Modern Portfolio Diversification with Arte-Blue Chip Index

ArXiv ID: 2409.18816 “View on arXiv”

Authors: Unknown

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.

Keywords: Arte-Blue Chip Index, portfolio diversification, risk-adjusted returns, asset allocation, art markets, Art (Blue-chip art)

Complexity vs Empirical Score

• Math Complexity: 3.5/10
• Empirical Rigor: 8.5/10
• Quadrant: Street Traders
• Why: The paper’s math is moderate, primarily using standard portfolio optimization and return calculations, while its empirical rigor is high, evidenced by a large, detailed dataset (81,891 transactions), real-world portfolio simulations, and concrete performance metrics like Sharpe ratios and volatility comparisons.

  flowchart TD
    A["Research Goal:<br>Is blue-chip art a viable asset<br>for portfolio diversification?"] --> B["Methodology:<br>Create Arte-Blue Chip Index<br>Track 100 top-performing artists"]
    
    B --> C["Data Inputs:<br>81,891 transactions<br>157 artists, 584 auction houses<br>1990-2024"]
    
    C --> D["Computational Process:<br>1. Index construction &<br>   price trend analysis<br>2. Compare with stock markets<br>3. Portfolio optimization"]
    
    D --> E["Key Findings:<br>• 20% art allocation boosts<br>   risk-adjusted returns by ~20%<br>• Volatility similar to S&P 500<br>• Blue-chip art = viable<br>   diversification asset"]