장기투자자의 포트폴리오선택과 ESG투자의 최적배분 요인분석

초록

Domestic and foreign pension funds, such as the National Pension Service, are permanent funds that seek to manage assets with long-term durations. This is because one of the most significant roles of long-term asset managers is adding assets that increase the funds’ welfare by minimizing the potential risk of investment assets and gaining a stable, long-term rate of return. As the problems of shareholder capitalism widen, the market participants are all becoming increasingly aware of sustainable growth and stakeholder capitalism with ESG investments is alternative. After the enactment of Korean-stewardship code in 2016, the last 5 years have seen incresing recognition of the importance of ESG assets and many long-term investors invest ESG related assets more and more. The additional effect of the inclusion of ESG investment, which takes non-financial aspects such as environment, social, and governance into account, in optimized strategic asset allocation on the portfolio’s welfare improvement, was examined using general equilibrium model. we develop a simple framework without inflation and foreign exchange rate for analyzing a finite-horizon investor’s asset allocation problem. The investor’s optimal investment strategy and indirect utility are given in simple closed form. The simple partial equilibrium analysis in this paper shows that the avalibility of ESG equity instruments can have a very significant effect in improving investor welfare. While the traditional mean-variance portfolio theory is accepted as an asset allocation idea based on financial values, despite the substantial amount of research, various views surround the asset allocation effect of responsible investment in the short term. From the perspective of long-term investors such as pension funds, an asset allocation method that employs a social utility function-based general equilibrium model may be a meaningful analysis method. The investor’s optimal portfolio is shown to be a sum of two components: first, the mean-variance tangency portfolio and second, a portfolio that mimics as closely as possible a hypothetical indexed bond with maturity equal to the investment horizon. It can derive sophisticated optimal investment allocations. As the companies followed CSR(Corporate Social Responsible) have high value, ESG Asset is superior in the long run(Kim (2011,2019)) and can play a central role in pension funds’ portfolio. Three types of assets, domestic stocks, domestic ESG stocks, and domestic bonds, were selected as model variables, under the assumption that domestic stocks follow the GBM(Geomtrric Brownian Motion) model and that bonds follow the Vasicek model. As for the utility function of the long-term investors, the power utility function was used, while an indirect utility function following the Exponential-Affine model was derived based on assumptions in Brennan et al (2002). The optimal portfolio was derived using the partial derivative values of the indirect utility function, and this thesis reviewed the multi-regression analysis of optimal asset weight. Though there are various ways to classify ESG asset investment methods, the absence of each relevent benchmark indexes is a big problem applying to use asset allocation models. This is because it is difficult to evaluate portfolio excess performance. the reviews about foreign ESG markets and various ESG benchmark studies in advanced countries will make more systematic asset allocation approaches. As general equilibrium setting is extensible to anlayze various models, further researches for improvement of social welfare can be developed.

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