Modern Portfolio Diversification with Arte-Blue Chip Index
Fuente:
arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866912048430972928 |
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| author | Levy, Simon Nicolas, Maxime L. D. |
| author_facet | Levy, Simon Nicolas, Maxime L. D. |
| contents | This paper presents a novel approach to evaluating blue-chip art as a viable asset class for portfolio diversification. We present the Arte-Blue Chip Index, an index that tracks 100 top-performing artists based on 81,891 public transactions from 157 artists across 584 auction houses over the period 1990 to 2024. By comparing blue-chip art price trends with stock market fluctuations, our index provides insights into the risk and return profile of blue-chip art investments. Our analysis demonstrates that a 20% allocation of blue-chip art in a diversified portfolio enhances risk-adjusted returns by around 20%, while maintaining volatility levels similar to the S&P 500. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_18816 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Modern Portfolio Diversification with Arte-Blue Chip Index Levy, Simon Nicolas, Maxime L. D. Portfolio Management This paper presents a novel approach to evaluating blue-chip art as a viable asset class for portfolio diversification. We present the Arte-Blue Chip Index, an index that tracks 100 top-performing artists based on 81,891 public transactions from 157 artists across 584 auction houses over the period 1990 to 2024. By comparing blue-chip art price trends with stock market fluctuations, our index provides insights into the risk and return profile of blue-chip art investments. Our analysis demonstrates that a 20% allocation of blue-chip art in a diversified portfolio enhances risk-adjusted returns by around 20%, while maintaining volatility levels similar to the S&P 500. |
| title | Modern Portfolio Diversification with Arte-Blue Chip Index |
| topic | Portfolio Management |
| url | https://arxiv.org/abs/2409.18816 |