙩ꛓ꣏녯늼믹귈쁈꒧ꑗ뒭ꅁ룪돸륓뉶뱗ꕛꅆ뒺껰끉끨껉ꅁ꒽ꕱ샲ꝑ듮ꓖꅁ룪돸륓뉶ꑪ둔셙ꓴꅃꛜ꧳ꥷꚬ꽱쏒꣩곹럭뉻룪볐꒧ꓨ궱ꅁꗑ꧳꣤믹귈꣼뉻뉶꒧뱶암룻ꑪꅁ걇롧샙ꚨ뉶꒧ꩩ냊ꅁ맯꣤룻때ꪽ놵뱶암ꅃ - 87 -
뫞뉺곬뻇곣ꡳ , , 2006 ꗑ꧳룪늣돸륓뉶라꣼꣬롧샙ꙝ꿀엜냊꒧뱶암ꅃꙝꚹꅁꕈ롧샙ꚨ뉶ꥍ덱덦뾱뗈뉶ꅁ꣓냏꓀ꪬ멁삳ꕩ늣ꗍ꒣뿹꒧냏꓀껄ꩇꅃ롧ꝑꗎ맪믚룪껆껖뫢떲ꩇꓱ룻ꅁ꣤꒤ꫭꛜꫭ결뛇닎ꓨꩫꙨ뫘ꪬ멁ꚨ꒧껄뉶룪닕Ꙙꅃ ꙢꙨ뫘ꪬ멁꓀쏾ꑕꅁꝑꗎꪬ멁땯ꗍ뻷뉶꒧륷듺떹꒩꒣Ꙑ앶궫ꅁ꣏뇀꛴꒧ꑊ굮꿀꿠꓁Ꙙ맪믚놡ꅁ뙩ꛓ낵ꕘꖿ뵔ꡍ떦ꅃ ꗑ꧳뛇닎볒ꮬ걏녎룪늣꒧뻺ꕶ돸륓뉶ꅁ꒣꓀ꙮ썡곒떹꒩ꑀ볋ꪺ땯ꗍ뻷뉶ꅁꖻꓥꭙ녎ꖼ꣓꒧롧샙놡ꩰ냏꓀결ꑅ뫘ꪬ멁ꅁꣃꙕꪬ멁꒣Ꙑ꒧땯ꗍ뻷뉶ꅁ꣓륷꛴ꙕ듁꒧륷듁돸륓뉶ꅁꙝꚹꕩ듮뮴랥뫝귈맯돸륓뉶륷꛴꒧뱶암ꅃ 3. ꛒ뱻룪듁뚡꒧ꑊ굮꿀꛴군 결뿅뙱룪듁뚡땵맯룪닕Ꙙ꧒늣ꗍ꒧뱶암ꅁꖻꓥꕈ룪ꑵ꣣ꑀ꙾ꅂꑔ꙾꒭꙾듁꒧둘꛳꙾ꖭꞡ돸륓뉶꣓꛴뫢ꑊ굮꿀ꅃ꙰뿽ꑔꕼ꧒ꗜꅃ롧ꝑꗎꖭꞡ볆 -엜늧볆볒ꚡꅁꕛꕈ볒샀꓀꩒룪닕ꙘꙢꑀ꙾듁룪낲덝ꑕꅁ꒣Ꙑ궷쁉ꓴ럇ꅝ볐럇깴ꅞ꒧돌빁끴롭ꅁ꙰ꫭ꧒ꗜꅃ굙녎룪ꛒ뱻듁궭ꦵ결ꑔ꙾꒭꙾ꅁꭨ꒣Ꙑ궷쁉ꓴ럇ꅝ볐럇깴ꅞ꒧돌빁끴롭ꅁ꓀ꝏ꙰ꫭꫭ꧒ꗜꅃꑔ뫘룪듁뚡ꚨ꒧껄뉶ꭥ뵴꒧ꓱ룻꙰맏2꧒ꗜꅃ ꗑ맏2땯뉻ꅁ룪듁뚡결ꑔ꙾꒭꙾꒧룪닕Ꙙ껄뉶ꭥ뵴ꅁꧺ엣ꙡ꧳뛇닎룪닕Ꙙꅝꑀ꙾ꅞ껄뉶ꭥ뵴꒧ꖪꓨꅃꓱ룻ꫭꅂꫭꥍꫭꅁꙢ곛Ꙑꪺ룪돸륓뉶ꑕꅁ룪듁뚡띕꧓꣼꒧궷쁉땻ꯗ띕ꑰꅁ엣ꗜ룪듁뚡꒧땵걏뱶암룪궷쁉꒧ꙝ꿀ꅁ꧒ꕈꦵ룪듁뚡ꕩꚳ껄듮ꝃ룪궷쁉ꅃꚹꕾꅁ꓀꩒Ꙣ꒣Ꙑ룪듁뚡ꑕ - 88 -
ꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꇐꕈ꒽냈ꑈ귻끨ꗰ벾꣹냲결꣒ ꫭ Ꙩ뫘놡맒ꓨꚡ꒧룪닕Ꙙ앶궫 — B놡맒 돦ꛬ%ꫭ Ꙩ뫘놡맒ꓨꚡ꒧룪닕Ꙙ앶궫 — C놡맒 돦ꛬ%룪닕Ꙙ뵳뢹 1 2 3 4 5 룪닕Ꙙ뵳뢹1 2 3 4 5 듁뇦돸륓 듁뇦돸륓 볐럇깴 볐럇깴 ꑀ꙾듁ꥷ꙳ ꑀ꙾듁ꥷ꙳ ꑇ꙾듁ꥷ꙳ ꑇ꙾듁ꥷ꙳ 냓띾ꖻ늼 냓띾ꖻ늼 냪깷꣩ 냪깷꣩ ꕸ왗늼볆 ꕸ왗늼볆 ꫭ Ꙩ뫘놡맒ꓨꚡ꒧룪닕Ꙙ앶궫 — D놡맒 돦ꛬ%ꫭ Ꙩ뫘놡맒ꓨꚡ꒧룪닕Ꙙ앶궫 — E놡맒 돦ꛬ%룪닕Ꙙ뵳뢹 1 2 3 4 5 룪닕Ꙙ뵳뢹1 2 3 4 5 듁뇦돸륓 듁뇦돸륓 볐럇깴 X X X 볐럇깴 X X X X ꑀ꙾듁ꥷ꙳ X X X ꑀ꙾듁ꥷ꙳ X X X X ꑇ꙾듁ꥷ꙳ X X X ꑇ꙾듁ꥷ꙳ X X X X 냓띾ꖻ늼 X X X 냓띾ꖻ늼 X X X X 냪깷꣩ X X X 냪깷꣩ X X X X ꕸ왗늼볆 X X X ꕸ왗늼볆 X X X X - 89 -
뫞뉺곬뻇곣ꡳ , , 2006 ꫭ Ꙩ뫘놡맒ꓨꚡ꒧룪닕Ꙙ앶궫 — F놡맒 돦ꛬ%ꫭ Ꙩ뫘놡맒ꓨꚡ꒧룪닕Ꙙ앶궫 — G놡맒 돦ꛬ%룪닕Ꙙ뵳뢹 1 2 4 5 7 룪닕Ꙙ뵳뢹 1 2 3 4 5 듁뇦돸륓 듁뇦돸륓 볐럇깴 볐럇깴 X X ꑀ꙾듁ꥷ꙳ ꑀ꙾듁ꥷ꙳ X X ꑇ꙾듁ꥷ꙳ ꑇ꙾듁ꥷ꙳ X X 냓띾ꖻ늼 냓띾ꖻ늼 X X 냪깷꣩ 냪깷꣩ X X ꕸ왗늼볆 ꕸ왗늼볆 X X ꫭ Ꙩ뫘놡맒ꓨꚡ꒧룪닕Ꙙ앶궫 — H놡맒 ꫭ Ꙩ뫘놡맒ꓨꚡ꒧룪닕Ꙙ앶궫 — I놡맒 룪닕Ꙙ뵳뢹 1 2 3 4 5 룪닕Ꙙ뵳뢹 1 2 3 4 5 듁뇦돸륓 듁뇦돸륓 볐럇깴 X X XX볐럇깴 ꑀ꙾듁ꥷ꙳ X X XXꑀ꙾듁ꥷ꙳ ꑇ꙾듁ꥷ꙳ X X XXꑇ꙾듁ꥷ꙳ 냓띾ꖻ늼 X X XX냓띾ꖻ늼 냪깷꣩ X X XX냪깷꣩ ꕸ왗늼볆 X X XXꕸ왗늼볆 †††††ꫭ?⸱ㄠ?ꛒ뱻룪듁뚡결ꑀ꙾꒧룪닕Ꙙ앶궫††††돦ꛬꅇ?룪닕Ꙙ뵳뢹12345678듁뇦돸륓69101214151617볐럇깴ꑀ꙾듁ꥷ꙳ꑇ꙾듁ꥷ꙳냓띾ꖻ늼냪깷꣩ꕸ왗늼볆ꑃ꙾듁꒽ꕱ뛅 ?††††ꫭ㐮ㄲ†ꛒ뱻룪듁뚡결ꑔ꙾꒧룪닕Ꙙ앶궫††††?돦ꛬꅇ?룪닕Ꙙ뵳뢹12345678듁뇦돸륓볐럇깴ꑀ꙾듁ꥷ꙳ꑇ꙾듁ꥷ꙳냓띾ꖻ늼냪깷꣩ꕸ왗늼볆ꑃ꙾듁꒽ꕱ뛅 - 90 -
ꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꇐꕈ꒽냈ꑈ귻끨ꗰ벾꣹냲결꣒ †††?ꫭ????†ꛒ뱻룪듁뚡결꒭꙾꒧룪닕Ꙙ앶궫†?†돦†ꛬ†ꅇ?룪닕Ꙙ뵳뢹12345678듁뇦돸륓볐럇깴ꑀ꙾듁ꥷ꙳ꑇ꙾듁ꥷ꙳냓띾ꖻ늼냪깷꣩ꕸ왗늼볆ꑃ꙾듁꒽ꕱ뛅 ㄸ ㄶ ㄴ ㄲ ꑀ꙾듁룪 닕Ꙙ?