38. 1.. 1962. ( ) ( ). 1968, 1969. 1969,,,. 1960, 1960. 1969, 1969. 1980. 1989 10%, 20% 1995.,.
39. 1989 40% 1990 30% 1998 40%. 1990 0.2% 50, 1998, 1%. 1993 20%. 100%. 1997, 1997, 40%.,, 1970. 1960 30% 1977 25%, 1978 20%. 1979 15%. 1990 10% 5%, 3 3,000 + 3 5%. 1998 15%. 1970
40.,. 1988,. 2% 1994 5%, 1995 10%. 1995 1) 2% 2000 5%. < -1> 78-87 88 89 90 91 92 93 94 95 96 97 98 99 00 : 10%, : 20% 40% 30% 40% 20% 78 : 20%, 79 : 15% 2% 5% 10% : 40% 2% 5% :,, 1996.,,. (http :/ / www.fss.or.kr),. 1) 19 2.
41 < -1> < -6>. ( - - - ). < -1>, 10% 1989 1994 10%. 3,, 2) 10%. < -1> < -2> 2) 30% 30% 5%, 30% 10% 7%.
42 1988 1989 20%,. < -2> : FY'98 ( + 0.3+ + 0.3). 1993 20% < -3> 20%. 20%,. 1998 20%, 2000.
43 < -3> : FY'98 ( + + 0.7+ + + 0.7). < -4> 1998. < -4>
44 < -5> 1974 1975 30%, 1980 15%. 1990 10%. < -5> < -6>.. 2% 1993 0.5%, 10% 1995 1%. 1998.
45 < -6> : FY'97, FY'98 ( + )..,, 3).,. 19,. 19. 19 3) 1998.
46,,,,,,. < -2> 19 19 14 2 87,,,,,. 15. 40%, 15%, 40%, 10%. 3%, 2%, 5%,
47 10% (< -3> ) 4). < -3> 15 ( ) : 40%( ) : 15% : 40% : 5% : 3% : 5% : 2% : 2% : 5% : 10% : 10% : 1% : 3% : 20% 15% 10 5 4),,,.
48 14 3,,, (< -4> ). 5) < -4> 14, 1 2 1 2 16 2 15%, 15% 6). 5) 2001 9 27, 2, 14 3 15 1,,. http:/ / www.fss.or.kr 6) 2, 2001
49 15%,, (< -5> ). < -5> 16 2 15% 2 1 15% 16 2, 86 3 103,, ( 2%).
50 95 15. 3%, 1 300 + 1 1.5% 7). 8) 1, 5%. 9) 35% (< -6> ). 7) 1. 8) 1.. 10%. 30%.. ( ) 30%. 30% 30%.. 16 2 2.. 30%.,, 9) 14%, 3%, 5%.
51 < -6> 95 : 3%(, 1 300 + 1 1.5% ) : 1 : 5% 35% 96 10)., (< -7> ).,. 4,,, ( ).,, 3,. 10) 1995.
52 < -7> 96 : 5% : 10% : 5% : 10% : 10% : 3% : 3% : 5% 15%,,,., 11),, 35%. 11) 1990 5%.
53..,,,,,,,,. 2.. 1978 FY2000 23.,,,. 52.3%, 14.5%, 10.7%, 9.5%, 12) 8.2%. 8.4%, 2.2% (< -8> ). 1980 50%, 1980 12),,,,.
54.,,. FY 97 IMF FY2000 36.7%. 23 65.2%, 35.6% (m edian) 52.9%. 1980,. FY2000 39.5%., FY2000 31.0%. 23 14.5%, 5.9%, 10.7% 3.9%. FY'85 10%, FY'86 10%, FY2000 9.1%. 23 13.7%, 6.8%, 8.7%. 1970 FY' 96 15.9%, FY2000 3.5%. 1978 FY2000 15.9%,
55 3.3%, 7.4 %. 1990 0.1%, 1 2. 1990, FY' 98 1.90%, FY' 99 2.70%, FY2000 4.44 %. FY'88 FY2000 0.83% 1.36%., FY 98,,, 10%., FY' 98 FY' 99 4.3%, FY2000 6.7%. < -7>
56 < -8> ( : %) 1978 3.9 15.7 13.6 47.0 13.6-6.2 1979 3.3 12.5 8.9 60.2 10.6-4.5 1980 5.9 10.0 8.7 60.1 11.2-4.1 1981 5.9 9.3 8.4 60.2 12.0-4.1 FY'82 4.2 9.3 7.1 61.9 13.7-3.7 FY'83 4.2 8.0 5.5 65.2 13.6-3.5 FY'84 4.8 10.3 3.8 65.1 11.9-4.0 FY'85 7.9 15.1 3.8 59.4 10.5 -- 3.3 FY'86 7.3 17.1 6.6 56.6 8.7-3.6 FY'87 7.2 15.2 9.0 57.2 7.8-3.6 FY'88 9.3 8.1 17.4 55.1 6.8 0.02 3.3 FY'89 9.9 8.0 18.1 52.9 7.6 0.03 3.7 FY'90 9.6 10.8 14.8 52.9 8.0 0.06 4.5 FY'91 11.3 14.7 12.2 49.7 7.5 0.05 5.6 FY'92 13.6 14.6 11.6 48.1 7.4 0.06 6.3 FY'93 10.2 14.6 13.1 49.9 7.7 0.06 6.8 FY'94 9.1 14.6 13.6 50.4 7.7 0.18 6.5 FY'95 13.9 14.4 13.5 45.9 7.4 0.22 6.0 FY'96 15.9 13.4 12.5 46.3 7.3 0.43 5.5 FY'97 15.0 15.5 10.5 46.2 8.1 0.61 5.2 FY'98 7.4 22.5 12.0 40.5 9.9 1.90 10.2 FY'99 5.3 27.8 13.7 35.6 9.7 2.70 9.5 FY'00 3.5 31.0 8.5 36.7 9.1 4.44 10.6 8.2 14.5 10.7 52.3 9.5 0.83 5.4 3.8 5.9 3.9 8.4 2.2 1.36 2.2 3.3 8.0 3.8 35.6 6.8 0.02 3.3 15.9 31.0 18.1 65.2 13.7 4.44 10.6 7.4 14.6 11.6 52.9 8.7 0.18 4.5 :, ( - - - ). :,,.
