Strategic Asset Allocation and the Role of Alternative Investments
提出一个用风险偏好参数λ替代效用函数的战略资产配置框架，通过近似最佳拟合分布处理回报的高阶矩，比马科维茨框架更优，且能更好管理危机中的体制转换。
Abstract We introduce a framework for strategic asset allocation with alternative investments. Our framework uses a quantifiable risk preference parameter, λ, instead of a utility function. We account for higher moments of the return distributions and approximate best‐fit distributions. Thus, we replace the empirical return distributions with two normal distributions. We then use these in the strategic asset allocation. Our framework yields better results than Markowitz's framework. Furthermore, our framework better manages regime switches that occur during crises. To test the robustness of our results, we use a battery of robustness checks and find stable results .