Menounos, GeorgiosAlexiou, ConstantinosVogiazas, Sofoklis2017-12-212017-12-212017-11-13Georgios Menounos, Constantinos Alexiou and Sofoklis Vogiazas (2017). The role of high-yield bonds in strategic asset allocation over the Great Recession. Investment Management and Financial Innovations, 14(3), 270-2791810-4967http://dx.doi.org/10.21511/imfi.14(3-1).2017.11http://dspace.lib.cranfield.ac.uk:8080/handle/1826/12827By utilizing a modified version of the Black-Litterman model, the authors explore the asset allocation to high-yield bonds based on an investor’s risk profile. In so doing, the researchers use US data on high-yield bonds and over the period 2007–2013. The key finding relates to the strategic asset allocation to high-yield bonds in a simulated global market portfolio depending on an investor’s risk tolerance. In particular, the share of high-yield bonds does not exceed 4.15% of total assets in a global market portfolio over the period 2007–2013, whilst the allocation remains relatively stable and small on a risk-adjusted basis, irrespective of an investor’s risk profile or the phase of the business cycle. In simple terms, the results suggest that high-yield bonds do not seem to merit a favorable treatment in the asset allocation process relative to other financial instruments in a global market portfolio.enAttribution-NonCommercial 4.0 Internationalhttp://creativecommons.org/licenses/by-nc/4.0/lack-Litterman modelhigh-yield bondsasset allocationglobal financial crisisArticle