Portfolio theory application wtih gold numismatic assets and precious metal
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Published
18-09-2018
Camilo Prado Román
José Luis Coca Pérez
Pablo García Estévez
Abstract
Our objective is to build different Precious Metals (gold, silver, palladium, platinum and rhodium) and Gold Numismatic Asset Portfolios. The purpose is being able to build the best portfolio for the different investors and to know The Market Portfolio. For that, by means of The Portfolio Theory methodology (Markowitz, 1952; 1959), we build the efficient frontier and we will trace the Capital Market Line, CML. The program we use is Matlab (financial Toolkit). Research sample is composed by gold numismatic assets and precious metals. Those assets have been issued by Spain, USA, Great Britain and France from 1900 to 2009, and the research period is to 2003-2009. The results obtained confirm those not financial assets selected to build the efficient portfolio and the Market Portfolio.
How to Cite
Prado Román, C., Coca Pérez, J. L., & García Estévez, P. (2018). Portfolio theory application wtih gold numismatic assets and precious metal. Cuadernos De Gestión, 12(1), 123–143. https://doi.org/10.5295/cdg.100201cp
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Keywords
Collectible Tangible Asset, Precious Metals, Portfolio Theory, Market Portfolio
References
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BRUCE, I.I.; COLIN, R. y THOMAS, M. (2006): 2006 Standard Catalog of World Coins, based on the original work by Chester L. Krause y Clifford Mishler, 33rd edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2007): 2007 Standard Catalog of World Coins, 1901-2000, based on the original work by Chester L. Krause y Clifford Mishler, 34th edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2007): 2007 Standard Catalog of World Coins, 2001-Date, based on the original work by Chester L. Krause y Clifford Mishler, 1st edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2008): 2008 Standard Catalog of World Coins, 1901-2000, based on the original work by Chester L. Krause y Clifford Mishler, 35th edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2008): 2008 Standard Catalog of World Coins, 2001-Date, based on the original work by Chester L. Krause y Clifford Mishler, 2nd edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2009): 2009 Standard Catalog of World Coins, 1901-2000, based on the original work by Chester L. Krause y Clifford Mishler, 36th edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2009): 2009 Standard Catalog of World Coins, 2001-Date, based on the original work by Chester L. Krause y Clifford Mishler, 3rd edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2010): 2010 Standard Catalog of World Coins, 1901-2000, based on the original work by Chester L. Krause y Clifford Mishler, 37th edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2010): 2010 Standard Catalog of World Coins, 2001-Date, based on the original work by Chester L. Krause y Clifford Mishler, 4th edition, KP, USA.
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COCA PÉREZ, J.L. (2001a): La inversión en bienes tangibles de colección, cien preguntas clave y sus repuestas, Dykinson, Madrid.
COCA PÉREZ, J.L. (2001b): “La inversión en filatelia: organización del mercado y agentes Participantes”; Revista Europea de Dirección y Economía de la Empresa, Vol.10, Nº 4, pp.21-28.
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DICKIE, M.; DELORME Jr., C.D. y HUMPHREYS, J.M. (1994): “Price Determination for a Collectible Good: The Case of Rare U.S. Coins”, Southern Economic Journal, Vol. 61, Nº 1, pp. 40-51.
ELTON, E.J.; GRUBER, M.J. y PADBERG, M.W. (1976): “Simple criteria for optimal portfolio selection” The Journal of Finance, Nº 31, pp. 1341-1357.
ELTON, E.J.; GRUBER, M.J. y PADBERG, M.W. (1978): “Simple criteria for optimal portfolio selection: tracing out the efficient frontier” The Journal of Finance, Nº 33, pp. 296-302.
FLÔRES Jr., R.G.; GINSBURGH, V. y JEANFILS, P. (1999): “Long- and Short-Term Portfolio Choices of Paintings”, Journal of Cultural Economics, Vol. 23, pp. 193-210.