ꑔ꙾듁룪 ?닕Ꙙ ꒭꙾듁룪?닕Ꙙ ? ? 05101520253035볐럇깴 맏2 ꛒ뱻꒣Ꙑ룪듁뚡꒧껄뉶ꭥ뵴ꓱ룻? ꚨ꒧껄뉶룪닕Ꙙ꒧닕ꚨꚨꗷ땯뉻ꅁꙢ곛Ꙑ꒧듁뇦돸륓뉶ꑕꅁ룪듁뚡띕꒧룪닕Ꙙꅁ꣤룪꧳궷쁉꧊룪늣꒧ꓱ꣒띕낪ꅁꫭꗜ껉뚡ꙝ꿀ꕩ궰ꝃ룪늣돸륓뉶꒧ꩩ냊꧊ꅁꣃ꣏룪ꑈ꧓꣼궷쁉꒧꿠ꑏ뱗녪ꅁ뙩ꛓ뿯뻜궷쁉꧊룪늣ꓱ궫룻ꑪ꒧룪닕Ꙙꅃ뒫ꢥ꒧ꅁꙢꚳ꿠ꑏ냵ꛦ듁룪ꕂ꧓뻡곛Ꙑ꒧궷쁉땻ꯗꭥ뒣ꑕꅁ듁뚡띕꧒늣ꗍ꒧룪닕Ꙙ돸륓뉶녎룻듁뚡땵결낪ꅃꙝꚹꅁꙢꡓꚳ뉻걹ꕘ꒧삣ꑏꑕꅁꦵ룪닕Ꙙ꒧룪듁뚡ꅁ녎ꚳꝕ꧳룪돸륓뉶뒣뱗ꕛ궷쁉꧓꣼꿠ꑏꅃ 돌ꝃ굮ꡄ돸륓뉶룪듁뚡맯돌빁룪늣끴롭꒧뱶암 1. 돌ꝃ굮ꡄ돸륓뉶 Ꙣ돌ꝃ돸륓굮ꡄ궭꣮ꑕꅁ룪ꑈ꒧궷쁉쇍쇗땻ꯗꕩ롧꒣Ꙑ뻷뉶ꅁ꒣Ꙑ돸륓뉶꒧덝ꗟꫭ륆ꕘ꣓ꅃꙢ돌ꝃ굮ꡄ돸륓뉶ꓨ궱ꅁ뛀꒶ꅝ1998ꅞ녎ꗸ띾뚱ꕄ냲뫞뉺꒧룪궷쁉낾ꙮꅁ굮ꡄ돌ꝃ꒧룪돸륓뉶꒧덝ꥷꅁ냏꓀결ꑇ뫘놡ꩰꅇꅝ1ꅞꗸ띾뚱ꕄ냲뫞뉺굮ꡄ꒧돌ꝃ룪돸륓뉶ꅁ꒣녯ꝃ꧳꙾ꖭꞡ덱덦뾱뗈뉶ꅁ꣤꧒뇄꒧룪떦늤결덱덦뾱뗈꒧ꭏꖻ룪떦늤ꅆꅝ2ꅞꗸ띾뚱ꕄ냲뫞뉺굮ꡄ돌ꝃ룪- 91 - 듁뇦돸륓???
뫞뉺곬뻇곣ꡳ , , 2006 돸륓뉶꒣결굴ꅁꚹ결뒶덱ꮬ꒧ꭏꖻ룪떦늤ꅃꖻꓥ녎돌ꝃ굮ꡄ돸륓뉶꓀결ꡃ꙾ꖭꞡ덱덦뾱뗈뉶%0%ꅆꭈ뿠ꓴ럇ꓨ궱ꕈ95%90%Ꝁ냏꓀ꅃ꣤끴빁ꓱ룻떲ꩇ꙰ꫭ5꧒ꗜꅃꫭ5꒧ꓱ룻떲ꩇ결ꅇ (1) ꒣뷗Ꙣα = 5%10%ꅁ쁈뗛r엜ꑰꅁ룪꧳궷쁉꧊룪늣꒧ꓱ뉶뱗ꕛꅁ듁뇦돸륓min뉶ꑝ쁈꒧뱗ꕛꅃꙝ결쁈뗛돌ꝃ굮ꡄ돸륓뉶엜ꑰꅁ궭꣮뇸ꗳ엜녯룻결뱥썐ꅁ냲롧뉺ꑈ라녎룻Ꙩ꒧룪룪꧳궷쁉꧊룪늣ꅃ (2) Ꙣα = 5%껉ꅁ룪늣끴롭ꝴ궷쁉꧊룪늣ꓱ뉶ꅁ곒ꝃ꧳α = 10%껉꒧궷쁉꧊룪늣ꓱ뉶ꅃ덯걏ꙝ결ꕩ깥꒧띬ꖢ뻷뉶룻ꑰꅁ냲롧뉺ꑈꖲꥷ라꯹ꚳ룻ꓖ꒧궷쁉꧊룪늣ꅃ ꗑꕈꑗ꒧뮡ꧺꕩꪾꅁ냲뫞뉺맯띬ꖢ뻷뉶꒧꣼ꯗ꒣Ꙑꅁ굮ꡄ돌ꝃ돸륓뉶꒣Ꙑꅁ꣏녯ꙕ냲뫞뉺녱룪늣끴롭껉ꅁ라ꚳ뿯뻜꒣Ꙑ룪닕Ꙙꅁꚨ꒣Ꙑ꒧룪늣끴롭ꅃ ꫭ5 돌ꝃ굮ꡄ돸륓ꭈ뿠냏뚡꒧돌빁룪늣끴롭 돌ꝃ굮ꡄꙕꭈ뿠냏뚡꒧룪늣끴롭ꓱ 룪늣뚵ꗘ돸륓⠥?95%90% ꑀ꙾듁ꥷ꙳0 ꑇ꙾듁ꥷ꙳ 냓띾ꖻ늼냪깷꣩ ꕸ왗늼볆 룪닕Ꙙ돸륓뉶(%) ꑀ꙾듁ꥷ꙳ ꑇ꙾듁ꥷ꙳0냓띾ꖻ늼0 0냪깷꣩ ꕸ왗늼볆 룪닕Ꙙ돸륓뉶 2. 