전략적 자산배분 자산군 투자 허용범위에 관한 연구

A large number of pension funds set the allowable range of investment by asset classes after establishing strategic asset allocation. However, there are not many theoretical backgrounds and related academic research. This study presents a theoretical and practical methodology on the allowable range according to the active policy of tactical asset allocation. Even in the case of the passive tactical asset allocation, we can consider the confidence interval of the change in weight due to the change in value and standard error of estimators. In this case, we need rebalancing to return to strategic asset allocation if it deviates from the allowable range. We find a level of significance that makes the expected transaction cost and the expected alpha equal. In the case of active tactical asset allocation policies, the allowable range is driven by the risk budget policy. At this time, in general, we use tracking error, which is an active risk limit. Also, we can consider to use relative shortfall constraint, which is an alpha shortfall constraint. In the relative shortfall approach, asymmetric upper and lower bounds are derived even though there is no active activity in stock selection. This is because the relative shortfall approach determines the allowable range in the direction of improving efficiency in terms of the information ratio, which is the ratio of expected alpha and tracking error. This study drives a theoretical band of asset classes under two asset classes assumption, afterward, proposes a practical plan to derive the allowable range extending three or more asset classes. This study analyzes the case where active activities are included in asset classes such as stock selection. This helps to manage the overall active policy which integrates tactical asset allocation and stock selection.