FRANKFURTER, G.M. y PHILLIPS, H.E. (1995): Forty years of normative portfolio theory: Isuess, controversies and misconceptions, JAI Press, USA.
JEFFREY, M.C. (2000): “Silver, Platinum & Palladium Market & Outlook”, CPM Group Report, CPM Group, USA.
KITCO METALS INC., Precious Metal Database: http://www.kitco.com/, (octubre 2009).
KNAUS, G. (2006): “Rare coins: The new value investment?”, Numismatic Investments Corp. Report, Numismatic Investments Corp., http://www.coinportfolios.com/index.html, (octubre 2008).
KONNO, H. y YAMAZAKI, H. (1992): “Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market” Management Science, Nº 39, pp. 519-531.
KRAUSE, C.L. y MISHLER, C. (2003): 2003 Standard Catalog of World Coins, 1901-Present, 30st edition, KP, USA.
KRAUSE, C.L. y MISHLER, C. (2003): Standard Catalog of World Coins: World Coin Listing by Date and Mint, 16ª Century edition, KP, USA.
KRAUSE, C.L. y MISHLER, C. (2004): 2004 Standard Catalog of World Coins, 1901-Present, 31st edition, KP, USA.
KRAUSE, C.L. y MISHLER, C. (2004): Standard Catalog of World Coins: World Coin Listing by Date and Mint, 17ª Century edition, KP, USA.
KRAUSE, C.L. y MISHLER, C. (2005): 2005 Standard Catalog of World Coins, 1901-Present, 32 edition, KP, USA.
KRAUSE, C.L. y MISHLER, C. (2005): Standard Catalog of World Coins: World Coin Listing by Date and Mint, 18ª Century edition, KP, USA.
KRAUSE, C.L. y MISHLER, C. (2006): Standard Catalog of World Coins: World Coin Listing by Date and Mint, 19ª Century edition, KP, USA.
LEY 43/2007, de 13 de diciembre, de protección de los consumidores en la contratación de bienes con oferta de restitución del precio, (BOE, Nº 299, de 14 de diciembre).
LOMBRA, R.E. (2003): The Investment Performance of Rare U.S. Coins, PhD, Penn State University, Pennsylvania, USA.
LOMBRA, R.E. (2004): “Managing Portfolio Risk: The Role of Rare Coins”, Penn State University & U.S. Tangible Investment Corporation Working Paper, United States.
LÓPEZ, F. y HURTADO, R. (2008): Inversiones alternativas: otras formas de gestionar la rentabilidad, Editorial Especial Directivos, Madrid.
McANDREW, C. (2008): “The International Art Market, A Survey of Europe in a Global Context” The European Fine Art Foundation Report, TEFAF. Maastricht.
MARKOWITZ, H. (1952): “Portfolio Selection”, Journal of Finance, Vol. 7, Nº 1, pp. 77–91.
MARKOWITZ, H. (1959): Portfolio Selection: Efficient diversification of investments, John Wilwy & Sons, New York.
MEI J. y MOSES M.A. (2002): “Art as an Investment and the Underperformance of Masterpieces”, American Economic Review, Vol. 92, Nº 5, pp. 1656–1668.
MEI, J. y MOSES, M.A. (2005): “Vested Interest and Biased Price Estimates: Evidence from an Auction Market”, The Journal of Finance. Vol. 60, No5, pp. 2409-2435.
MENDIZÁBAL, A.; MIERA, L.M. y ZUBIA, M. (2002): “El modelo de Markowitz en la gestión de carteras”, Cuadernos de Gestión, Vol. 2, Nº 1, pp. 33-46.
MICHAUD, R.O. (1989): “The Markowitz optimization enigma: Is ‘optimized’ optimal?”, Financial Analyst Journal, Nº 45, pp.31-42.
PRADO, C.; BLANCO, A. y CONCEJO, A. (2007): El Mercado de los bienes tangibles de colección: especial consideración a la numismática de inversión, SPURJC, Dykinson, Madrid.