돌ꑪ뻷뉶ꩫ 돌ꑪ뻷뉶ꩫ꒧ꗘꪺꙢꡄ뫢껄뉶ꭥ뵴ꑗ꧒ꚳ룪닕Ꙙꅁꚳ돌ꑪ뻷뉶꿠냷Ꙣ꽓ꥷ룪듁뚡ꅁ떥꧳ꑪ꧳걙ꑀꗘ볐뷆ꝑ돸륓뉶꒧룪닕Ꙙꅃꗑꅝ16ꅞꚡꅝ17ꅞꚡꕩ땯뉻ꅁ룪닕Ꙙ꒧ꡍꥷꕄ굮꣼꣬ꗘ볐뷆ꝑ돸륓뉶ꖼ꣓룪듁뚡꒧뱶암ꅃ 결셁룑룓꣢뚵ꙝ꿀맯룪닕Ꙙꡍ떦꒧뱶암ꅁꖻꓥꕈꑕꙃ꣢뫘ꓨꚡ꣓끑뷗ꅇꅝ1ꅞꙢꥷꗘ볐돸륓뉶ꅝ12%ꅞꑕꅁ꒣Ꙑ룪듁뚡ꅝ25ꅂ20ꅂ10ꅂ3ꅂ5ꅂ1꙾ꅞ꒧륆ꚨ뻷뉶ꅆꅝ2ꅞꙢꥷ룪듁뚡ꅝ20꙾ꅞꑕꅁ꒣Ꙑ돸륓뉶ꅝ6%ꅂ8%ꅂ12%ꅞ꒧륆ꚨ뻷뉶ꅃ꣤뙗륌ꗘ볐돸륓뉶꒧뻷뉶ꫭ륆ꅁ꙰맏3맏4꧒ꗜꅃ 맏3ꫭꗜꙢ꒣Ꙑ꒧룪듁뚡ꅁꙕ껄뉶룪닕Ꙙ뙗륌ꗘ볐돸륓뉶ꅝ12%ꅞ꒧뻷뉶꓀끴맏ꅃꗑ맏3ꕩ땯뉻ꅇ럭껄뉶룪닕Ꙙ꒧륷듁돸륓뉶ꑰ꧳12%껉ꅁꭨ룪듁뚡룻땵꒧룪닕Ꙙ꣤륆ꚨ뻷뉶ꑪ꧳룪듁뚡꒧룪닕Ꙙꅆ럭껄뉶룪닕Ꙙ꒧륷듁돸륓뉶ꑪ꧳12%껉ꅁꭨ룪듁뚡룻꒧룪닕Ꙙ꣤륆ꚨ뻷뉶ꑰ꧳룪듁뚡땵꒧룪닕Ꙙꅃ 맏4걏룪ꑵ꣣Ꙣ때궭꣮뇸ꗳꑕꅁꕈ맪뷨돸륓뉶룪껆꧒멣ꚨ꒧껄뉶ꭥ뵴ꑗ꒧ꙕ- 92 -
ꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꇐꕈ꒽냈ꑈ귻끨ꗰ벾꣹냲결꣒ 룪닕ꙘꅁꙢ20꙾꒧룪듁궭꒤ꅁ꿠륆꣬ꙕ뫘꒣Ꙑꗘ볐돸륓뉶꒧뻷뉶꓀끴맏ꅃꕈꗘ볐돸륓뉶12%결꣒ꅁ럭껄뉶룪닕Ꙙ꒧륷듁돸륓뉶결8%껉ꅁ꣤륆ꚨꗘ볐돸륓뉶ꅝ12%ꅞ꒧뻷뉶곹결15%ꅆ럭껄뉶룪닕Ꙙ꒧륷듁돸륓뉶결16%껉ꅁ꣤륆ꚨꗘ볐돸륓뉶ꅝ12%ꅞ뻷뉶곹결62%ꅃ엣ꗜ럭룪닕Ꙙ꒧돸륓뉶띕낪껉ꅁ륆ꚨꗘ볐돸륓뉶꒧뻷뉶띕ꑪꅁꛓꗘ볐돸륓뉶꒧뒣낪라꣏룪닕Ꙙ륆ꚨꚹꑀꗘ볐꒧뻷뉶궰ꝃꅃꚹꕾꅁ귈녯ꩠ띎ꪺ걏ꅁ맏4ꝥ뉻꒧맏ꣃꭄ때궭ꙡꙖꑗꦵ륆꣬100%ꪺ뻷뉶ꅁ덯ꫭꗜ륷듁돸륓뉶돌ꑪ꒧룪닕Ꙙꅁ꣤륆ꚨ뻷뉶ꖼꖲ돌ꑪꅃꙝ결쁈뗛돸륓뉶꒧뒣낪ꅁ룪궷쁉ꗧ곛맯ꙡ뒣낪ꅁ륆ꚨ뻷뉶ꑝ둎곛맯ꪺ궰ꝃꅃ 뫮Ꙙ맏3맏4ꝥ뉻꒧떲ꩇ땯뉻ꅁ쁈뗛ꗘ볐돸륓뉶뒣낪ꅁ룪닕Ꙙ륆ꚨꗘ볐꒧뻷뉶라덶몥궰ꝃꅁꛓ럭룪닕Ꙙ꒧륷듁돸륓뉶뙗륌ꗘ볐돸륓뉶ꯡꅁ룪듁뚡룻꒧룪닕Ꙙ꒧륆ꚨ뻷뉶ꅁ녎룻룪듁뚡땵꒧룪닕Ꙙ낪ꅃ엣ꗜ둎듁ꛓꢥꅁ궷쁉꧊낪꒧룪닕Ꙙꚳ룻ꑪ꒧뻷뉶ꕩꕈ샲교룻낪꒧돸륓뉶ꅃꑀ꿫ꛓꢥꅁ끨ꗰ냲꒧룪걹냊꧊믝ꡄꣃ꒣낪ꅁ삳ꕩ뇄꣺룻결뽮랥꒧룪떦늤ꅁꕈ샲꣺룻낪꒧돸륓뉶ꅁ궰ꝃ걆ꦲꅝ뚱ꕄꅞ끨ꗰ냲냑뭐굴뻡ꅃ 㜰 㘰 㔰 룪듁뚡???