This Netspar research by Hoevenaars, Molenaar, Schotman and Steenkamp studies the effect of parameter uncertainty on the long-run risk of three alternative asset classes: equity, nominal bonds and short-term T-bills. They conclude that equity is not the only class which becomes more risky relative to estimates that are conditional on known parameter values. The long-run risk of long and short-term bonds increases proportionally with the same factor. The optimal robust portfolio appears well-diversified and stable with respect to the investment horizon. Click here to access the paper
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Strategic asset allocation for long-term investors
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by AMANDA WHITE on October 27, 2010
Examining the complexity of individual asset classes, and their associated risks in combination, has been a major project for PGGM. Now it is questioning whether its 24 separate investment allocations is too many. Amanda White spoke to managing director investment strategy, Jaap van Dam.One of the more important navel-gazing investigations
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PGGM looks to pare down asset classes
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