The role of high-yield bonds in strategic asset allocation over the Great Recession

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dc.contributor.authorMenounos, Georgios
dc.contributor.authorAlexiou, Constantinos
dc.contributor.authorVogiazas, Sofoklis
dc.date.accessioned2017-12-21T16:35:25Z
dc.date.available2017-12-21T16:35:25Z
dc.date.issued2017-11-13
dc.description.abstractBy 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.identifier.citationGeorgios 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), 270-279en_UK
dc.identifier.issn1810-4967
dc.identifier.urihttp://dx.doi.org/10.21511/imfi.14(3-1).2017.11
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk:8080/handle/1826/12827
dc.language.isoenen_UK
dc.publisherLLC “Consulting Publishing Company “Business Perspectives”en_UK
dc.rightsAttribution-NonCommercial 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/*
dc.subjectlack-Litterman modelen_UK
dc.subjecthigh-yield bondsen_UK
dc.subjectasset allocationen_UK
dc.subjectglobal financial crisisen_UK
dc.titleThe role of high-yield bonds in strategic asset allocation over the Great Recessionen_UK
dc.typeArticleen_UK

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