크고 부정적인 불확실성 경제충격을 고려한 최적자산배분 전략
Optimal Asset Allocation Strategy with a Large, Negative Uncertainty Economic Shock
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본 연구는 최근 COVID-19 글로벌 판데믹이 포스트 코로나 시대의 국내외 사회 경제에 가져올 수 있는 크고 부정적인 불확실성 경제충격(A Large, Negative Uncertainty Economic Shock)을 고려하여 대표 경제주체(개인투자자, 펀드운용주체 등)의 최적자산배분(Optimal Asset Allocation) 전략을 도출한다. 구체적으로 Rietz(1988)의 극단적 재난 위험 가설(Rare Disaster Risk Hypothesis)을 따라 크고 부정적인 불확실성 경제충격을 포아송 점프를 통해 모델링하고 효용함수 극대화 프레임(Utility Maximizing Framework)에서 CRRA(Constant Relative Risk Aversion) 효용함수를 갖는 대표 경제주체의 최적자산배분 해법을 도출할 수 있는 정량적 모형을 개발한다. 최적소비, 최적저축 및 최적투자 전략들에 대한 이론적 분석과 수치적 분석 결과 크고 부정적인 불확실성 경제충격을 고려한 경우에 그렇지 않은 경우보다 소비를 줄이고 위험 주식에 대한 투자를 줄이고 무위험 채권에 대한 저축을 늘리는 것이 경제 주체의 최적자산배분 전략이다. 극단적 시나리오를 고려할 수 있는 본 연구의 다양한 이론적·수치적 결과물들은 포스트 코로나 시대의 중·장기적 자산운용 위험관리 선진화에 공헌할 뿐만 아니라 개인종합자산관리(Individual Savings)의 혁신에 기여할 수 있다.
Abstract
This paper derives the optimal asset allocation strategy for a representative economic agent (individual investor, fund manager etc.) with a large, negative uncertainty economic shock caused by the recent COVID-19 global pandemic that would have significant repercussions on the domestic/international socio-economic system in the post-coronavirus period. Specifically, the paper models the large, negative uncertainty economic shock by following Rietz’s (1988) rare disaster risk hypothesis and develops a quantitative model which can derive the optimal asset allocation solution of the representative agent who exhibits the CRRA (constant relative risk aversion) utility function within the utility maximizing framework. According to the theoretical and numerical analysis of the optimal consumption, optimal savings, and optimal investment strategies, the agent’s optimal asset allocation strategy with the large, negative uncertainty economic shock is to consume less, invest less in the risky stock, and save more in the risk-free bond than without the economic shock. Various theoretical and numerical results obtained from this paper which can consider extreme scenarios would contribute not only to the advance of asset management and risk management in the mid- and long-term of the post-coronavirus period, but also to the innovation of individual savings.
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