Articlegreen2014

The Global Multi-Asset Market Portfolio, 1959–2012

Ronald Q. Doeswijk · Trevin Lam · Laurens A. P. Swinkels

46 citations0/0 files storedFinancial Analysts Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

The market portfolio contains important information for purposes of strategic asset allocation. One could consider it a natural benchmark for investors. The authors composed the invested global multi-asset market portfolio for 1990–2012 by estimating the market capitalization for equities, private equity, real estate, high-yield bonds, emerging-market debt, investment-grade credits, government bonds, and inflation-linked bonds. They also used an expanded period (1959–2012) for the main asset categories: equities, real estate, nongovernment bonds, and government bonds.

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References

1992Global Portfolio Optimization 1982On the exclusion of assets from tests of the two-parameter model 2012Leverage Aversion and Risk Parity 2013The Golden Dilemma 2010Adaptive Asset Allocation Policies

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