Assessing the role of U.S. timberland assets in a mixed portfolio under the mean-conditional value at risk framework

Yang Wan, Michael L. Clutter, Bin Mei and Jacek P. Siry

Forest Policy and Economics, 2015, vol. 50, issue C, 118-126

Abstract: This study examines the role of U.S. timberland assets in a mixed portfolio from the risk perspective. Under the mean-conditional value at risk (M-CVaR) optimization framework, the efficient frontier of the mixed portfolio is dramatically improved after adding timberland assets in comparison of the mean-variance (M-V) efficient frontier. The asset allocation strategies formulated by the static and dynamic optimizations indicate that timberland assets maintain a significant allocation in the mixed portfolio. Moreover, risk decomposition is used to identify the risk sources under four different scenarios. It is found that large-cap stocks and small-cap stocks are generally risk intensifiers, whereas treasury bonds, treasury bills, and timberland assets are risk diversifiers.

Keywords: Asset allocation; Efficient frontiers; Mean-conditional value at risk (M-CVaR); Mean-variance (M-V); Timberland assets (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:forpol:v:50:y:2015:i:c:p:118-126

DOI: 10.1016/j.forpol.2014.06.002

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