Type of Publication: | Journal article |
Publication status: | Published |
URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-0-379041 |
Author: | Jackwerth, Jens Carsten; Slavutskaya, Anna |
Year of publication: | 2016 |
Published in: | Journal of Financial Markets ; 31 (2016). - pp. 25-42. - ISSN 1386-4181. - eISSN 1878-576X |
DOI (citable link): | https://dx.doi.org/10.1016/j.finmar.2016.06.002 |
Summary: |
Pension funds only quite recently have explored alternative assets, prodded by financial crises that devastated equity returns and led to low bond returns. We assess the addition of alternative assets to pension fund portfolios in terms of the total benefit derived from diversification, addition of positive skewness, and the elimination of left tails in returns. During 1994–2012, adding portfolios of hedge funds produced significantly higher total benefits than adding real estate, commodities, foreign equities, mutual funds, funds of funds, as well as some counter cyclical and non-cyclical assets. Conditioning on past total benefits improves the out-of-sample performance even further.
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JEL Classification: | G11; G12; G23 |
Subject (DDC): | 330 Economics |
Keywords: | Hedge funds; Pension funds; Performance measurement; Certainty equivalent; Alpha |
Link to License: | In Copyright |
Bibliography of Konstanz: | Yes |
JACKWERTH, Jens Carsten, Anna SLAVUTSKAYA, 2016. The total benefit of alternative assets to pension fund portfolios. In: Journal of Financial Markets. 31, pp. 25-42. ISSN 1386-4181. eISSN 1878-576X. Available under: doi: 10.1016/j.finmar.2016.06.002
@article{Jackwerth2016-11total-36314, title={The total benefit of alternative assets to pension fund portfolios}, year={2016}, doi={10.1016/j.finmar.2016.06.002}, volume={31}, issn={1386-4181}, journal={Journal of Financial Markets}, pages={25--42}, author={Jackwerth, Jens Carsten and Slavutskaya, Anna} }
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