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http://dx.doi.org/10.5392/JKCA.2022.22.10.691

A Study on Diversification Effect of Investment Portfolio with Non-financial Asset - Based on Music Royalties Fractional Investment  

Chung, Inyoung (동국대학교 일반대학원 핀테크블록체인학과)
Lee, Won-Boo (동국대학교 일반대학원 핀테크블록체인학과)
Publication Information
The Journal of the Korea Contents Association / v.22, no.10, 2022 , pp. 691-702 More about this Journal
Abstract
This study verifies the diversification effect when non-financial asset such as fractional music royalties investment which is recently get interest from masses, is included in traditional global asset allocation portfolio. From Jan 2019 when Music Royalties index is announced to Jun 2022, compared traditional global asset allocation portfolio and the portfolio included with music royalties. To eliminate the enhancement effect from portfolio strategy itself rather than including non-financial asset, used the four basic portfolio strategy such as buy & hold, constant rebalanced, mean variance, risk parity. As a result, all the portfolios included with music royalties shows less risk with higher returns. This means the sharpe ratio has enhanced and that results the portfolio diversification effect is placed. The empirical analysis of the study found academic significance in that the portfolio included with music royalties investment has diversification effect, and show the possibilities the not only on the music royalties, other non-financial asset can be shown the portfolio diversification effect.
Keywords
Fractional Investment; Non-financial Asset; Portfolio Diversification Effect; Music Royalties;
Citations & Related Records
Times Cited By KSCI : 3  (Citation Analysis)
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