PRADO, C. (2009): Factores determinantes en la valoración de los activos numismáticos de oro, Tesis Doctoral, Universidad Rey Juan Carlos, Madrid.
RANDALL, M. R. (1981): “Investment Planning in an Inflationary Environment”, Financial Analysts Journal, pp. 68–71.
ROLL, R. (1992): “A mean/variance analysis to tracking error”, The Journal of Portfolio Management, Nº 18, pp. 13-23.
SALOMON Jr., R.S. y LENNOX, M. J. (1984): Financial Assets-A Temporary Setback, Stock Research Investment Policy, Salomon Brothers Inc., United States.
SICONOLFI, M. (1990): “Rare-Coin Dealers Call Summit on Self-Regulation”, The Wall Street Journal, 24-08-1990, pp. A7.
SIMAAN, Y. (1997): “Estimation risk in portfolio selection: the mean variance model versus the mean absolute deviation model”, Management Science, Nº 43, pp. 1437-1446.
SHARPE, W. F. (1963): “A simplified Model for Portfolio Analysis”, Management Science, Vol. IX, Nº 2, pp. 277–293.
SHARPE, W. F. (1964): “Capital asset prices: a theory of market equilibrium under conditions of risk”, The Journal of Finance, Vol. XIX, Nº 3, pp. 425-442.
SHARPE, W. F. (1966): “Mutual fund performance”, Journal of Business, Nº 39, pp. 119-138.
SHARPE, W.F. y ALEXANDER, G.J. (1990): Investments, Prentice-Hall International Editions, fourth edition, United States, pp. 786-788. (First edition in 1978).
SOLNIK, B. H. (1974): “An Equilibrium Model of the International Capital Market”, Journal of Economic Theory, Vol. 8, pp. 500–524.
BERMAN, N.S. y SCHULMAN, H.M.F. (1986): The Investor’s Guide to United States Coins, Coins and Currency Institute, United States of America.
BOLSA Y MERCADOS ESPAÑOLES, ABANTE Y CINCO DÍAS (2007): Guía práctica de inversión, Biblioteca empresarial Cinco Días, Madrid.
BROWN, R.A. (2005): “Rare Coins: A Distinct and Attractive Asset Class”, Journal of Financial Planning, http://www.fpanet.org/journal/BetweenTheIssues/Contributions/080105.cfm, (mayo 2009).
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2006): 2006 Standard Catalog of World Coins, based on the original work by Chester L. Krause y Clifford Mishler, 33rd edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2007): 2007 Standard Catalog of World Coins, 1901-2000, based on the original work by Chester L. Krause y Clifford Mishler, 34th edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2007): 2007 Standard Catalog of World Coins, 2001-Date, based on the original work by Chester L. Krause y Clifford Mishler, 1st edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2008): 2008 Standard Catalog of World Coins, 1901-2000, based on the original work by Chester L. Krause y Clifford Mishler, 35th edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2008): 2008 Standard Catalog of World Coins, 2001-Date, based on the original work by Chester L. Krause y Clifford Mishler, 2nd edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2009): 2009 Standard Catalog of World Coins, 1901-2000, based on the original work by Chester L. Krause y Clifford Mishler, 36th edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2009): 2009 Standard Catalog of World Coins, 2001-Date, based on the original work by Chester L. Krause y Clifford Mishler, 3rd edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2010): 2010 Standard Catalog of World Coins, 1901-2000, based on the original work by Chester L. Krause y Clifford Mishler, 37th edition, KP, USA.
BRUCE, I.I.; COLIN, R. y THOMAS, M. (2010): 2010 Standard Catalog of World Coins, 2001-Date, based on the original work by Chester L. Krause y Clifford Mishler, 4th edition, KP, USA.
