Pension Funds Should Never Rely on Correlation

IF 0.4 Q4 BUSINESS, FINANCE

Journal of Alternative Investments Pub Date : 2022-02-04 DOI:10.3905/jai.2022.1.157

R. Lagnado, N. Taleb

引用次数: 0

Abstract

The central decision for a pension fund is the allocation between stocks and bonds. For intellectual backup in making this decision, many rely on metrics and methods from Modern Portfolio Theory (MPT). We show how, historically, such an “optimal” portfolio is in effect the least optimal one, as it fails to protect against tail risk and under-allocates to the high-returning asset class. MPT fails in both risk control and real-world investment optimization.

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养老基金不应该依赖相关性

养老基金的核心决策是股票和债券之间的分配。对于做出这一决定的智力支持，许多人依赖于现代投资组合理论（MPT）的指标和方法。我们展示了从历史上看，这种“最优”投资组合实际上是最不最优的投资组合，因为它无法抵御尾部风险，并且对高回报资产类别的分配不足。MPT在风险控制和现实投资优化方面都失败了。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Alternative Investments BUSINESS, FINANCE-

CiteScore

1.50

自引率

14.30%

发文量

期刊介绍： The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices