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Chappell, C., Jakhria, P., Marais, J. and Smith, A. (2007)Understanding the risks in new asset classeshere

Introduction

"The eternal search for alpha in benign financial markets has created increased pressure on investors to add new asset classes to their portfolios. Historically, some life insurance and savings products have been lambasted as labyrinths of complex liabilities that lacked transparency with misunderstood guarantees being offered. Are we inventing financial instruments without learning the lessons from life?

As Barmecidal salesmen bombard board rooms with bavardage and bunkum, do we know what we are buying?

This paper reviews the mean-variance (M-V) framework and highlights some issues that investors should consider before adding the new, more exotic asset classes to their portfolios."


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