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




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.

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  • 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

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    References listed on IDEAS

    1. 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.
    2. John H. Cochrane, 2011. "Presidential Address: Discount Rates," Journal of Finance, American Finance Association, vol. 66(4), pages 1047-1108, August.
    3. John H. Cochrane, 1999. "Portfolio advice of a multifactor world," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 59-78.
    4. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," Review of Economic Studies, Oxford University Press, vol. 25(2), pages 65-86.
    5. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    6. 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.
    7. Sharpe, William F., 1974. "Imputing Expected Security Returns from Portfolio Composition," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(03), pages 463-472, June.
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