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arXiv · 2409.18816

Modern Portfolio Diversification with Arte-Blue Chip Index

Simon Levy·Maxime L. D. Nicolas
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Abstract

This paper presents a novel approach to evaluating blue-chip art as a viable asset class for portfolio diversification. We present the Arte-Blue Chip Index, an index that tracks 100 top-performing artists based on 81,891 public transactions from 157 artists across 584 auction houses over the period 1990 to 2024. By comparing blue-chip art price trends with stock market fluctuations, our index provides insights into the risk and return profile of blue-chip art investments. Our analysis demonstrates that a 20% allocation of blue-chip art in a diversified portfolio enhances risk-adjusted returns by around 20%, while maintaining volatility levels similar to the S&P 500.

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Simon Levy, Maxime L. D. Nicolas. 2024-09-27. Modern Portfolio Diversification with Arte-Blue Chip Index. https://arxiv.org/abs/2409.18816

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