국민연금기금의 해외투자에 따른 수익성 및 안전성분석 = Optimal Portfolio Analysis of the National Pension Fund

다국어 초록 (Multilingual Abstract)

The main theme of this paper is to derive the expected returns and risks of the National Pension fund when the portfolio includes foreign capital assets. 1 employed the Markowitz Portfolio Selection model to formulate optimal portfolios, Currently, Korean National Pension Fund is invested in the public, financial, and welfare sectors. For the convenience of analysis, 1 regarded the investment in the public sector as an investment in financial sector. Therefore, 1 made an assumption that Nation Pension fund is invested in the financial sector only. 1 also made an assumption that portfolio is composed of Korean corporate bond, Korean equity, Korean Government bond, US corporate bond, US equity, and US Government bond. I used two different levels of the CAL (Capital Asset Line): US Treasury Bill rate and Korean Corporate Bond (AAA) rate. The result shows that 4 different scenarios altogether produce comer solutions. When CAL1 (US Treasury Bill rate) is used, optimal portfolio should be composed of US Treasury Bill only. And When CAL2 (Korean Corporate Bond (AAA) rate) is used, optimal portfolio should be composed of US equity only. The implication of the paper is that we could reduce risk of the National Pension Fun when portfolio includes US financial assets.