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Are Benchmark Asset Allocations for Australian Private Investors Optimal?

Lujer Santacruz and Peter J Phillips
The Journal of Wealth Management Fall 2009, 12 (2) 60-70; DOI: https://doi.org/10.3905/jwm.2009.12.2.060
Lujer Santacruz
is a lecturer at the School of Accounting, Economics and Finance, Faculty of Business, University of Southern Queensland in Australia.
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  • For correspondence: santacru@usq.edu.au
Peter J Phillips
is a senior lecturer at the School of Accounting, Economics and Finance, Faculty of Business, University of Southern Queensland in Australia.
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  • For correspondence: phillipsp@usq.edu.au
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Abstract

This article examines whether the benchmark asset allocations recommended by financial planning groups for Australian private investors are optimal on the basis of modern portfolio theory. The mean–variance characteristics of the various asset classes are derived from historical indices. The return–risk values of the recommended portfolios are determined, and a simple method of iso-risk maximum return calculation using the Excel Solver command is utilized to determine the corresponding optimal portfolios. Applying this methodology, the portfolios resulting from the benchmark asset allocations are found to be significantly suboptimal.

TOPICS: Wealth management, portfolio theory, risk management, performance measurement

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Are Benchmark Asset Allocations for Australian Private Investors Optimal?
Lujer Santacruz, Peter J Phillips
The Journal of Wealth Management Jul 2009, 12 (2) 60-70; DOI: 10.3905/jwm.2009.12.2.060

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Are Benchmark Asset Allocations for Australian Private Investors Optimal?
Lujer Santacruz, Peter J Phillips
The Journal of Wealth Management Jul 2009, 12 (2) 60-70; DOI: 10.3905/jwm.2009.12.2.060
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