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

摘要

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. (C) 2014 Elsevier B.V. All rights reserved.