The Global Multi-Asset Market Portfolio, 1959–2012
@article{Doeswijk2014TheGM, title={The Global Multi-Asset Market Portfolio, 1959–2012}, author={Ronald Q. Doeswijk and Trevin W. Lam and Laurens Swinkels}, journal={Financial Analysts Journal}, year={2014}, volume={70}, pages={26 - 41} }
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…
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