Asset allocation: analysis of theory and practice in the Australian investment management industry

PhD Thesis


Santacruz, Lujer. 2015. Asset allocation: analysis of theory and practice in the Australian investment management industry. PhD Thesis Doctor of Philosophy. University of Southern Queensland.
Title

Asset allocation: analysis of theory and practice in the Australian investment management industry

TypePhD Thesis
Authors
AuthorSantacruz, Lujer
SupervisorKrishnamurti, Chandrasekhar
Elston, Frank
Institution of OriginUniversity of Southern Queensland
Qualification NameDoctor of Philosophy
Number of Pages153
Year2015
Abstract

Asset allocation is the decision on how much of the investment portfolio to place in each of the broad asset classes (e.g. cash, fixed interest securities, property, equities). It is a key decision area in the investment management industry, where professional investors manage pooled investments. The present research examined any dichotomy between theory and practice of asset allocation in the Australian investment management industry. It surveyed the available body of research on asset allocation consisting of Modern Portfolio Theory from the seminal Markowitz mean-variance formulation to subsequent research strands. It utilised a combination of qualitative and quantitative methods to examine the level of awareness and usage of asset allocation theories and theory-based methods among investment management industry practitioners. The present research established that while there is a high level of awareness, there is a low level of usage of asset allocation theory and theory-based methods in the industry. Structural Equation Modelling identified perceived usefulness as having the strongest influence on usage. Recommendations mostly revolving around improving the interaction between academe and industry are made that may help reduce the theory-practice dichotomy. Limitations of the present research are discussed as well as future areas for related research.

Keywordsasset allocation
ANZSRC Field of Research 2020380107. Financial economics
Byline AffiliationsSchool of Commerce
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