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- W4250024810 abstract "Abstract Monthly return distributions of alternative assets are generally not normally distributed and typically show significantly smoothed returns, which can lead to an underestimation of risk. Furthermore, portfolio optimization in the mean-variance framework that includes alternative assets is suboptimal. This is because the variance of the return distributions for these investments fails to adequately capture all risks. This chapter provides an estimate of the efficient frontier for portfolios consisting of numerous alternative assets as well as traditional asset classes such as equities and bonds. This process enables incorporating the special characteristics of alternative investments, especially downside risk, in the optimization procedure for mixed-asset portfolios. Within this approach, mixed-asset portfolios containing the majority of alternative investments can be used to illustrate the previously unknown effects of skewness and excess kurtosis on the efficient frontier. The evidence shows that alternative investments are ideally suited to reduce portfolio risk and enhance risk-adjusted performance." @default.
- W4250024810 created "2022-05-12" @default.
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- W4250024810 date "2013-02-04" @default.
- W4250024810 modified "2023-10-17" @default.
- W4250024810 title "Alternative Investments" @default.
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- W4250024810 doi "https://doi.org/10.1093/acprof:oso/9780199829699.003.0014" @default.
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