Optimality of financial planning clients' strategic asset allocation

Paper

Santacruz, Lujer and Phillips, Peter J.. 2007. "Optimality of financial planning clients' strategic asset allocation." Moshirian, Fariborz (ed.) 20th Annual Australasian Finance and Banking Conference (AFBC 2007). Sydney, Australia 12 - 14 Dec 2007 Sydney, Australia.

Paper/Presentation Title	Optimality of financial planning clients' strategic asset allocation
Presentation Type	Paper
Authors	Santacruz, Lujer (Author) and Phillips, Peter J. (Author)
Editors	Moshirian, Fariborz
Journal or Proceedings Title	Proceedings of the 20th Australasian Finance and Banking Conference (AFBC 2007)
Number of Pages	21
Year	2007
Place of Publication	Sydney, Australia
ISBN	9780980476507
Web Address (URL) of Paper	http://www.banking.unsw.edu.au/afbc
Conference/Event	20th Annual Australasian Finance and Banking Conference (AFBC 2007)
Event Details	20th Annual Australasian Finance and Banking Conference (AFBC 2007) Event Date 12 to end of 14 Dec 2007 Event Location Sydney, Australia
Abstract	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.
Keywords	asset allocation; investments; portfolio management; modern portfolio theory; capital markets; managed funds; mutual funds; funds management; financial planning
ANZSRC Field of Research 2020	350208. Investment and risk management
	380205. Time-series analysis
	380107. Financial economics
Public Notes	No evidence of copyright restrictions.
Byline Affiliations	School of Accounting, Economics and Finance

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Optimality of financial planning clients' strategic asset allocation

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