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The time-varying role of timberland in long-term, mixed-asset portfolios under the mean conditional value-at-risk framework
The time-varying role of timberland in long-term, mixed-asset portfolios under the mean conditional value-at-risk framework
Abstract We investigate the time-varying role of timberland in a mixed-asset portfolio using 15-year rolling windows. Before running portfolio optimizations, we first test normality of return distributions of selected assets including private- and public-equity timberlands, private-equity commercial real estate, public REITs, S&P 500 index, short- and long-term government bonds, and long-term corporate bonds. Given that returns are not normally distributed, we use conditional value-at-risk (CVaR) in lieu of standard deviation as the risk measure and investigate optimal asset allocations under the mean-CVaR framework. Results reveal that weight on timberland in the mixed-asset portfolio does vary with time for both the lowest risk portfolio and the tangency portfolio due to its changing return-to-risk ratio and correlation with other assets. In particular, private-equity timberland asset plays a more significant role in the constrained optimal portfolios invested by 15-year closed-end funds maturing in recent years.
- University of Georgia Press United States
Microsoft Academic Graph classification: CVAR Bond Risk measure Expected shortfall Real estate investment trust Econometrics Economics Portfolio Asset (economics) Portfolio optimization
Economics and Econometrics, Sociology and Political Science, Forestry, Management, Monitoring, Policy and Law
Economics and Econometrics, Sociology and Political Science, Forestry, Management, Monitoring, Policy and Law
Microsoft Academic Graph classification: CVAR Bond Risk measure Expected shortfall Real estate investment trust Econometrics Economics Portfolio Asset (economics) Portfolio optimization
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