Abstract

http://ssrn.com/abstract=2170275
 
 

References (22)



 
 

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Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011


Ronald Q. Doeswijk


Robeco

Trevin W. Lam


Rabobank Nederland

Laurens Swinkels


Erasmus University Rotterdam (EUR); Norges Bank Investment Management (NBIM)

November 2, 2012


Abstract:     
The portfolio of the average investor contains important information for strategic asset allocation purposes. This portfolio shows the relative value of all assets according to the market crowd, which one could interpret as a benchmark or the optimal portfolio for the average investor. We determine the market values of equities, private equity, real estate, high yield bonds, emerging debt, non-government bonds, government bonds, inflation linked bonds, commodities, and hedge funds. For this range of assets, we estimate the invested global market portfolio for the period 1990-2011. For the main asset categories equities, real estate, non-government bonds and government bonds we extend the period to 1959-2011. To our understanding, we are the first to document the global multi-asset market portfolio at these levels of detail for such a long period of time.

Number of Pages in PDF File: 22

Keywords: strategic asset allocation, optimal portfolio, global multi-asset market portfolio

JEL Classification: G11, G12

working papers series


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Date posted: November 3, 2012  

Suggested Citation

Doeswijk, Ronald Q. and Lam, Trevin W. and Swinkels, Laurens, Strategic Asset Allocation: The Global Multi-Asset Market Portfolio 1959-2011 (November 2, 2012). Available at SSRN: http://ssrn.com/abstract=2170275 or http://dx.doi.org/10.2139/ssrn.2170275

Contact Information

Ronald Q. Doeswijk (Contact Author)
Robeco ( email )
Rotterdam, 3011 AG
Netherlands
Trevin W. Lam
Rabobank Nederland ( email )
Croeselaan 18
Utrecht, 3521 CB
Netherlands
+31 30 21 30543 (Phone)
HOME PAGE: http://www.linkedin.com/pub/dir/trevin/lam
Laurentius (Laurens) Adrianus Petrus Swinkels
Erasmus University Rotterdam (EUR)
Burgemeester Oudlaan 50
3000 DR Rotterdam, 3062PA
Netherlands
Norges Bank Investment Management (NBIM) ( email )
Bankplassen 2
P.O. Box 1179 Sentrum
Oslo, NO-0107
Norway
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