dc.contributor.author | Menounos, Georgios | |
dc.contributor.author | Alexiou, Constantinos | |
dc.contributor.author | Vogiazas, Sofoklis | |
dc.date.accessioned | 2017-12-21T16:35:25Z | |
dc.date.available | 2017-12-21T16:35:25Z | |
dc.date.issued | 2017-11-13 | |
dc.identifier.citation | Georgios Menounos, Constantinos Alexiou and Sofoklis Vogiazas (2017). The role of high-yield bonds in strategic asset allocation over the Great Recession. Investment Management and Financial Innovations, 14(3), 270-279 | en_UK |
dc.identifier.issn | 1810-4967 | |
dc.identifier.uri | http://dx.doi.org/10.21511/imfi.14(3-1).2017.11 | |
dc.identifier.uri | http://dspace.lib.cranfield.ac.uk:8080/handle/1826/12827 | |
dc.description.abstract | By utilizing a modified version of the Black-Litterman model, the authors explore the asset allocation to high-yield bonds based on an investor’s risk profile. In so doing, the researchers use US data on high-yield bonds and over the period 2007–2013. The key finding relates to the strategic asset allocation to high-yield bonds in a simulated global market portfolio depending on an investor’s risk tolerance. In particular, the share of high-yield bonds does not exceed 4.15% of total assets in a global market portfolio over the period 2007–2013, whilst the allocation remains relatively stable and small on a risk-adjusted basis, irrespective of an investor’s risk profile or the phase of the business cycle. In simple terms, the results suggest that high-yield bonds do not seem to merit a favorable treatment in the asset allocation process relative to other financial instruments in a global market portfolio. | en_UK |
dc.language.iso | en | en_UK |
dc.publisher | LLC “Consulting Publishing Company “Business Perspectives” | en_UK |
dc.rights | Attribution-NonCommercial 4.0 International | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc/4.0/ | * |
dc.subject | lack-Litterman model | en_UK |
dc.subject | high-yield bonds | en_UK |
dc.subject | asset allocation | en_UK |
dc.subject | global financial crisis | en_UK |
dc.title | The role of high-yield bonds in strategic asset allocation over the Great Recession | en_UK |
dc.type | Article | en_UK |
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