국민연금의 전략적 자산배분시 Shortfall Risk와 목표수익률의 적합성에 관한 연구 = A Study on the Shortfall Risk Measures and Target Return in Strategic Asset Allocation of National Pension
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국민연금의 전략적 자산배분시 Shortfall Risk와 목표수익률의 적합성에 관한 연구 = A Study on the Shortfall Risk Measures and Target Return in Strategic Asset Allocation of National Pension' 의 주제별 논문영향력
논문영향력 요약
주제
shortfall risk
목표수익률
전략적 자산배분
피셔효과
허용위험한도
동일주제 총논문수
논문피인용 총횟수
주제별 논문영향력의 평균
39
0
0.0%
주제별 논문영향력
논문영향력
주제
주제별 논문수
주제별 피인용횟수
주제별 논문영향력
주제어
shortfall risk
10
0
0.0%
목표수익률
8
0
0.0%
전략적 자산배분
10
0
0.0%
피셔효과
6
0
0.0%
허용위험한도
5
0
0.0%
계
39
0
0.0%
* 다른 주제어 보유 논문에서 피인용된 횟수
0
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국민연금의 전략적 자산배분시 Shortfall Risk와 목표수익률의 적합성에 관한 연구 = A Study on the Shortfall Risk Measures and Target Return in Strategic Asset Allocation of National Pension' 의 참고문헌
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Michaud, R. O., “Efficient asset management”, Harvard Business SchoolPress,1998.
Mausser,H.and Rosen,D.,“Beyond VaR:From Measuring Risk to Managing Risk”, Algo Research Quarterly Vol. 1, No. 2, December(1998),pp.5-20.
MaCurdy,E.ThomasandJohnB.Shoven,“AssetAllocationandRisk Allocation: Can Social Security Improve its Future Solvency Problem by Investing in Private Securities?”,The University of ChicagoPress,2001.
Lintner, J., "Security Prices, Risk, and Maximal Gains from Diversification,"JournalofFinance,1965,pp.587-615.
Leibowitz,M.L.,Langatieg,T.C.,“Shortfallrisk and assetallocation decision”,in:Fabozzi,F,J.(Ed.):Managing InstitutionalAssets, Harper& Row,New York,1990,pp.35-63.
Leibowitz,M.L.,Langatieg,T.C.,“Shortfallrisk and assetallocation decision:A Simulation analysis ofstock and bond risk profiles”, The JournalofPortfolio ManagementFall1989b,Vol.16,No.1: pp.61-68.
Leibowitz,M.L.,Henriksson,R.D.,“Portfoliooptimization with shortfall constraints:A confidence-limit approach to managing downside risk”,FinancialAnalystsJoural,March/April1989a,pp.34-41.
Leibowitz, M.L., Kogelman, S. and Bander, L.N., "Funding Ratio Return",The Journalof Portfolio Management,Vol.21,No.1, 1994,pp.39-47.
Leibowitz, M.L,. Kogelman, S., “Asset Allocation under Shortfall Constraints”, The Journal of Portfolio Management, 17, 1991, pp.18-23.
James W.and Charles M.Stein.“Estimation with quadratic loss,” Proceedings ofthe Fourth Berkeley Symposium on Mathematical StatisticsandProbability,Vol.1,1961,pp.361-379.
Fishburn,PeterC.,“Mean-Risk Analysis with Risk Associated with Below-TargetReturns”,American Economic Review,67(2),1977, pp.116-126.
Favre, L., and Galeano, J.A., “ Mean-Modified Value at Risk Optimization with Hedge Fund”, The Journal of Alternative Investments,Vol.15,2002.
Danielsson,J., Jorgensen,B.N.,Samorodnitsky,G.,Sarma,M.,de Vries, C.G., "Subadditivity Re-Examined: the Case for Value-at-Risk",Workingpaper,LondonSchoolofEconomics,2005, Fama,E.F.,“Short-term interest rate as predictors of inflation”, AmericanEconomicReview 65,1975,pp.269-282.
Campbell,R.,Huisman,R.and Koedijk,K.,"OptimalPortfolioSelection in a Value-at-Risk Framework",Journal of Banking & Finance 25, 2001, pp.1789-1804.
Albrecht, P., “Normal and lognormal shortfall risk”, 3rd AFIRColloquium, Rome,1993,Vol.2,pp.417-430.
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국민연금의 전략적 자산배분시 Shortfall Risk와 목표수익률의 적합성에 관한 연구 = A Study on the Shortfall Risk Measures and Target Return in Strategic Asset Allocation of National Pension'
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