Asset allocation theory and practice in Australian investment management

Article

Santacruz, Lujer. 2016. "Asset allocation theory and practice in Australian investment management." The Journal of Wealth Management. 19 (2), pp. 47-67.
Article Title

Asset allocation theory and practice in Australian investment management

ERA Journal ID19140
Article CategoryArticle
Authors
AuthorSantacruz, Lujer
Journal TitleThe Journal of Wealth Management
Journal Citation19 (2), pp. 47-67
Number of Pages21
Year2016
Place of PublicationNew York, United States
ISSN1520-4154
1534-7524
Web Address (URL)http://www.iijournals.com/doi/10.3905/jwm.2016.19.2.047
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. This study sought to identify 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 and established that academics still believe in their relevance. An online survey among practitioners 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. Recommendations mostly revolving around improving the interaction between academe and industry are made that may help reduce the theory-practice dichotomy. Limitations of the study are discussed as well as future areas for related research.

Keywordsasset allocation, modern portfolio theory
ANZSRC Field of Research 2020350208. Investment and risk management
380107. Financial economics
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Byline AffiliationsSchool of Commerce
Institution of OriginUniversity of Southern Queensland
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