@article{ART002525312},
author={이상헌 and Myung-Jig Kim},
title={KTB Bond Portfolio Optimization using Dynamic Nelson-Siegel Model},
journal={Asset Management Review},
issn={2288-6672},
year={2019},
volume={7},
number={1},
pages={24-48},
doi={10.23007/amr.2019.7.1.24}
TY - JOUR
AU - 이상헌
AU - Myung-Jig Kim
TI - KTB Bond Portfolio Optimization using Dynamic Nelson-Siegel Model
JO - Asset Management Review
PY - 2019
VL - 7
IS - 1
PB - Institute of Management Research, SungKyunKwan University
SP - 24
EP - 48
SN - 2288-6672
AB - The purpose of this study is to answer the question empirically whether we can expect model based strategy to deliver the additional risk-adjusted return and the reduction of risk using available information or not. Specifically we use Dynamic Nelson-Siegel model and its variants to derive expected returns and covariance for solving mean-variance optimization problem. Constructing bond portfolio using the optimal weight, we compare it with the traditional bond stagey and do model comparisons. We use Caldeira, Moura, and Santos (2016) approach to analyze KTB optimal portfolio construction. As the result of empirical analysis for the duration of January 2015 to December 2018, as risk appetite increases, it is efficient to move short-term investment to long-term as time goes by. Despite of the volatile out-of-sample period, model based strategy show a little lower but similar risk-adjusted performance.
KW - Bond Portfolio;Dynamic Nelson-Siegel Model;Mean-Variance Optimization;Bond Expected Returns;Sharpe Ratio
DO - 10.23007/amr.2019.7.1.24
ER -
이상헌 and Myung-Jig Kim. (2019). KTB Bond Portfolio Optimization using Dynamic Nelson-Siegel Model. Asset Management Review, 7(1), 24-48.
이상헌 and Myung-Jig Kim. 2019, "KTB Bond Portfolio Optimization using Dynamic Nelson-Siegel Model", Asset Management Review, vol.7, no.1 pp.24-48. Available from: doi:10.23007/amr.2019.7.1.24
이상헌, Myung-Jig Kim "KTB Bond Portfolio Optimization using Dynamic Nelson-Siegel Model" Asset Management Review 7.1 pp.24-48 (2019) : 24.
이상헌, Myung-Jig Kim. KTB Bond Portfolio Optimization using Dynamic Nelson-Siegel Model. 2019; 7(1), 24-48. Available from: doi:10.23007/amr.2019.7.1.24
이상헌 and Myung-Jig Kim. "KTB Bond Portfolio Optimization using Dynamic Nelson-Siegel Model" Asset Management Review 7, no.1 (2019) : 24-48.doi: 10.23007/amr.2019.7.1.24
이상헌; Myung-Jig Kim. KTB Bond Portfolio Optimization using Dynamic Nelson-Siegel Model. Asset Management Review, 7(1), 24-48. doi: 10.23007/amr.2019.7.1.24
이상헌; Myung-Jig Kim. KTB Bond Portfolio Optimization using Dynamic Nelson-Siegel Model. Asset Management Review. 2019; 7(1) 24-48. doi: 10.23007/amr.2019.7.1.24
이상헌, Myung-Jig Kim. KTB Bond Portfolio Optimization using Dynamic Nelson-Siegel Model. 2019; 7(1), 24-48. Available from: doi:10.23007/amr.2019.7.1.24
이상헌 and Myung-Jig Kim. "KTB Bond Portfolio Optimization using Dynamic Nelson-Siegel Model" Asset Management Review 7, no.1 (2019) : 24-48.doi: 10.23007/amr.2019.7.1.24
