Optimality of financial planning clients' strategic asset allocation

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.

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Item Type: Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)
Refereed: Yes
Item Status: Live Archive
Additional Information: No evidence of copyright restrictions.
Faculty / Department / School: Historic - Faculty of Business - School of Accounting, Economics and Finance
Date Deposited: 10 Jan 2008 06:46
Last Modified: 02 Jul 2013 22:56
Uncontrolled Keywords: asset allocation; investments; portfolio management; modern portfolio theory; capital markets; managed funds; mutual funds; funds management; financial planning
Fields of Research : 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150205 Investment and Risk Management
14 Economics > 1403 Econometrics > 140305 Time-Series Analysis
14 Economics > 1402 Applied Economics > 140207 Financial Economics
Socio-Economic Objective: B Economic Development > 91 Economic Framework > 9101 Macroeconomics > 910109 Savings and Investments
URI: http://eprints.usq.edu.au/id/eprint/3722

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