꙾ 㐰룪듁뚡???꙾ ㌰룪듁뚡???꙾ ㈰룪듁뚡??꙾ 룪듁뚡??꙾ ?룪듁뚡??꙾ 〲㐶??????? 껄뉶룪닕Ꙙ꒧륷듁돸륓뉶⠥? 맏3 껄뉶룪닕ꙘꙢ룪듁뚡꒤뙗륌ꗘ볐돸륓⠱㈥⦤Ꞿ皹? 㤰 㠰 㜰 㘰 㔰ꗘ볐돸륓 㐰뉶??? ㌰ꗘ볐돸륓 ㈰뉶??? ꗘ볐돸륓뉶????? ?????ㄲㄴㄶㄸ 껄뉶룪닕Ꙙ꒧륷듁돸륓뉶???₹??₮?뉶룪닕ꙘꙢ룪듁뚡꒤뙗륌ꗘ볐돸륓뉶꒧뻷뉶맏- 93 - 뙗륌ꗘ볐돸륓뉶꒧뻷뉶???뙗륌ꗘ볐돸륓뉶꒧뻷뉶?┩
뫞뉺곬뻇곣ꡳ , , 2006 4. 떲뷗뭐ꯘ쒳 ꖻ론끷맯곣ꡳ떲ꩇꅁ쉫꿇떲뷗ꅁ뒣ꕘ맯끨ꗰ냲룪뫞뉺꒧ꯘ쒳ꅁꣃ맯ꯡ쓲꒧곣ꡳ뒣ꕘꯘ쒳ꅃ 떲뷗 ꖻꓥ꧒녯떲뷗꙰ꑕꅇ 1. 룪늣끴롭꣼ꑊ굮꿀꒧뱶암믡뉠ꅃꙝꚹꅁꙕꑊ굮꿀꙰꿠꛴군ꙡ뙖뫫뵔ꅁꭨꕩ산ꝕꡍ떦샀ꥷꟳ꣣껄꽱꒧끴롭걆떦ꅃ놩Ꙣ뛇닎꒧룪늣끴롭볒ꮬ꒤ꅁ꣤ꑊ굮꿀꒧꛴군ꓨꚡꅁꭙ녎룪늣꒧뻺ꕶ돸륓뉶꒣꓀ꗴ꛳놡ꩰꞡ떹꒩곛Ꙑ꒧땯ꗍ뻷뉶ꅁ쏸ꕈ삳맪뷨ꖼ꣓꒧엜냊놡ꅃꖻꓥꝑꗎꙨ뫘놡맒ꪬ멁꒧꓀꩒ꓨꚡꅁ녎ꖼ꣓꒧롧샙놡ꩰ냏꓀결ꑅ뫘놡맒ꅁꙁꙕ놡맒꒣Ꙑ꒧땯ꗍ뻷뉶꣓륷꛴ꖼ꣓ꙕ듁꒧륷듁돸륓뉶ꅁꕂꕈ슲꧶ꪺ닎군ꓨꩫꅁꝑꗎꖭꞡ볆ꑗꅂꑕ귓볐럇깴낵결ꯈ왛ꪺ냏꓀꒤ꯗ롧샙ꚨ꒤ꯗ덱덦뾱뗈ꪺꑗꑕ곉궭ꅁ룻Farrell(1989)꒧ꝀꩫꙨ냏꓀ꕘ꒤ꯗ롧샙ꚨ꒤ꯗ덱덦뾱뗈ꅃ꙰ꚹꑀ꣓ꕩ궰ꝃꭄ낪ꚨ걊ꝃꚨ꒧낾뭾ꅃꙝ결녎놡맒냏꓀결ꑅ뫘ꪬ멁ꅁ꧒ꕈꝙ꣏꛴군ꚳ꧒낾뭾ꅁ낪ꚨ꛴ꚨ꒤ꯗꚨꅁ룪늣끴롭닕Ꙙ쇙걏ꕩ땯뒧Ꝁꗎꅁꕵ걏껄꽱낪ꝃ꒧냝썄ꅃꕈꦹꕸ왗끨ꗰ냲룪늣끴롭Ꙩ낾궫꧳ꙷꗾ꧊ꅂ꒤땵듁ꪺꛒ뙱ꅃ꙰ꩇ꿠ꚳ껄ꙡ뇀꛴ꖼ꣓놡맒꒧땯ꗍ뻷뉶껉ꅁ녎ꕩ산ꝕꡍ떦Ꙣꚬ꽱꧊ꙷꗾ꧊꒧ꛒ뙱ꑕ꣮ꥷꙘ빁꒧ꡍ떦ꅃ 2. 럭ꕈ꒣Ꙑ룪듁뚡ꅝ3꙾ꅂ5꙾ꅞ꒧둘꛳ꖭꞡ꙾돸륓뉶꛴뫢ꙕꑊ굮꿀껉ꅁ꣤꧒ꚨ꒧껄뉶ꭥ뵴ꛬ꧳뛇닎룪닕Ꙙꅝ1꙾ꅞ꒧껄뉶ꭥ뵴꒧ꖪꓨꅁ엣ꗜꙢ곛Ꙑ꒧룪돸륓뉶ꑕꅁ룪듁뚡띕ꅁ꧒꧓꣼꒧궷쁉땻ꯗ띕ꑰꅃ꧒ꕈ룪듁뚡꒧ꦵꕩꚳ껄듮ꝃ룪궷쁉ꅃꚹꑀ떲ꩇ뭐Bierman (1997)꒧곝ꩫ곛ꅁꝙꙢꛒ뱻룪ꑈ꒧껄ꗎ꣧볆ꯡꅁꦵ룪닕Ꙙ꒧룪듁뚡ꕩ꣏녯룪ꑈ꧓꣼궷쁉꒧꿠ꑏ뱗녪ꅃ 