ALTERNATIVE INVESTMENTS REVISIT: APPRAISAL SMOOTHING BIAS, INFLATION HEDGING AND MEAN-VARIANCE EFFICIENCY

2015 ◽  
Vol 15 (3) ◽  
pp. 81-94
Author(s):  
Ghulame Rubbaniy ◽  
Muhammad Murtaza ◽  
Khurram Shahzad ◽  
Abida Perveen
Keyword(s):  
Alternative Investments ◽  
Mean Variance ◽  
Inflation Hedging ◽  
Appraisal Smoothing

Alternative Investments: Inflation Hedger or Mean-Variance Efficient?

2014 ◽  
Author(s):  
Ghulame Rubbaniy ◽  
Muhammad Muzammal Murtaza ◽  
Khurram Shahzad ◽  
Abida Perveen
Keyword(s):  
Alternative Investments ◽  
Mean Variance

scholarly journals A Study on the Optimal Portfolio Strategies Under Inflation

2015 ◽  
Vol 3 (2) ◽  
pp. 111-132
Author(s):  
Mei Yu ◽  
Qian Gao ◽  
Zijian Liu ◽  
Yike Zhou ◽  
Dan Ralescu
Keyword(s):  
Optimal Investment ◽  
Investment Strategy ◽  
Financial Assets ◽  
Portfolio Strategies ◽  
Optimal Investment Strategy ◽  
Hedging Portfolio ◽  
Inflation Factor ◽  
Real Returns ◽  
Mean Variance ◽  
Inflation Hedging

AbstractThis paper tests the inflation hedging ability of four categories of important financial assets in China: Commodity futures, real estate, gold and industry stock and select the assets that have significant inflation hedging effect. Then the authors construct the mean-variance model under the inflation factor, using the selected assets to construct the inflation hedging portfolio, solving the model and obtain the optimal investment strategy with inflation protection function. The result shows that the portfolio constructed by the model have more stable real returns and its inflation hedging ability can be even better if the short selling restriction of stocks is eliminated.

Analysis on the Risk Return Profile of Alternative Assets Under Reference Portfolio Concept

2019 ◽  
Vol 27 (2) ◽  
pp. 193-209
Author(s):  
Su Jin Lee ◽  
Jin Wan Cho ◽  
Jae Hyun Lee
Keyword(s):  
Asset Allocation ◽  
Opportunity Costs ◽  
Strategic Asset Allocation ◽  
Alternative Investments ◽  
Risk Return ◽  
Benchmark Portfolio ◽  
The Mean ◽  
Asset Classes ◽  
Relationship Of ◽  
Mean Variance

This paper provides the methodology of estimating the risk-return relationship of alternative asset investments within the mean-variance framework. While conducting strategic asset allocation, most of the institutional investors do not take into account the risk-return relationship of alternative assets, or use arbitrary policy numbers that do not properly reflect the characteristics of alternative assets. This paper borrows the concept of reference portfolio in developing the methodology of estimating the risk-return relationship of alternative investments. The reference portfolio is the benchmark portfolio used in strategic asset allocation by pension funds. This can serve as the opportunity costs of alternative investments. We use the realized IRR’s from actual investments, and estimate the risk-return characteristics of alternative investments. We find that by properly estimating the mapping relationship between the reference portfolio and alternative asset classes, we can incorporate the risk-return profile of these non-market assets within the mean-variance framework together with the other traditional asset classes.

Alternative Investments are Mean Variance Efficient and Inflation Hedger: Fact or Fiction?

2013 ◽  
Author(s):  
Muhammad Muzammal Murtaza ◽  
Ghulame Rubbaniy ◽  
Khurram Shahzad
Keyword(s):  
Alternative Investments ◽  
Mean Variance

Dynamic Mean–Variance Asset Allocation

CFA Digest ◽  
2010 ◽  
Vol 40 (4) ◽  
pp. 47-49
Author(s):  
Johann U. de Villiers
Keyword(s):  
Asset Allocation ◽  
Mean Variance

Analysis on the Inflation Hedging Ability of Housing Investment

2019 ◽  
Vol 79 ◽  
pp. 175-187
Author(s):  
Zhuhua Jiang ◽  
Seong-Min Yoon
Keyword(s):  
Housing Investment ◽  
Inflation Hedging
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