Cheers to Enhanced Portfolio Performance: Wine as a Unique Asset Class

30 Pages Posted: 28 Nov 2023 Last revised: 20 Feb 2024

See all articles by Mesias Alfeus

Mesias Alfeus

Department of Statistics and Actuarial Science - Stellenbosch University

Anton Blignaut

Stellenbosch University - Department of Statistics and Actuarial Science

Jean-Pierre Viljoen

Stellenbosch University - Department of Statistics and Actuarial Science

Date Written: October 30, 2023

Abstract

This research is dedicated to the development of an innovative South African wine index, employing a repeat-sales regression methodology. The study is grounded in the principles of the growth-optimal portfolio, a fundamental component of the Platen (2006) Benchmark approach, alongside the foundations of modern portfolio theory. The primary aim is to investigate the impact of incorporating the newly established wine index into the overall investment portfolio. Our analytical findings reveal a favorable influence on portfolio growth rates and diversification, enhancing these aspects by introducing South African wine assets. This approach introduces investors to a novel avenue of diversification, capitalizing on the potential advantages offered by fine wine investments within their comprehensive portfolios. This research represents the initial successful endeavor in constructing a wine index within the South African investment landscape, thus contributing a valuable addition to the array of financial instruments accessible to investors.

Keywords: Diversifying Fine Wine Index, Growth-optimal portfolio, Markowitz model, Wine Investment

JEL Classification: C32, C63, C65

Suggested Citation

Alfeus, Mesias and Blignaut, Anton and Viljoen, Jean-Pierre, Cheers to Enhanced Portfolio Performance: Wine as a Unique Asset Class (October 30, 2023). Available at SSRN: https://ssrn.com/abstract=4617043 or http://dx.doi.org/10.2139/ssrn.4617043

Mesias Alfeus (Contact Author)

Department of Statistics and Actuarial Science - Stellenbosch University ( email )

Matieland
m
Stellenbosch, 7602
South Africa
0633236629 (Phone)
7405 (Fax)

Anton Blignaut

Stellenbosch University - Department of Statistics and Actuarial Science ( email )

Stellenbosch
South Africa

Jean-Pierre Viljoen

Stellenbosch University - Department of Statistics and Actuarial Science ( email )

Stellenbosch
South Africa

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