Beyond Equity Luxembourg School of Finance Prof. Dr. Roman Krussl - - PowerPoint PPT Presentation
Beyond Equity Luxembourg School of Finance Prof. Dr. Roman Krussl 18 September 2014 Master in Wealth Management Luxembourg is the largest wealth management center in the Eurozone Supply well trained private bankers Attract talent to
Beyond Equity
18 September 2014
Luxembourg School of Finance
Luxembourg is the largest wealth management center in the Eurozone
Emotional assets
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Reasons for investing in art (utility derived from) go beyond monetary value alone: Aesthetic value; Passion for collecting; Doing good; Social status; Prestige
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m X n X P P Index
1 1 1 , 1 , 1 / 1 1 , 1 / 1 ,
exp ) ( ) ( β
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50 100 150 200 250 300 350 400 450 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Top 500 Painters at Auction versus Benchmarks,
2003-2013
S&P 500 Gold Real Estate Hedge Funds Art Top 500
www.art-finance.com
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) var( ) , cov(
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Panel A: Excluding art
Asset class Asset Class Weights Restriction A Restriction B Restriction C ∞%>= w >=0% 25% >= w >=0% 18.75% >= w >=0% Art 0.0000 0.0000 0.0000 Commodities 0.0506 0.1344 0.1866
0.4032 0.2500 0.1875 Equity 0.0000 0.1156 0.1875
0.2043 0.2500 0.1875 Hedge Funds 0.3419 0.2500 0.1875 Private Equity 0.0000 0.0000 0.0000 Real Estate 0.0000 0.0000 0.0634 Reward-to-variability ratio 2.4419 2.1642 1.7154 Mean portfolio return 0.0920 0.0897 0.0889 Standard dev. of portfolio return 0.0293 0.0320 0.0399
Panel B: Including art
Asset class Asset Class Weights Restriction A Restriction B Restriction C ∞%>= w >=0% 25% >= w >=0% 18.75% >= w >=0% Art 0.0000 0.0325 0.0572 Commodities 0.0506 0.1252 0.1875
0.4032 0.2500 0.1875 Equity 0.0000 0.0923 0.1875
0.2043 0.2500 0.1875 Hedge Funds 0.3419 0.2500 0.1875 Private Equity 0.0000 0.0000 0.0000 Real Estate 0.0000 0.0000 0.0053 Reward-to-variability ratio 2.4419 2.1837 1.7651 Mean portfolio return 0.0920 0.0882 0.0856 Standard dev. of portfolio return 0.0293 0.0310 0.0369
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Shirid Aliabadi (1973), “Miss Hybrid”, 2007
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