The Global Multi-Asset Market Portfolio, 1959-2012

被引：19

作者：

Doeswijk, Ronald ^{[1
]}

Lam, Trevin ^{[2
]}

Swinkels, Laurens ^{[3
,4
]}

机构：

[1] Robeco, Rotterdam, Netherlands

[2] Rabobank, Utrecht, Netherlands

[3] Norges Bank Investment Management, Oslo, Norway

[4] Erasmus Univ, Rotterdam, Netherlands

来源：

FINANCIAL ANALYSTS JOURNAL | 2014年 / 70卷 / 02期

关键词：

MODEL;

D O I：

10.2469/faj.v70.n2.1

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：26 / 41

页数：16

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