PT  - JOURNAL ARTICLE
AU  - Nuria Bajo Davó
AU  - Carmen Mendoza Resco
AU  - Manuel Monjas Barroso
TI  - Financially Diversified Portfolios with Alternative Investments: <em>The Impact of Life Settlements</em>
AID  - 10.3905/jwm.2013.15.4.069
DP  - 2013 Jan 31
TA  - The Journal of Wealth Management
PG  - 69--87
VI  - 15
IP  - 4
4099  - https://pm-research.com/content/15/4/69.short
4100  - https://pm-research.com/content/15/4/69.full
AB  - This study investigates whether the inclusion of life settlement (LS) funds in the formation of diversified portfolios contributes significantly to the mitigation of market risk and enhances portfolio performance. The authors construct efficient portfolios from approximations based on Markowitz’s portfolio theory by using LS funds in combination with fixed income and equity funds, gold, energy, and agricultural commodities. With nine funds representative of seven international financial markets, they find that LS funds are an effective approach to investment diversification, given their low correlation with the other proposed assets. Specifically, their results suggest that LS funds provide the largest diversification and risk-reduction benefit in combination with fixed income, equity, and commodities funds. The benefit is reduced, however, when the exchange rate effect is considered.TOPICS: Wealth management, portfolio construction, real assets/alternative investments/private equity, global