57. 1) 1970 1980 15%, 1980 1978 FY2000 23 13.2%. 21.4 % 7.9%, 11.9% 3.4 % (< -9> ). 1999 2000 FY2000 7.9%. 16.0%, 13.4%, 13.3%, 12.7%, 7.7%, 6.4 %. 14.7%, 10.3%, 5.4 %, 4.5%, 4.1%, 2.4 %,. 1980 28.1%, 11.0%, 14.3%. FY'86 FY'88 FY' 99 20%, FY' 90 FY' 92 IMF 4%. 61.1%, 2.4 %, 6.9%. 1980 10%
58, FY2000 9.2%. 23 22.9%, 7.2%, 12.9%. 11.4 %, 1.7%, 8.1%. 1990. 23 27.6%, 2.2%, 4.7%. FY'88 FY2000 13.3%,. 33.2%, 2.1%, 10.4%. < -8>
59 < -9> ( : %) 1978 2.7 8.5 7.4 21.5 14.6-15.9 1979 1.7 8.1 5.8 23.7 7.4-17.6 1980 8.0 7.2 6.3 28.1 4.7-21.4 1981 5.8 7.5 6.7 25.0 6.5-19.3 FY'82 7.8 20.1 5.0 20.2 7.3-18.2 FY'83 5.8 22.9 5.2 12.5 4.0-10.1 FY'84 5.6 10.6 7.7 13.4 3.4-10.7 FY'85 8.4 16.2 9.6 14.3 3.8-11.9 FY'86 7.0 15.6 24.0 14.1 4.1-12.6 FY'87 7.7 15.2 61.1 14.2 4.0-15.4 FY'88 8.6 15.8 43.6 14.0 4.7 2.9 15.9 FY'89 9.4 12.4 16.1 14.6 5.1 13.2 13.0 FY'90 10.4 15.3 3.3 14.2 27.6 10.4 12.4 FY'91 11.4 17.6 3.7 15.1 9.5 2.1 12.0 FY'92 10.4 18.2 3.4 15.4 6.3 19.5 11.9 FY'93 10.1 14.8 8.8 13.2 3.1 31.7 10.8 FY'94 8.1 12.7 11.9 13.4 3.3 5.7 10.9 FY'95 8.7 12.9 8.2 14.4 3.4 6.6 10.8 FY'96 8.2 11.5 5.1 13.9 2.7 7.1 10.4 FY'97 10.0 12.2 2.4 15.0 6.2 33.2 11.0 FY'98 9.4 14.0 6.9 15.0 9.8 11.4 11.6 FY'99 5.7 10.4 34.1 11.0 2.2 22.0 11.1 FY'00 6.8 9.2 6.4 11.3 3.6 6.5 7.9 7.7 13.4 12.7 16.0 6.4 13.3 13.2 2.4 4.1 14.7 4.5 5.4 10.3 3.4 1.7 7.2 2.4 11.0 2.2 2.1 7.9 11.4 22.9 61.1 28.1 27.6 33.2 21.4 8.1 12.9 6.9 14.3 4.7 10.4 11.9 :. :,,.
60 < -9> 2) 2001 9 21 FY' 93 FY2000 8 13). 10.6%, 1.1%, 11.7%, 2.9%, 6.8%, 0.4%, 9.7% 1.8%. 6,., (< 13) FY'93 21 1993. 1992, 1993.
61-10> ). < -10> - (FY'93 FY'00) (p ositive) IMF., IMF FY' 93 FY' 97 (-0.378), FY' 98 FY2000 (0.5316). IMF,,,.
62 3.......,..,,,,,.,.,.
63. 1962,. < -1>. FY2000,,,,. 40%, 15% 10%,.,, < -11> 20 36.0% 61.5%. 1988 2000 9.3%.,.,,.,.
