@article{ART002856849},
author={Jae Hyun Lee},
title={Asset Allocation Model Based On Asset to Expenditure Ratio},
journal={Asset Management Review},
issn={2288-6672},
year={2022},
volume={10},
number={1},
pages={1-14},
doi={10.23007/amr.2022.10.1.1}
TY - JOUR
AU - Jae Hyun Lee
TI - Asset Allocation Model Based On Asset to Expenditure Ratio
JO - Asset Management Review
PY - 2022
VL - 10
IS - 1
PB - Institute of Management Research, SungKyunKwan University
SP - 1
EP - 14
SN - 2288-6672
AB - The asset to expenditure ratio is an indicator of a fund's purchasing power and financial soundness that evaluates the size of its assets by its expenditure. It can be used as a financial indicator of a government policy fund that follows the pay-as-you-go funding system or the partial funded system. This study studies an asset allocation model that reflects the characteristics of the expenditure growth rate and business balance, which are factors that change the asset to expenditure ratio. In order to reduce the risk of the asset to expenditure ratio, we prove that an asset class that has a positive correlation with the expenditure growth rate and a negative correlation with the business balance is advantageous. Through this, we propose the methodology for deriving the optimal weight of risky assets. As a result, we prove that when the asset to expenditure ratio risk constraint is used compared to the asset only shortfall constraint, a set that cannot be invested in the asset shortfall constraint can be investable under the asset to expenditure ratio risk constraint. It is expected that it can be used as an asset allocation model based on ALM (Asset and Liability Management) for a government policy fund which has no explicit liabilities.
KW - Asset Allocation;Asset to Expenditure Ratio;ALM
DO - 10.23007/amr.2022.10.1.1
ER -
Jae Hyun Lee. (2022). Asset Allocation Model Based On Asset to Expenditure Ratio. Asset Management Review, 10(1), 1-14.
Jae Hyun Lee. 2022, "Asset Allocation Model Based On Asset to Expenditure Ratio", Asset Management Review, vol.10, no.1 pp.1-14. Available from: doi:10.23007/amr.2022.10.1.1
Jae Hyun Lee "Asset Allocation Model Based On Asset to Expenditure Ratio" Asset Management Review 10.1 pp.1-14 (2022) : 1.
Jae Hyun Lee. Asset Allocation Model Based On Asset to Expenditure Ratio. 2022; 10(1), 1-14. Available from: doi:10.23007/amr.2022.10.1.1
Jae Hyun Lee. "Asset Allocation Model Based On Asset to Expenditure Ratio" Asset Management Review 10, no.1 (2022) : 1-14.doi: 10.23007/amr.2022.10.1.1
Jae Hyun Lee. Asset Allocation Model Based On Asset to Expenditure Ratio. Asset Management Review, 10(1), 1-14. doi: 10.23007/amr.2022.10.1.1
Jae Hyun Lee. Asset Allocation Model Based On Asset to Expenditure Ratio. Asset Management Review. 2022; 10(1) 1-14. doi: 10.23007/amr.2022.10.1.1
Jae Hyun Lee. Asset Allocation Model Based On Asset to Expenditure Ratio. 2022; 10(1), 1-14. Available from: doi:10.23007/amr.2022.10.1.1
Jae Hyun Lee. "Asset Allocation Model Based On Asset to Expenditure Ratio" Asset Management Review 10, no.1 (2022) : 1-14.doi: 10.23007/amr.2022.10.1.1
