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1	The Risk-Return Characteristics and Diversification Benefits of Fine Wine Investment Salomon, Tania 01 January 2017 (has links) This thesis evaluates the risk-return characteristics and diversification benefits of fine wine investment. It compares the historical performance of wine to that of equity, fixed income, real estate, and commodities. I calculate the correlation, volatility, and expected returns of these assets to examine whether adding wine to a portfolio increases its risk-adjusted return. I do this through the Markowitz portfolio optimization technique. The findings suggest that wine has a low correlation with traditional assets, providing diversification benefits. My results also show that adding wine to a portfolio increases its risk-adjusted return only when there is an allocation constraint of 0 to 25% per asset. This does not hold, however, when there are no asset allocation constraints. wine fine wine portfolio management wine investment diversification benefits diversification Business and Corporate Communications Corporate Finance E-Commerce Finance and Financial Management International Business Portfolio and Security Analysis