What do academics think of asset allocation theory?

Paper


Santacruz, Lujer. 2014. "What do academics think of asset allocation theory?" Bhuiyan, Md. Mahbubul Hoque (ed.) World Business, Finance and Management Conference (WBFM 2014): Research for Progress. Auckland, New Zealand 08 - 09 Dec 2014 Melbourne, Australia.
Paper/Presentation Title

What do academics think of asset allocation theory?

Presentation TypePaper
Authors
AuthorSantacruz, Lujer
EditorsBhuiyan, Md. Mahbubul Hoque
Journal or Proceedings TitleProceedings of the World Business, Finance and Management Conference (WBFM 2014)
Number of Pages1
Year2014
Place of PublicationMelbourne, Australia
ISBN9781922069665
Web Address (URL) of Paperhttp://www.wbiworldconpro.com/pages/previous_confo/new-zealand-conference-2014-december
Conference/EventWorld Business, Finance and Management Conference (WBFM 2014): Research for Progress
Event Details
World Business, Finance and Management Conference (WBFM 2014): Research for Progress
Parent
World Business, Finance and Management Conference
Event Date
08 to end of 09 Dec 2014
Event Location
Auckland, New Zealand
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.

Keywordsasset allocation
ANZSRC Field of Research 2020350103. Financial accounting
390103. Economics, business and management curriculum and pedagogy
380107. Financial economics
Public Notes

© 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

Byline AffiliationsSchool of Commerce
Institution of OriginUniversity of Southern Queensland
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