applying modern portfolio theory to …（现代投资组合理论应用到u2026）.pdf

Applying Modern Portfolio Theory to Timberland Allocation Bruce Carroll1 Abstract Significant research has gone into developing models showing the appropriate mix of equity investments to optimize risk-adjusted returns. These optimal portfolios often have a mix of stocks, bonds, and cash. Increasingly, institutional investors are looking for other alternative investments to increase the return or lower the risk of their investment portfolios. Real estate assets, including timberland, are one of the asset classes that many institutional investors, particularly large pension funds, have used to improve their risk-adjusted returns. Due to low correlation between timberland investments and equity investments, timberland has a high probability of success in improving portfolio risk adjusted returns. To gain insight into this issue, a Markowitz portfolio optimization technique was used to calculate the optimal mix of timber investments across geographies when mixed with traditional investments. The timberland asset class will be broken into three geographic components Pacific Northwest, Southeast, and Northeast. To compare the impacts addition of composite and regional timberland allocations, models were built using 1) equities only, 2) equities plus composite timberland returns, and 3) equities plus the three regional geographic timberland indices. A Markowitz portfolio optimization model was built using various combinations of these assets. Keywords: timberland portfolio optimization, Markowitz, modern portfolio theory 1 Vice President – Information Services, Forest Technology Group, 3950 Faber Place Drive, North Charleston, SC 29405, (843)745-4251, Fax (843)308-6240, bruce.carroll@ 1 Applying Modern Portfolio Theory to Timberland Allocation Introduction Rese