투자자의 위험회피성향에 따른 포트폴리오 선정 결과의 비교 연구
A Comparison of Protfolio Selection models with Risk Aversion Factor
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In this study, we propose two models for the portfolio selection in which we set the risk aversion factor 'w' which represents the investor's risk tendency. As the value of 'w' is changed, the differences in the average returns, the variances and the semivariances between the portfolios selected by the two models are analyzed. The two models proposed in this study are the mean variance(MV) model where portfolio risk is measured by the variance and the mean semivariance (MSV) model which uses the semivariance to measure the portfolio risk. In both models, the objective function is calculated by subtracting the value of the portfolio risk weighted by 'w' from that of the portfolio return weighted by (1-w). As the result of this study we reached at several conclusions which are as follows : First, in both MV and MSV models, the larger the value 'w' gets, the optimal portfolio becomes more diversified. Second, the MV model comparatively pursues low-risk low-return portfolio investment while the MSV model pursues high-risk high-return portfolio investment. Third, the MV model responses more sensitively than the MSV model to the changes in 'w'. Forth, the impact of changes in 'w' is larger in the bull market than in the bear market.