IDEAS home Printed from https://ideas.repec.org/p/nzb/nzbans/2012-07.html
   My bibliography  Save this paper

Risk, return, and beyond: A conceptual analysis of some factors influencing New Zealanders’ investment decisions

Author

Listed:

Abstract

This note presents the data and technical detail underlying a new set of estimates of gross asset returns since 1989 for a wide range of assets relevant to New Zealanders. The estimates have an economy-wide lens. An individual investor is likely to be interested in the realised risk and return they can achieve, as determined by a range of additional factors like taxes or personal circumstances. The analysis presented here is designed to illustrate conceptually the construction of a diversified portfolio and the practical advantage in doing so in a world of considerable uncertainty.

Suggested Citation

  • Elizabeth Watson, 2012. "Risk, return, and beyond: A conceptual analysis of some factors influencing New Zealanders’ investment decisions," Reserve Bank of New Zealand Analytical Notes series AN2012/07, Reserve Bank of New Zealand.
    • Handle: RePEc:nzb:nzbans:2012/07
    as

    Download full text from publisher

    File URL: http://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Analytical%20notes/2012/an2012-07.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. John H. Cochrane, 1999. "Portfolio advice of a multifactor world," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 59-78.
    3. Sharpe, William F., 1974. "Imputing Expected Security Returns from Portfolio Composition," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(3), pages 463-472, June.
    4. Paul Bloxham & Christopher Kent & Michael Robson, 2010. "Asset Prices, Credit Growth, Monetary and Other Policies: An Australian Case Study," RBA Research Discussion Papers rdp2010-06, Reserve Bank of Australia.
    5. John H. Cochrane, 2011. "Presidential Address: Discount Rates," Journal of Finance, American Finance Association, vol. 66(4), pages 1047-1108, August.
    6. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
    7. Elizabeth Watson, 2012. "Asset returns and the investment choices of New Zealanders," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 75, pages 26-34, September.
    8. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    9. Reserve Bank of New Zealand, 2011. "Submission to the Productivity Commission inquiry on housing affordability," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 74, pages 30-38, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hany Shawky & Ronald Forbes & Alan Frankle, 1983. "Liquidity Services and Capital Market Equilibrium: The Case for Money Market Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(2), pages 141-152, June.
    2. Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
    3. Lu, Xiaomeng & Guo, Jiaojiao & Gan, Li, 2020. "International comparison of household asset allocation: Micro-evidence from cross-country comparisons," Emerging Markets Review, Elsevier, vol. 43(C).
    4. Miller, Matthew Edward, 2003. "An economic perspective on Iowa farm diversification in the twentieth century," ISU General Staff Papers 2003010108000018194, Iowa State University, Department of Economics.
    5. Siriopoulos, Costas & Fassas, Athanasios, 2012. "An investor sentiment barometer — Greek Implied Volatility Index (GRIV)," Global Finance Journal, Elsevier, vol. 23(2), pages 77-93.
    6. Joseph R. Blasi & Douglas L. Kruse & Harry M. Markowitz, 2010. "Risk and Lack of Diversification under Employee Ownership and Shared Capitalism," NBER Chapters, in: Shared Capitalism at Work: Employee Ownership, Profit and Gain Sharing, and Broad-based Stock Options, pages 105-136, National Bureau of Economic Research, Inc.
    7. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
    8. van den Bremer, Ton & van der Ploeg, Frederick & Wills, Samuel, 2016. "The Elephant In The Ground: Managing Oil And Sovereign Wealth," European Economic Review, Elsevier, vol. 82(C), pages 113-131.
    9. Arturo Lorenzo Valdés & Antonio Ruiz Porras, 2014. "Un modelo Tgarch con una distribución t de student asimétrica y las hipótesis de racionalidad de los inversionistas bursátiles en Latinoamérica," Archivos Revista Economía y Política., Facultad de Ciencias Económicas y Administrativas, Universidad de Cuenca., vol. 19, pages 66-97, Enero.
    10. David S. Jones & V. Vance Roley, 1981. "Bliss Points in Mean-Variance Portfolio Models," NBER Technical Working Papers 0019, National Bureau of Economic Research, Inc.
    11. Qu, Xiangyu, 2017. "Subjective mean–variance preferences without expected utility," Mathematical Social Sciences, Elsevier, vol. 87(C), pages 31-39.
    12. Bilel Jarraya & Abdelfettah Bouri, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(4), pages 30-44, October.
    13. Jan Bastin, 2015. "Volatility Effect: An Application on the German Stock Market [Efekt nízkého rizika: Aplikace na německý akciový trh]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2015(1), pages 36-54.
    14. Pamela Parrish Peterson, 1980. "A Re-Examination Of Seemingly Unrelated Regressions Methodology Applied To Estimation Of Financial Relationships," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(3), pages 297-308, September.
    15. Brisset, Nicolas, 2017. "On Performativity: Option Theory And The Resistance Of Financial Phenomena," Journal of the History of Economic Thought, Cambridge University Press, vol. 39(4), pages 549-569, December.
    16. Fatma Lajeri-Chaherli, 2016. "On The Concavity And Quasiconcavity Properties Of ( Σ , Μ ) Utility Functions," Bulletin of Economic Research, Wiley Blackwell, vol. 68(3), pages 287-296, April.
    17. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CIRJE F-Series CIRJE-F-705, CIRJE, Faculty of Economics, University of Tokyo.
    18. M. Hossein Partovi, 2013. "Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model," Papers 1306.4958, arXiv.org.
    19. Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2010. "Investor preferences for oil spot and futures based on mean-variance and stochastic dominance," Econometric Institute Research Papers EI 2010-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    20. Hassine, Marlène & Roncalli, Thierry, 2013. "Measuring Performance of Exchange Traded Funds," MPRA Paper 44298, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nzb:nzbans:2012/07. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Reserve Bank of New Zealand Knowledge Centre (email available below). General contact details of provider: https://edirc.repec.org/data/rbngvnz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.