Abstract

http://ssrn.com/abstract=1368689
 
 

References (44)



 
 

Citations (5)



 


 



Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes


Niels Bekkers


Tilburg University - Center and Faculty of Economics and Business Administration

Ronald Q. Doeswijk


Robeco

Trevin W. Lam


Rabobank

October 2009


Abstract:     
This study explores which asset classes add value to a traditional portfolio of stocks, bonds and cash. Next, we determine the optimal weights of all asset classes in the optimal portfolio. This study adds to the literature by distinguishing ten different investment categories simultaneously in a mean-variance analysis as well as a market portfolio approach. We also demonstrate how to combine these two methods. Our results suggest that real estate, commodities and high yield add most value to the traditional asset mix. A study with such a broad coverage of asset classes has not been conducted before, not in the context of determining capital market expectations and performing a mean-variance analysis, neither in assessing the global market portfolio.

Number of Pages in PDF File: 33

Keywords: strategic asset allocation, capital market expectations, mean-variance analysis, optimal portfolio, global market portfolio

JEL Classification: G11, G12

working papers series


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Date posted: March 26, 2009 ; Last revised: October 22, 2009

Suggested Citation

Bekkers, Niels and Doeswijk, Ronald Q. and Lam, Trevin W., Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes (October 2009). Available at SSRN: http://ssrn.com/abstract=1368689 or http://dx.doi.org/10.2139/ssrn.1368689

Contact Information

Niels Bekkers
Tilburg University - Center and Faculty of Economics and Business Administration ( email )
Ronald Q. Doeswijk (Contact Author)
Robeco ( email )
Rotterdam, 3011 AG
Netherlands
Trevin W. Lam
Rabobank ( email )
Croeselaan 18
Utrecht, 3521 CB
Netherlands
+31 30 21 30543 (Phone)
HOME PAGE: http://www.linkedin.com/pub/dir/trevin/lam
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