Volatility as an Asset Class for Long-Term Investors

Marie Brière, Alexander Burgues and Ombretta Signori

Chapter 14 in Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, 2010, pp 265-279 from Palgrave Macmillan

Abstract: Abstract Long-term investors are usually very conservative in their asset allocations, investing the bulk of their portfolios in government bonds. What often deters them from including other assets is inherent portfolio risk. Many long-term investors, such as pension funds and sovereign wealth funds, have substantial liabilities that prevent them from making risky allocations. By opting for conservatism, however, they are also denying themselves the opportunity to invest in asset classes that earn higher returns over the long run.

Keywords: Portfolio Selection; Hedge Fund; Implied Volatility; Efficient Frontier; Return Distribution (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1057/9780230251298_14

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