Dynamic Nelson-Siegel 모형을 이용한 국고채 최적 투자 포트폴리오

초록

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.

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