Cumming, Douglas and Hass, Lars Helge and Schweizer, Denis (2014) Strategic asset allocation and the role of alternative investments. European Financial Management, 20 (3). pp. 521-547. ISSN 1354-7798Full text not available from this repository.
We introduce a framework for strategic asset allocation with alternative investments. Our framework uses a quantifiable risk preference parameter, λ, instead of a utility function. We account for higher moments of the return distributions and approximate best-fit distributions. Thus, we replace the empirical return distributions with two normal distributions. We then use these in the strategic asset allocation. Our framework yields better results than Markowitz's framework. Furthermore, our framework better manages regime switches that occur during crises. To test the robustness of our results, we use a battery of robustness checks and find stable results.
|Journal or Publication Title:||European Financial Management|
|Uncontrolled Keywords:||alternative investments ; higher moments ; strategic asset allocation|
|Subjects:||H Social Sciences > HB Economic Theory|
|Departments:||Lancaster University Management School > Accounting & Finance|
|Deposited On:||19 Mar 2012 12:14|
|Last Modified:||19 Jan 2017 03:19|
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