What do academics think of asset allocation theory?

Santacruz, Lujer (2014) What do academics think of asset allocation theory? In: World Business, Finance and Management Conference (WBFM 2014): Research for Progress, 8-9 Dec 2014, Auckland, New Zealand.

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Abstract

The opinions on the importance of various asset allocation theories and theory-based methods in making the correct asset allocation decision of a fairly representative respondent set of academics who have done research on asset allocation were gathered through an email survey. The original mean-variance optimisation model was rated important in making the correct asset allocation decision along with the research strand addressing the problems of the model with parameter uncertainty. This is noteworthy as the same opinion on the level of importance may not be shared by industry practitioners particularly after the Global Financial Crisis. Other research strands emanating from the original mean-variance model were rated not as important suggesting that their impact on portfolio optimisation is not as significant. Other asset allocation models, such as factor-based asset allocation and other models which represent a departure from the original mean-variance model, were rated highly reflecting the growing body of literature in this area. The importance attributed by academics to asset allocation theory and theory-based methods, in general, indicate the relevance of studying how they are being used in practice and how they can be put to better use by financial analysts in the industry.


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Item Type: Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)
Refereed: Yes
Item Status: Live Archive
Additional Information: © 2013 World Business Institute Australia. No part of this publication can be reproduced in any form or by any means without the permission of the concerned author and/or the WBI. Paper no. 304
Faculty / Department / School: Current - Faculty of Business, Education, Law and Arts - School of Commerce
Date Deposited: 12 Apr 2015 23:55
Last Modified: 18 Jun 2017 23:49
Uncontrolled Keywords: asset allocation
Fields of Research : 15 Commerce, Management, Tourism and Services > 1501 Accounting, Auditing and Accountability > 150103 Financial Accounting
13 Education > 1302 Curriculum and Pedagogy > 130203 Economics, Business and Management Curriculum and Pedagogy
14 Economics > 1402 Applied Economics > 140207 Financial Economics
Socio-Economic Objective: B Economic Development > 90 Commercial Services and Tourism > 9001 Financial Services > 900102 Investment Services (excl. Superannuation)
URI: http://eprints.usq.edu.au/id/eprint/26852

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