3. Ꙣꑀꥷ꒧ꭈ뿠ꓴ럇ꑕꅁ럭돌ꝃ굮ꡄ돸륓뉶엜ꑰ껉ꅁ궭꣮뇸ꗳ라엜녯룻결뱥썐ꅁ꣏녯룪꧳궷쁉꧊룪늣꒧ꓱ뉶뱗ꕛꅁ듁뇦돸륓뉶ꑝ쁈꒧뱗ꕛꅆꕴꑀꓨ궱ꅁ럭ꕩ깥꒧띬ꖢ뻷뉶룻ꑰ껉ꅁ냲롧뉺ꑈ라듮ꓖ꯹ꚳ궷쁉꧊룪늣ꅃꙝꚹꅁ냲뫞뉺맯띬ꖢ뻷뉶꣼ꯗ꒣Ꙑ굮ꡄ돌ꝃ돸륓뉶꒣Ꙑꅁ라꣏녯꣤Ꙣ녱룪늣끴롭껉ꅁ뿯뻜꒣Ꙑ꒧룪닕Ꙙꅁꚨ꒣Ꙑ꒧룪늣끴롭ꅃ 4. 럭ꝑꗎ돌ꑪ뻷뉶ꩫ꣓ꡍꥷ돌빁룪닕Ꙙ껉ꅁ쁈뗛ꗘ볐돸륓뉶꒧뒣낪ꅁ룪닕Ꙙ륆ꚨꗘ볐꒧뻷뉶라덶몥궰ꝃꅁꛓ럭룪닕Ꙙ꒧륷듁돸륓뉶뙗륌ꗘ볐돸륓뉶ꯡꅁ룪듁뚡룻꒧룪닕Ꙙ꒧륆ꚨ뻷뉶녎룻룪듁뚡땵꒧룪닕Ꙙ낪ꅁ엣ꗜ둎듁ꛓꢥꅁ궷쁉꧊낪꒧룪닕Ꙙꚳ룻ꑪ꒧뻷뉶ꕩꕈ샲교룻낪꒧돸륓뉶ꅃ ꯘ쒳 ꖻꓥ꒧볒샀꓀꩒떲ꩇ뭐ꯘ쒳ꞡ뻚뻺ꕶ룪껆꓀꩒ꛓ녯ꅁꣃ낲덝륌ꕨ뭐ꖼ꣓꒧ꪬꩰ곛Ꙑꅁ맪ꑗꅁ륌ꕨ꒧뿄롧샙샴맒꒣ꑀꥷ꿠ꦵ쓲꣬ꖼ꣓ꅃ꧒ꕈꙢ뙩ꛦ룪늣끴롭껉쇶ꕩ냑ꛒ륌ꕨ꒧롧엧ꅁ꒴뚷뻚맪믚꒧ꪬꩰꕛꕈꝐ쉟ꯡꅁ뙩ꛦ귗ꖿ뷕뻣ꅁꕂ- 94 -
ꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꇐꕈ꒽냈ꑈ귻끨ꗰ벾꣹냲결꣒ ꕸ왗ꑷ쇚ꑊꑷ뙽땯냪깡꒧ꛦꙃꅁ롧샙ꚨꑷ륆ꑀꥷꓴ럇ꅁꓱ꙰뮡ꚹ룪껆꓀꩒ꚨ뉶%뗸결꒤ꯗ롧샙ꚨꅁꚹꚨ뉶맯과ꅂꓩ볚걷떥ꗽ뙩냪깡꣓뮡ꅁꑷ뫢걏낪롧샙ꚨ뉶ꅃ꧒ꕈ녎ꚹ룪껆꓀꩒ꕸ왗ꖼ꣓2005꙾ꯡ꒧롧샙ꚨ뉶ꅁ녎ꚳ꧒꒣Ꞵꅁ귬ꙝ걏1980-1990ꕸ왗롧샙Ꟗ덴ꚨꅁꚨ뉶낾낪뻉교꧔낪ꖭꞡ롧샙ꚨ뉶ꅃ꧒ꕈ굮꓀꩒ꖼ꣓ꪬꩰꅁꕩ덶ꡂꪺ귧낣싂룪껆ꅁ낵결뱵꧊ꪺ뷕뻣ꅁ꣏녯볒ꮬ꓀꩒ꟳꚳ띎롱ꅃꖻꓥꙝ결뿯꣺룪뚵ꗘꕈꕸ왗끨벾냲꒧룪뵤돲결ꕄꅁ꧒ꕈ룪뚵ꗘ룻ꓖꅁꕛꑗꕈ꙾룪껆꓀꩒ꅁ꓀꩒듁볆꒣냷Ꙩꅁ뻉교ꚳꪬ멁때ꩫ륆꣬굮ꡄ꒧듁뇦돸륓뉶ꅃ꙰ꩇ듁볆룪껆Ꙩꅁꪬ멁꓀꩒녎ꟳ꣣껄꽱ꅃꕈꚹ꣓곝과ꅂꓩꅁ볚걷떥ꗽ뙩냪깡쇚ꑊꑷ뙽땯냪깡ꛦꙃꚳꑀ걱껉뚡ꅁ꓀꩒룪껆룻Ꙩꕂꞹ돆ꅁ꧒ꕈꝑꗎꕾ냪룪ꅁ녎꣏녯ꚹ볒ꮬ꓀꩒ꟳꚳ껄ꅁ냪꒺꒧뫞뉺벾꯲냲룪늣끴롭돦ꛬꕩꚹ낵결냑ꛒꅁ럭땍ꑝ굮ꛒ뙱뛗뉶꒧엜냊꧊ꅃ ꖻꓥ뛈놴끑돦듁ꪺ룪늣끴롭볒ꮬꅁꯡ쓲곣ꡳꕩ녎ꖻꓥꪺꓨꩫ륂ꗎ꣬Ꙩ듁꒧룪늣끴롭볒ꮬꅃ 냑ꛒꓥ쑭 1. ꓨꧺꑴ(1993)ꅁꅵ끨ꗰ군릺룪늣룪ꪺ냲ꖻ뭻쏑ꅶꅁꭏ쁉녍ꕚꅁ닄ꑔꑑꑇ뿨ꅃ 2. ꛈ곂(1989)ꅁꅵ끨ꗰꓨ껗꒧덗릺뭐냲뫞뉺꒧곣ꡳꅶꅁ걆ꩶꑪ뻇ꭏ쁉곣ꡳ꧒뫓ꑨ뷗ꓥꅃ 3. ꫴ엣ꓱ(1997)ꅁꅵꕸ왗끨ꗰ냲룪늣꓀끴꒧룕뗻ꅶꅁ쏒꣩ꖫ돵땯깩ꥵꕚꅁ닄ꑅꣷ닄ꑇ듁ꅁ29-56궶ꅃ 4. 