BURGESS, R.C. y BEY, R.P. (1998): “Optimal portfolios: Markowitz full covariance versus simple selection rules”, The Journal of Financial Research, Vol. XI, pp. 153-163.
CAPGEMINI y MERRILL LYNCH (2007): World Wealth Report, 2007.
COCA PÉREZ, J.L. (1998): Análisis del mercado financiero de bienes tangibles: El caso particular de la filatelia financiera, Tesis Doctoral, Universidad Complutense de Madrid, Madrid.
COCA PÉREZ, J.L. (2001a): La inversión en bienes tangibles de colección, cien preguntas clave y sus repuestas, Dykinson, Madrid.
COCA PÉREZ, J.L. (2001b): “La inversión en filatelia: organización del mercado y agentes Participantes”; Revista Europea de Dirección y Economía de la Empresa, Vol.10, Nº 4, pp.21-28.
COIN WORLD INC., www.coinworld.com, (enero 2008).
DE LA POZA, E.; GUADALAJARA, N. y MOYA, I. (2008): “Portfolio Management with Art Assets”, BRY Building Bridges in a Global Economy, Publication of IABD & AEDEM, Vol. 15, Nº 3, pp. 20-26.
DICKIE, M.; DELORME Jr., C.D. y HUMPHREYS, J.M. (1994): “Price Determination for a Collectible Good: The Case of Rare U.S. Coins”, Southern Economic Journal, Vol. 61, Nº 1, pp. 40-51.
ELTON, E.J.; GRUBER, M.J. y PADBERG, M.W. (1976): “Simple criteria for optimal portfolio selection” The Journal of Finance, Nº 31, pp. 1341-1357.
ELTON, E.J.; GRUBER, M.J. y PADBERG, M.W. (1978): “Simple criteria for optimal portfolio selection: tracing out the efficient frontier” The Journal of Finance, Nº 33, pp. 296-302.
FLÔRES Jr., R.G.; GINSBURGH, V. y JEANFILS, P. (1999): “Long- and Short-Term Portfolio Choices of Paintings”, Journal of Cultural Economics, Vol. 23, pp. 193-210.
FRANKFURTER, G.M. y PHILLIPS, H.E. (1995): Forty years of normative portfolio theory: Isuess, controversies and misconceptions, JAI Press, USA.
JEFFREY, M.C. (2000): “Silver, Platinum & Palladium Market & Outlook”, CPM Group Report, CPM Group, USA.
KITCO METALS INC., Precious Metal Database: http://www.kitco.com/, (octubre 2009).
KNAUS, G. (2006): “Rare coins: The new value investment?”, Numismatic Investments Corp. Report, Numismatic Investments Corp., http://www.coinportfolios.com/index.html, (octubre 2008).
KONNO, H. y YAMAZAKI, H. (1992): “Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market” Management Science, Nº 39, pp. 519-531.
KRAUSE, C.L. y MISHLER, C. (2003): 2003 Standard Catalog of World Coins, 1901-Present, 30st edition, KP, USA.
KRAUSE, C.L. y MISHLER, C. (2003): Standard Catalog of World Coins: World Coin Listing by Date and Mint, 16ª Century edition, KP, USA.
KRAUSE, C.L. y MISHLER, C. (2004): 2004 Standard Catalog of World Coins, 1901-Present, 31st edition, KP, USA.
KRAUSE, C.L. y MISHLER, C. (2004): Standard Catalog of World Coins: World Coin Listing by Date and Mint, 17ª Century edition, KP, USA.
KRAUSE, C.L. y MISHLER, C. (2005): 2005 Standard Catalog of World Coins, 1901-Present, 32 edition, KP, USA.
KRAUSE, C.L. y MISHLER, C. (2005): Standard Catalog of World Coins: World Coin Listing by Date and Mint, 18ª Century edition, KP, USA.
KRAUSE, C.L. y MISHLER, C. (2006): Standard Catalog of World Coins: World Coin Listing by Date and Mint, 19ª Century edition, KP, USA.
