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

Niels Bekkers, Ronald Q Doeswijk and Trevin W Lam
The Journal of Wealth Management Winter 2009, 12 (3) 61-77; DOI: https://doi.org/10.3905/jwm.2009.12.3.061
Niels Bekkers
currently is a business analyst at Mars in Veghel, The Netherlands. During his work for this article he obtained a master degree in economics at Tilburg University, The Netherlands.
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  • For correspondence: niels.bekkers@eu.effem.com
Ronald Q Doeswijk
is a vice president and strategist at Robeco in Rotterdam, The Netherlands.
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  • For correspondence: r.doeswijk@robeco.nl
Trevin W Lam
is a quantitative analyst at Rabobank in Utrecht, The Netherlands.
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  • For correspondence: t.w.lam@rn.rabobank.nl
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Abstract

This article explores which asset classes add value to a traditional portfolio of stocks, bonds, and cash. The authors also determine the optimal weights of all asset classes in the optimal portfolio. This article adds to the literature by distinguishing 10 different investment categories simultaneously in a mean-variance analysis as well as a market portfolio approach. The authors also demonstrate how to combine these two methods. The 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, neither in the context of determining capital market expectations and performing a mean-variance analysis, nor in assessing the global market portfolio.

TOPICS: Portfolio construction, global, real estate, commodities

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The Journal of Wealth Management: 12 (3)
The Journal of Wealth Management
Vol. 12, Issue 3
Winter 2009
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Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes
Niels Bekkers, Ronald Q Doeswijk, Trevin W Lam
The Journal of Wealth Management Oct 2009, 12 (3) 61-77; DOI: 10.3905/jwm.2009.12.3.061

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Strategic Asset Allocation: Determining the Optimal Portfolio with Ten Asset Classes
Niels Bekkers, Ronald Q Doeswijk, Trevin W Lam
The Journal of Wealth Management Oct 2009, 12 (3) 61-77; DOI: 10.3905/jwm.2009.12.3.061
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