The problems with fitting alternative investments into a conventional investment allocation framework begin with the fact that many of them have no prices that can be analyzed with the tools—optimizers, multi-factor models, and so on—that are normally used to build such a framework. Mean-variance optimization, for example, is rather beside the point if neither the mean nor the variance of returns can be obtained. Investments that lack a public market such as private equity, some forms of direct lending, and real estate cannot be marked to a market that does not exist or exists only intermittently. Estimated values for these assets both attract considerable skepticism in their own right13
and at any rate cannot reproduce ...