Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes
33 Pages Posted: 20 May 2019 Last revised: 22 Oct 2009
There are 2 versions of this paper
Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes
Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes
Date Written: October 1, 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.
Keywords: strategic asset allocation, capital market expectations, mean-variance analysis, optimal portfolio, global market portfolio
JEL Classification: G11, G12
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Pricing Treasury Inflation Protected Securities and Related Derivatives Using an Hjm Model
-
The TIPS Yield Curve and Inflation Compensation
By Refet S. Gürkaynak, Brian P. Sack, ...
-
Understanding Inflation-Indexed Bond Markets
By John Y. Campbell, Robert J. Shiller, ...
-
Understanding Inflation-Indexed Bond Markets
By John Y. Campbell, Robert J. Shiller, ...
-
Understanding Inflation-Indexed Bond Markets
By John Y. Campbell, Robert J. Shiller, ...
-
Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle
-
Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle
-
By Joseph G. Haubrich, Peter H. Ritchken, ...
-
By Joseph G. Haubrich, George Pennacchi, ...