%0 Journal Article %A Rodney N. Sullivan %T Using Investment Consumption Value to Select Asset Classes %B A Non-Traditional Approach %D 2008 %R 10.3905/jpm.2008.701619 %J The Journal of Portfolio Management %P 79-90 %V 34 %N 2 %X 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 %U https://jpm.pm-research.com/content/iijpormgmt/34/2/79.full.pdf