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- Market_portfolio abstract "Market portfolio is a portfolio consisting of a weighted sum of every asset in the market, with weights in the proportions that they exist in the market, with the necessary assumption that these assets are infinitely divisible.Richard Roll's critique (1977) states that this is only a theoretical concept, as to create a market portfolio for investment purposes in practice would necessarily include every single possible available asset, including real estate, precious metals, stamp collections, jewelry, and anything with any worth, as the theoretical market being referred to would be the world market.There is some question of whether what is used for the market portfolio really matters. Some authors say that it does not make a big difference; you can use any old index and get similar results. Roll gave an example where different indexes produce much different results, and that by choosing the index you can get any ranking you want. Brown and Brown examine this, using different indexes such as stocks only, stocks and bonds, and stocks plus bonds plus real estate. They find that using a market that includes real estate produces much different results. For example, with one measurement most mutual funds have alpha close to zero, while with another measurement most of them have significantly negative alpha.Most index providers give indices for different components such as stocks only, bonds only, et cetera. As a result, proxies for the market (such as the FTSE 100 in the UK, DAX in Germany or the S&P 500 in the US) are used in practice by investors. Roll's critique states that these proxies cannot provide an accurate representation of the entire market.The concept of a market portfolio plays an important role in many financial theories and models, including the capital asset pricing model where it is the only fund in which investors need to invest, to be supplemented only by a risk-free asset, depending upon each investor's attitude towards risk.Sharpe notes that many investors are at least targeted to a fixed ratio (e.g. 60% stocks, 40% bonds). He points out that this is sort of contrarian. The holdings of all investors combined must, by equation, be in the cap-weighted proportions. So many investors following this strategy implies some other investors must follow a buy-high, sell-low (trend following) strategy. He then says that he doesn't like it and people should use adjustments to the market proportions instead.Doeswijk, Lam and Swinkels (2012) (2013) argue that the portfolio of the average investor contains important information for strategic asset allocation purposes. This portfolio shows the relative value of all assets according to the market crowd, which one could interpret as a benchmark or the optimal portfolio for the average investor. The authors determine the market values of equities, private equity, real estate, high yield bonds, emerging debt, non-government bonds, government bonds, inflation linked bonds, commodities, and hedge funds. For this range of assets, they estimate the invested global market portfolio for the period 1990-2012. For the main asset categories equities, real estate, non-government bonds and government bonds they extend the period to 1959-2012.".
- Market_portfolio wikiPageExternalLink market_portfolio_efficient.pdf.
- Market_portfolio wikiPageID "1215066".
- Market_portfolio wikiPageLength "4903".
- Market_portfolio wikiPageOutDegree "18".
- Market_portfolio wikiPageRevisionID "616588707".
- Market_portfolio wikiPageWikiLink Asset.
- Market_portfolio wikiPageWikiLink Asset_allocation.
- Market_portfolio wikiPageWikiLink Capital_allocation_line.
- Market_portfolio wikiPageWikiLink Capital_asset_pricing_model.
- Market_portfolio wikiPageWikiLink Capital_market_line.
- Market_portfolio wikiPageWikiLink Category:Financial_markets.
- Market_portfolio wikiPageWikiLink Category:Financial_risk.
- Market_portfolio wikiPageWikiLink Category:Investment.
- Market_portfolio wikiPageWikiLink DAX.
- Market_portfolio wikiPageWikiLink FTSE_100_Index.
- Market_portfolio wikiPageWikiLink Infinite_divisibility.
- Market_portfolio wikiPageWikiLink Richard_Roll.
- Market_portfolio wikiPageWikiLink Rolls_critique.
- Market_portfolio wikiPageWikiLink S&P_500_Index.
- Market_portfolio wikiPageWikiLink Security_characteristic_line.
- Market_portfolio wikiPageWikiLink Security_market_line.
- Market_portfolio wikiPageWikiLink United_Kingdom.
- Market_portfolio wikiPageWikiLink Weight_function.
- Market_portfolio wikiPageWikiLinkText "Market portfolio".
- Market_portfolio wikiPageWikiLinkText "market portfolio".
- Market_portfolio wikiPageWikiLinkText "market return".
- Market_portfolio wikiPageWikiLinkText "portfolio".
- Market_portfolio wikiPageUsesTemplate Template:Econ-stub.
- Market_portfolio wikiPageUsesTemplate Template:Financial_risk.
- Market_portfolio wikiPageUsesTemplate Template:Refimprove.
- Market_portfolio wikiPageUsesTemplate Template:Reflist.
- Market_portfolio subject Category:Financial_markets.
- Market_portfolio subject Category:Financial_risk.
- Market_portfolio subject Category:Investment.
- Market_portfolio hypernym Portfolio.
- Market_portfolio type Company.
- Market_portfolio type Market.
- Market_portfolio comment "Market portfolio is a portfolio consisting of a weighted sum of every asset in the market, with weights in the proportions that they exist in the market, with the necessary assumption that these assets are infinitely divisible.Richard Roll's critique (1977) states that this is only a theoretical concept, as to create a market portfolio for investment purposes in practice would necessarily include every single possible available asset, including real estate, precious metals, stamp collections, jewelry, and anything with any worth, as the theoretical market being referred to would be the world market.There is some question of whether what is used for the market portfolio really matters. ".
- Market_portfolio label "Market portfolio".
- Market_portfolio sameAs Q1321921.
- Market_portfolio sameAs Marktportfolio.
- Market_portfolio sameAs תיק_השוק.
- Market_portfolio sameAs m.04hz_t.
- Market_portfolio sameAs Q1321921.
- Market_portfolio wasDerivedFrom Market_portfolio?oldid=616588707.
- Market_portfolio isPrimaryTopicOf Market_portfolio.