Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes
Tilburg University - Center and Faculty of Economics and Business Administration; Mars Netherlands
Ronald Q. Doeswijk
Trevin W. Lam
November 2, 2009
Journal of Wealth Management, Vol. 12, No. 3, pp. 61-77, 2009
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.
Keywords: strategic asset allocation, capital market expectations, mean-variance analysis, optimal portfolio, global market portfolio
JEL Classification: G11, G12Accepted Paper Series
Date posted: November 2, 2009
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo3 in 0.547 seconds