한국 ETF 시장의 시스템적 리스크 분석 및 최적의 ETF 도입 순서에 대한 연구 A Study on the Korean ETF Market : Systemic Risk and the Optimal ETF Introduction Sequence

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Traditionally, the private wealth management industry has been dedicated to high-net-worth individuals due to expensive service costs. However, robo-advisors are making sudden rises during the on-going FinTech revolution. Robo-advisors aim to provide personalized wealth management services for everyone by using automated investment management algorithms and online distribution channels. To reduce service costs, robo-advisors mainly use ETFs to construct investment portfolios. Therefore, Korean ETF market should grow in both quantity and quality, in order for robo-advisors to succeed in Korea. In this study, we first analyze how vulnerable the Korean ETF market is to external or internal shocks in comparison with the U.S. ETF market. Then, we derive the optimal introduction sequence of ETFs in the Korean ETF market based on the modern portfolio theory.
Publisher
대한산업공학회
Issue Date
2017
Language
Korean
Keywords

Robo-Advisor; Exchange Traded Fund; Systemic Risk; Modern Portfolio Theory; Principal Component Analysis

Citation

대한산업공학회지, v.43, no.6, pp.482 - 491

ISSN
1225-0988
DOI
10.7232/JKIIE.2017.43.6.482
URI
http://hdl.handle.net/10203/241169
Appears in Collection
IE-Journal Papers(저널논문)
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