Asset Allocation: Analysis of Theory and Practice in the Australian Investment Management Industry

98 Pages Posted: 18 Aug 2014

See all articles by Lujer Santacruz

Lujer Santacruz

University of Southern Queensland - Faculty of Business Education Law and Arts

Date Written: August 18, 2014

Abstract

Asset allocation is the decision on how much of the investment portfolio to place in each of the broad asset classes (e.g. cash, fixed interest securities, property, equities). It is a key decision area in the investment management industry, where professional investors manage pooled investments. The present research aims to examine any dichotomy between theory and practice of asset allocation in the Australian investment management industry. Studying asset allocation theory and practice in relation to one another may lead to finding ways to improve both. The present research identifies gaps between theory and practice and the reasons for their existence and make recommendations that may help reduce the gap. It surveys the available body of research on Modern Portfolio Theory from the seminal Markowitz mean-variance formulation to subsequent research strands. The present research utilises a combination of qualitative and quantitative methods to examine the level of awareness and usage of asset allocation theories and theory-based methods among investment management industry practitioners.

Keywords: asset allocation, investment management, modern portfolio theory

JEL Classification: G11, G23

Suggested Citation

Santacruz, Lujer, Asset Allocation: Analysis of Theory and Practice in the Australian Investment Management Industry (August 18, 2014). 27th Australasian Finance and Banking Conference 2014 Paper. Available at SSRN: https://ssrn.com/abstract=2482173 or http://dx.doi.org/10.2139/ssrn.2482173

Lujer Santacruz (Contact Author)

University of Southern Queensland - Faculty of Business Education Law and Arts ( email )

West Street
Toowoomba 4350, Queensland
Australia
617 46311574 (Phone)
617 46315594 (Fax)

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