Download this Paper Open PDF in Browser

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

33 Pages Posted: 26 Mar 2009 Last revised: 22 Oct 2009

Niels Bekkers

Tilburg University - Center and Faculty of Economics and Business Administration

Ronald Q. Doeswijk

Independent

Trevin Lam

Rabobank

Multiple version iconThere are 2 versions of this paper

Date Written: 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.

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

JEL Classification: G11, G12

Suggested Citation

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

Niels Bekkers

Tilburg University - Center and Faculty of Economics and Business Administration ( email )

Ronald Q. Doeswijk (Contact Author)

Independent ( email )

No Address Available

Trevin Lam

Rabobank ( email )

Croeselaan 18
Utrecht, 3521 CB
Netherlands
+31 30 21 30543 (Phone)

HOME PAGE: http://www.linkedin.com/pub/dir/trevin/lam

Paper statistics

Downloads
14,742
Rank
161
Abstract Views
40,685