뙻ꟓ뉍(1998)ꅁꅵꕸ왗냲룪늣끴롭꒧곣ꡳꅶꅁꕸ왗ꑪ뻇끝냈뿄곣ꡳ꧒뫓ꑨ뷗ꓥꅃ 5. 뎯곮(1996)ꅁꅵꕸ왗끨ꗰ냲뫞뉺뭐셚껄꒧곣ꡳꅶꅁ꒤ꑳꑪ뻇끝냈뫞뉺곣ꡳ꧒뫓ꑨ뷗ꓥꅃ 6. 뎯땮랽(1998)ꅁꅵ끨벾냲꒧룪늣끴롭뭐셚껄뗻꛴ꅶꅁꛒ믍ꥵꕚꅁ닄ꑑꑔ듁ꅁ17-29궶ꅃ 7. 뛀꒶(1998)ꅁꅵꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꅶꅁ쏒꣩ꖫ돵땯깩ꥵꕚꅁ닄ꑑꣷ닄ꑔ듁ꅁ135-164궶ꅃ 8. 램듂ꚨ(1994)ꅁꅵ듁꧊ꫀ라꒽꽱냲룪늼꧐ꙡꕩꛦ꧊꒧놴끑ꅶꅁꭏ쁉녍ꕚꅁ닄ꑔꑑ꒭뿨ꅃ 9. Arnott, R. D. (1985), “The Pension Sponsorꆦs View of Asset Allocation,” Financial Analysts Journal, 41(5), -23. 10. Bierman, H. Jr. (1997), “Portfolio Allocation and the Investment Horizon, ” Journal of Portfolio Management, 23(4), -55. 11. Booth, P. and Y. Yakoubov (2000), “Investment Policy for Defined- contribution Pension Scheme Members Close to Retirement: An Analysis of the Lifestyle' Concept,” North American Actuarial Journal, 4(2), -19. 12. Brocato, J. and S. Steed (1998), “Optimal Asset Allocation over the Business Cycle,” Financial Review, 33(3), -148. - 95 -
