Hedge Funds and Optimal Asset Allocation: Bayesian Expectations, Time-Varying Investment Opportunities and Mean-Variance Spanning

2011 ◽  
Author(s):  
Wolfgang Bessler ◽  
Julian Holler ◽  
Philipp Kurmann
Keyword(s):  
Asset Allocation ◽  
Hedge Funds ◽  
Time Varying ◽  
Investment Opportunities ◽  
Mean Variance

Do Commodities Add Economic Value in Asset Allocation? New Evidence from Time-Varying Moments

2018 ◽  
Vol 53 (1) ◽  
pp. 365-393 ◽  
Author(s):  
Xin Gao ◽  
Federico Nardari
Keyword(s):  
Asset Allocation ◽  
Economic Value ◽  
Short Selling ◽  
Investment Strategies ◽  
Time Varying ◽  
Moderate Risk ◽  
Asset Return ◽  
Out Of Sample ◽  
New Evidence ◽  
Mean Variance

We conduct a comprehensive out-of-sample assessment of the economic value adding of commodities in multiasset investment strategies that exploit the predictability of asset return moments. We find that predictability makes the inclusion of commodities profitable even when short selling and high leverage are not permitted. For instance, a mean-variance (non-mean-variance) investor with moderate risk aversion and leverage, rebalancing quarterly, would be willing to pay up to 108 (155) basis points per year after transaction cost for adding commodities to her stock, bond, and cash portfolio. Previous research had reached mixed or even opposite conclusions, especially in an out-of-sample context.

Dynamic Mean–Variance Asset Allocation

CFA Digest ◽  
2010 ◽  
Vol 40 (4) ◽  
pp. 47-49
Author(s):  
Johann U. de Villiers
Keyword(s):  
Asset Allocation ◽  
Mean Variance
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