Optimal portfolio allocation with Asian hedge funds and Asian REITs
In this paper the benefits of investing in alternative asset classes are analyzed by applying models that recognize higher-order moments or the whole return distribution like the power- utility,Omega,and Score-value model. Trying to obtain more general results than those we can find from historical data only,we modelled the asset returns by Markov switching processes and did a Monte Carlo study. Within this design we analyzed the optimal allocations to hedge funds and REITs statically and with monthly reallocations based on data from Asian markets. Our main findings are that in the static case the utility model and the Score model are dominant,whereas the meanvariance model appears to be the model of first choice in the dynamic case. In both settings hedge funds are the most dominant asset of the optimal portfolios. REITs are mainly used for diversification and added at comparably lower rates.
Alternative Investments Asset Allocation Higher-Order Moments Markov-Switching Autoregressive Model
Stephan Hocht Kah Hwa Ng Jurgen Wolf Rudi Zagst
HVB-Institute for Mathematical Finance Munich University of Technology,Germany Director,Risk Management Institute National University of Singapore Munich University of Technology,Germany and National University of Singapore Director,HVB-Institute for Mathematical Finance Munich University of Technology,Germany
国际会议
The First International Conference on Management Innovation(ICMI 2007)(管理创新会议)
上海
英文
478-484
2007-06-04（万方平台首次上网日期，不代表论文的发表时间）