Santacruz, Lujer and Phillips, Peter J. (2007) Optimality of financial planning clients' strategic asset allocation. In: 20th Australasian Finance and Banking Conference (AFBC 2007) , 12-14 Dec 2007, Sydney, Australia.
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In this paper, the optimality of Australian financial planning clients’ asset allocations are analysed using the mean-variance formulation of the Modern Portfolio Theory. The asset allocations recommended by financial planning groups are examined. The mean-variance characteristics of the various asset classes are derived from historical indices, using last 21 years data and last 5 years data. 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 utilised to determine the corresponding optimal portfolios. The recommended portfolios were found to have expected returns that are around 8% and 32% below optimal returns based on last 21 years data and last 5 years data, respectively.
|Item Type:||Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)|
|Additional Information:||No evidence of copyright restrictions.|
|Uncontrolled Keywords:||asset allocation; investments; portfolio management; modern portfolio theory; capital markets; managed funds; mutual funds; funds management; financial planning|
|Subjects:||350000 Commerce, Management, Tourism and Services > 350300 Banking, Finance and Investment|
|Depositing User:||Mr Lujer Santacruz|
|Date Deposited:||10 Jan 2008 06:46|
|Last Modified:||02 Jul 2013 22:56|
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