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Issue 5(1), October 2010 -- Paper Abstracts

Girard  (p. 9-22)

Cooper (p. 23-32)

Kunz-Osborne (p. 33-41)

Coulmas-Law (p.42-46)

Stasio (p. 47-56)

Albert-Valette-Florence (p.57-63)

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JOURNAL OF ACCOUNTING AND FINANCE

Asset Class Impacts on the 30-Year Efficient Frontier

Author(s): Matt Maher, Harry White, Phil Fry, Matt Wilkerson

Citation: Matt Maher, Harry White, Phil Fry, Matt Wilkerson, (2013) "Asset Class Impacts on the 30-Year Efficient Frontier," Journal of Accounting and Finance, Vol. 13, Iss. 2, pp. 28 - 35

Article Type: Research paper

Publisher: North American Business Press

Abstract:

We investigate the long-term (30-year) efficient frontier weights in five common asset class indexes by

adding classes one-by-one to the stock-bond frontier. Our results show that bonds are the most effective

diversifier for stocks, real estate is helpful only at higher risk levels, and international stocks and

commodities add little diversification benefits over the longer time horizon. Overall, our results highlight

the difficulties using modern portfolio theory to quantify asset class allocations.