Using Investment Consumption Value to Select Asset Classes: A Non-Traditional Approach
Posted: 24 Sep 2010
Date Written: Winter 2008
Abstract
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.
Suggested Citation: Suggested Citation
Sullivan, Rodney N, Using Investment Consumption Value to Select Asset Classes: A Non-Traditional Approach (Winter 2008). Journal of Portfolio Management, Vol. 34, No. 2, 2008, Available at SSRN: https://ssrn.com/abstract=1336690
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