RT Journal Article
SR Electronic
T1 Using Investment Consumption Value to Select Asset Classes
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 79
OP 90
DO 10.3905/jpm.2008.701619
VO 34
IS 2
A1 Rodney N. Sullivan
YR 2008
UL https://pm-research.com/content/34/2/79.abstract
AB The asset allocation decision is arguably the most important decision in the investment process. It involves allocating an investor's portfolio among a set of desirable asset classes, but the investor must first define the asset classes to consider. The concept of investment-consumption value may help investors decide on including non-traditional asset classes such as hedge funds or commodities. The decision framework is grounded in the financial economics of the consumption CAPM and state/preference models. From this perspective, commodities are one example to consider as an investable asset class.TOPICS: Portfolio construction, exchanges/markets/clearinghouses, financial crises and financial market history