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ꕸ왗끨ꗰ냲룪늣끴롭꒧곣ꡳꇐꕈ꒽냈ꑈ귻끨ꗰ벾꣹냲결꣒ 뿽ꑀ 1982-2000꙾ꙕ꙾꒧ꪬ멁꓀쏾ꅂ롧샙ꚨ뉶ꅂ덱덦뾱뗈뉶ꙕ룪ꑵ꣣돸륓뉶룪껆 ꪬ멁닕Ꙙꑀ꙾ꑇ꙾ꕸ왗 ꪬ멁냓띾 ꙾ ꚨ뉶덱뾱뉶듁ꥷ듁ꥷ냪깷꣩ 늼ꕎ뢹 ꖻ늼 ꚨ뉶 덱뾱뉶꙳ ꙳ 볆1982 G Z O 1983 B X P 1984 C X Q 1985 I Z Q 1986 C X Q 1987 C X Q 1988 F Y Q 1989 A X O 1990 G Z O 1991 D Y O 1992 D Y O 1993 E Y P 7 1994 D Y O 1995 D Y O 1996 G Z O 1997 F Y Q 1998 H Z P 1999 I Z Q I Z Q 뿽ꑇ ꙕꪬ멁ꑕ꒧룪늣뻺ꕶꖭꞡ돸륓뉶 ꑀ꙾듁 ꑇ꙾듁 ꕸ왗늼 놡맒 냓띾ꖻ늼냪깷꣩ ꥷ꙳ ꥷ꙳ 볆 A B C D E F G H I - 97 -
뫞뉺곬뻇곣ꡳ , , 2006 뿽ꑔ ꙕ뚵룪ꑵ꣣꙾ꖭꞡ둘꛳돸륓뉶ꇐꑔ꙾듁 ꙾ ꑀ꙾듁ꥷ꙳ ꣢꙾듁ꥷ꙳냓띾ꖻ늼냪깷劵ꕸ왗늼볆 1982-1984 1983-1985 1984-1986 1985-1987 1986-1988 -1989 1988-1990 1989-1991 1991-1992 1991-1993 -1994 1993-1995 1994-1996 1995-1997 1996-1998 -1999 1998-2000 뫢볆ꖭꞡ볆 볐럇깴 뿽ꕼ ꫭA4 ꙕ뚵룪ꑵ꣣꙾ꖭꞡ둘꛳돸륓뉶ꇐ꒭꙾듁 ꙾ ꑀ꙾듁ꥷ꙳ ꣢꙾듁ꥷ꙳냓띾ꖻ늼냪깷劵ꕸ왗늼볆 1982-1986 1983-1987 1984-1988 1985-1989 1986-1990 1987-1991 1988-1992 1989-1993 1991-1994 1991-1995 1992-1996 1993-1997 1994-1998 1995-1999 1996-2000 뫢볆ꖭꞡ볆 볐럇깴 - 98 -
