Pension Funds Should Never Rely on Correlation

被引：0
|
作者：
Lagnado, Ronald [1 ]
Taleb, Nassim Nicholas [2 ,3 ]
机构：
[1] Universa Investments LP, Res, Miami, FL 33133 USA
[2] NYU, Tandon Sch, Risk Engn, New York, NY USA
[3] Universa Investment LP, Miami, FL USA
来源：
JOURNAL OF ALTERNATIVE INVESTMENTS | 2022年 / 24卷 / 04期
关键词：
D O I：
10.3905/jai.2022.1.157
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：8 / 17
页数：10
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