TY - JOUR T1 - Using Investment Consumption Value to Select Asset Classes JF - The Journal of Portfolio Management SP - 79 LP - 90 DO - 10.3905/jpm.2008.701619 VL - 34 IS - 2 AU - Rodney N. Sullivan Y1 - 2008/01/31 UR - https://pm-research.com/content/34/2/79.abstract N2 - 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 ER -