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Assessing the role of U.S. timberland assets in a mixed portfolio under the mean-conditional value at risk framework

Publication ,  Journal Article
Wan, Y; Clutter, ML; Mei, B; Siry, JP
Published in: Forest Policy and Economics
January 1, 2015

This study examines the role of U.S. timberland assets in a mixed portfolio from the risk perspective. Under the mean-conditional value at risk (M-CVaR) optimization framework, the efficient frontier of the mixed portfolio is dramatically improved after adding timberland assets in comparison of the mean-variance (M-V) efficient frontier. The asset allocation strategies formulated by the static and dynamic optimizations indicate that timberland assets maintain a significant allocation in the mixed portfolio. Moreover, risk decomposition is used to identify the risk sources under four different scenarios. It is found that large-cap stocks and small-cap stocks are generally risk intensifiers, whereas treasury bonds, treasury bills, and timberland assets are risk diversifiers. timberland assets in a mixed portfolio is examined from the risk perspective.

Duke Scholars

Published In

Forest Policy and Economics

DOI

ISSN

1389-9341

Publication Date

January 1, 2015

Volume

50

Start / End Page

118 / 126

Related Subject Headings

  • Forestry
  • 1605 Policy and Administration
  • 1402 Applied Economics
  • 0705 Forestry Sciences
 

Citation

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ICMJE
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Wan, Y., Clutter, M. L., Mei, B., & Siry, J. P. (2015). Assessing the role of U.S. timberland assets in a mixed portfolio under the mean-conditional value at risk framework. Forest Policy and Economics, 50, 118–126. https://doi.org/10.1016/j.forpol.2014.06.002
Wan, Y., M. L. Clutter, B. Mei, and J. P. Siry. “Assessing the role of U.S. timberland assets in a mixed portfolio under the mean-conditional value at risk framework.” Forest Policy and Economics 50 (January 1, 2015): 118–26. https://doi.org/10.1016/j.forpol.2014.06.002.
Wan Y, Clutter ML, Mei B, Siry JP. Assessing the role of U.S. timberland assets in a mixed portfolio under the mean-conditional value at risk framework. Forest Policy and Economics. 2015 Jan 1;50:118–26.
Wan, Y., et al. “Assessing the role of U.S. timberland assets in a mixed portfolio under the mean-conditional value at risk framework.” Forest Policy and Economics, vol. 50, Jan. 2015, pp. 118–26. Scopus, doi:10.1016/j.forpol.2014.06.002.
Wan Y, Clutter ML, Mei B, Siry JP. Assessing the role of U.S. timberland assets in a mixed portfolio under the mean-conditional value at risk framework. Forest Policy and Economics. 2015 Jan 1;50:118–126.
Journal cover image

Published In

Forest Policy and Economics

DOI

ISSN

1389-9341

Publication Date

January 1, 2015

Volume

50

Start / End Page

118 / 126

Related Subject Headings

  • Forestry
  • 1605 Policy and Administration
  • 1402 Applied Economics
  • 0705 Forestry Sciences