The market portfolio, in theory, is a simple concept. Buy and hold everything in market-value weights. But the road from concept to implementation is rocky. Some asset classes are relatively illiquid and therefore difficult to own directly. There’s also debate about how to estimate weights. Minds, in other words, will differ on devising a market portfolio benchmark for use in investment analytics and/or real-world investing. And now there’s one more perspective to consider thanks to the arrival of a new entry in this niche: “Historical Returns of the Market Portfolio” by Ronald Doeswijk, an independent researcher, and two co-authors.
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