The Uncertain Science of Asset Allocation

12 Pages Posted: 4 Jan 2000

See all articles by Benjamin L. Cotton

Benjamin L. Cotton

UAW Retiree Medical Benifits Trust; affiliation not provided to SSRN

Date Written: September 16, 1999

Abstract

Abstract: Descriptive statistics for asset class return distributions are compared to inferential statistics produced by Monte Carlo simulations to illustrate that the assumption of normality and constant correlation can understate the risk associated with a given portfolio. Results are presented in a form accessible to students, investors, and practitioners alike. This working paper is to be part of a larger work illustrating investment uncertainty and the methods by which to deal with such uncertainty.

JEL Classification: D81, D84

Suggested Citation

Cotton, Benjamin L., The Uncertain Science of Asset Allocation (September 16, 1999). Available at SSRN: https://ssrn.com/abstract=182108 or http://dx.doi.org/10.2139/ssrn.182108

Benjamin L. Cotton (Contact Author)

UAW Retiree Medical Benifits Trust ( email )

Ann Arbor, MI 48104
United States
313-676-1868 (Phone)

affiliation not provided to SSRN ( email )

No Address Available

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