Finding the new risk-free asset. An investigation of gold, wine and corporate bonds as alternatives to government bonds
This thesis sets out to find the risk-free asset. In the literature, this concept is often seen as a given and operationalized by government bond yields. This thesis first deconstructs the theoretical concept of the risk-free asset, then evaluates government bonds and gold, wine and corporate bonds as possible alternatives. Then these proxies are tested on their effectiveness in a theoretical model (CAPM) and their functioning in a Markowitz-inspired portfolio. The main finding is that corporate bonds pose as a promising alternative to government bonds as operationalization of the risk-free asset.
Faculteit der Managementwetenschappen