LEY 43/2007, de 13 de diciembre, de protección de los consumidores en la contratación de bienes con oferta de restitución del precio, (BOE, Nº 299, de 14 de diciembre).
LOMBRA, R.E. (2003): The Investment Performance of Rare U.S. Coins, PhD, Penn State University, Pennsylvania, USA.
LOMBRA, R.E. (2004): “Managing Portfolio Risk: The Role of Rare Coins”, Penn State University & U.S. Tangible Investment Corporation Working Paper, United States.
LÓPEZ, F. y HURTADO, R. (2008): Inversiones alternativas: otras formas de gestionar la rentabilidad, Editorial Especial Directivos, Madrid.
McANDREW, C. (2008): “The International Art Market, A Survey of Europe in a Global Context” The European Fine Art Foundation Report, TEFAF. Maastricht.
MARKOWITZ, H. (1952): “Portfolio Selection”, Journal of Finance, Vol. 7, Nº 1, pp. 77–91.
MARKOWITZ, H. (1959): Portfolio Selection: Efficient diversification of investments, John Wilwy & Sons, New York.
MEI J. y MOSES M.A. (2002): “Art as an Investment and the Underperformance of Masterpieces”, American Economic Review, Vol. 92, Nº 5, pp. 1656–1668.
MEI, J. y MOSES, M.A. (2005): “Vested Interest and Biased Price Estimates: Evidence from an Auction Market”, The Journal of Finance. Vol. 60, No5, pp. 2409-2435.
MENDIZÁBAL, A.; MIERA, L.M. y ZUBIA, M. (2002): “El modelo de Markowitz en la gestión de carteras”, Cuadernos de Gestión, Vol. 2, Nº 1, pp. 33-46.
MICHAUD, R.O. (1989): “The Markowitz optimization enigma: Is ‘optimized’ optimal?”, Financial Analyst Journal, Nº 45, pp.31-42.
PRADO, C.; BLANCO, A. y CONCEJO, A. (2007): El Mercado de los bienes tangibles de colección: especial consideración a la numismática de inversión, SPURJC, Dykinson, Madrid.
PRADO, C. (2009): Factores determinantes en la valoración de los activos numismáticos de oro, Tesis Doctoral, Universidad Rey Juan Carlos, Madrid.
RANDALL, M. R. (1981): “Investment Planning in an Inflationary Environment”, Financial Analysts Journal, pp. 68–71.
ROLL, R. (1992): “A mean/variance analysis to tracking error”, The Journal of Portfolio Management, Nº 18, pp. 13-23.
SALOMON Jr., R.S. y LENNOX, M. J. (1984): Financial Assets-A Temporary Setback, Stock Research Investment Policy, Salomon Brothers Inc., United States.
SICONOLFI, M. (1990): “Rare-Coin Dealers Call Summit on Self-Regulation”, The Wall Street Journal, 24-08-1990, pp. A7.
SIMAAN, Y. (1997): “Estimation risk in portfolio selection: the mean variance model versus the mean absolute deviation model”, Management Science, Nº 43, pp. 1437-1446.
SHARPE, W. F. (1963): “A simplified Model for Portfolio Analysis”, Management Science, Vol. IX, Nº 2, pp. 277–293.
SHARPE, W. F. (1964): “Capital asset prices: a theory of market equilibrium under conditions of risk”, The Journal of Finance, Vol. XIX, Nº 3, pp. 425-442.
SHARPE, W. F. (1966): “Mutual fund performance”, Journal of Business, Nº 39, pp. 119-138.
SHARPE, W.F. y ALEXANDER, G.J. (1990): Investments, Prentice-Hall International Editions, fourth edition, United States, pp. 786-788. (First edition in 1978).
SOLNIK, B. H. (1974): “An Equilibrium Model of the International Capital Market”, Journal of Economic Theory, Vol. 8, pp. 500–524.
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