RT Journal Article
SR Electronic
T1 Are Benchmark Asset Allocations for Australian Private Investors Optimal?
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 60
OP 70
DO 10.3905/jwm.2009.12.2.060
VO 12
IS 2
A1 Lujer Santacruz
A1 Peter J Phillips
YR 2009
UL https://pm-research.com/content/12/2/60.abstract
AB 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