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White Paper

Asset allocation with shadow assets

Company: EDHEC-Risk Institute

EDHEC-Risk Institute case study

Category: Asset Liability Management

Published: 05 June 2013

Format:

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Overview

Asset allocation advice for private investors, sovereign wealth funds, endowments or family offices is yet asset centric. This is consistent with the practitioner's implementation of the capital asset pricing model. While all risky assets should be included in defining the market portfolio, only listed financial assets are used in practice. This has made it easier for many practitioners to ignore the impact of shadow assets on portfolio choice. However, this white paper questions this approach.

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Categories related to Asset Liability Management