64 < -11> (,, )....,.. 1990 1990 8.25% 1998 1.50%. 14) 1990
65 25% 30%....,,,..,.,.., 2%. 10 5 ( 14) 1990 44.3% 1999 55.4%.
66 15 5).,.,.. ( 15 16 2).,.,,.,,.,. 4....
67..., (enveloping)... (H. M arkow itz)..,.,,.,, - (m ean-variance m odel) 15)., 1.,, 15) -, (dominance principle).
8,. (efficient p ortfolio). ( ),, (globally m inim um variance p ortfolio: GMVP) (efficient frontier).. < -12> a, b, c E(R*). a, b, c a b c. * b d d b.,,. < -12>
69., 50,.,.,.., (optim al risky p ortfolio) (op tim al com plete p ortfolio)..,..,..,
70. 16). 17) (proxy).,,.., FY1993 FY2000.. 1). 16),. 17)..
71 ----- ( 1) 2 p E ( R p ), ( X i ) n.. (short selling). ----- ( 2) L i ( X i )., 40% L i 0.4.,,,,
72.. FY1993 FY2000 8, 5. 1993 1989 5. t t-5 t-1. 18) t t-4 t. < -10>,. 18),.
73 1993 1994 1995 1996 1997 1998 1999 2000 < -10> ( : %) 10.3 (0.5) 10.1 (1.5) 9.7 (1.8) 9.1 (1.2) 9.0 (0.9) 8.9 (0.7) 8.4 (2.7) 8.1 (3.0) 7.1 (30.9) 6.2 (15.4) 7.2 (13.1) 7.5 (11.0) 7.3 (13.3) 6.4 (14.0) 15.2 (532.2) 14.8 (541.0) 15.7 (5.4) 15.7 (5.0) 15.2 (6.6) 14.0 (6.9) 12.8 (1.5) 12.8 (1.5) 12.5 (2.1) 11.8 (3.8) : 1) E ( R i ) = 1/ 5 2). :,,. 14.5 (0.7) 14.3 (1.0) 14.3 (1.0) 14.1 (0.8) 14.0 (0.5) 14.3 (0.5) 13.9 (2.8) 13.3 (3.7) t t - 4 R i 10.3 (98.7) 10.0 (104.0) 5.1 (7.7) 3.8 (2.1) 3.7 (2.0) 5.1 (8.8) 4.9 (10.0) 4.9 (9.9) 15.4 (122.3) 13.9 (141.7) 13.1 (151.2) 14.1 (128.7) 16.9 (203.1) 13.9 (136.8) 15.3 (117.6) 15.0 (126.1) (2) 2. (3) FY2000.
74 ----- ( 3) ij i j, E ( R i ) E ( R * p ) i. X 1 X 6,,,,, 40%, 15% 10%. FY1993 FY2000 < -13>. 1993 1997 10.8% 13%. A. FY1998., B., FY2000
75 (C ).. < -13> 2)
76 < -14> < -21> FY1993 FY2000 8.,... ). FY1993 FY1994.. 19). FY1993 10.8% < -11>. 19)..,.
77 < -11> FY1993 10.8% ( : %) 10.00 57.47 < 10 10.2 26.72 8.33 < 30 14.6 53.73 0.02 > 20 13.1 0.02 27.58 49.9 7.49 3.10 < 15 7.7 2.00 3.50 < 2 0.06 1.23 1.00., 10.8% ( ) 57.47% 0.02%, 10.00% 53.73%. 10.8%.,.,.,,.
78 < -14> FY1993 FY1994 < -12> < -15>. FY1994 10.9% < -12>..,..
79 < -12> FY1994 10.9% ( : %) 10.00 0.45 < 10 9.1 30.00 37.97 < 30 14.6 27.78 53.8 13.6 25.74 0.02 50.4 5.69 7.59 < 15 7.7 0.79 0.19 < 5 0.18 1.01 1.00 < -15> FY1994
80 2)., < -16>, < -17> < -18> FY1997, FY1999 FY2000. FY1997 14.0%( 9.01). (infeasible solu tion) 14.0% (slack)., 14% 96.5%, 3.4 %, 89.6%, 10.3% 14.2%., ( 10%).., FY1997 FY1999 14.0%, FY2000 13.4 %.
81 < -16> FY1997 < -17> FY1999
82 < -18> FY2000., FY1997, FY1999 FY2000 11.0%, 11.1% 7.9%..,.,.
83 ) < -19>, < -20> < -21> FY1995, FY1996 FY1998.... < -19> FY1995
84 < -20> FY1996 < -2 1> FY1998
85 3).,.. FY1988 FY1997 1%, FY2000 4.44% (< -6> ).,. FY2000 21 10, 44.3% 78.9%. FY1999, 46 5 41, 22.1% 24.1%.,.
86., < -22>.,. 1993 1994. < -22>, < -23>, ( ).. FY2000
87... < -23>,., 10% 1995..,,.,
88. FY2000 7.7%.