Art as a Financial Asset in Portfolio Allocation

Diana Barro (), Antonella Basso (), Stefania Funari () and Guglielmo Alessandro Visentin ()
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Diana Barro: Ca’ Foscari University of Venice, Department of Economics
Stefania Funari: Ca’ Foscari University of Venice, Department of Management
Guglielmo Alessandro Visentin: Ca’ Foscari University of Venice, Department of Management

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2024, pp 37-42 from Springer

Abstract: Abstract With increasing interest in recent years, investors have devoted attention to the art market as a potential alternative asset class to be included in portfolios. Besides cultural and aesthetic value, investment in art could provide diversification benefits, and a hedge against market volatility and inflation. We use data on the global art auction market to analyze this asset’s risk-return characteristics, and to investigate its inclusion in optimal portfolios, based on the classical Markowitz mean-variance and the mean-CVaR optimization models. The results show that art makes an interesting asset, which enters the optimal portfolios.

Keywords: Art investment; Alternative assets; Portfolio allocation; Mean-variance; Mean-CVaR (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-64273-9_7

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DOI: 10.1007/978-3-031-64273-9_7

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