marktportefeuille

The marktportefeuille, or market portfolio, is a theoretical construct in modern portfolio theory and the Capital Asset Pricing Model (CAPM). It represents the aggregate portfolio of all investable assets weighted by their market values. In essence, it embodies the overall risk and return of the entire market, and serves as a benchmark for evaluating individual assets and portfolios.

In practice, the marktportefeuille is used as a reference that combines all risky assets with a risk-free asset to form the capital market line. The market portfolio itself is assumed to have the highest degree of diversification and to carry the market’s systematic risk, measured by beta. An asset’s expected return under CAPM is determined by its beta relative to the marktportefeuille and the expected excess return of the market portfolio.

Composition and proxies: since no single investable portfolio truly includes every asset, in practice investors use broad market indices as proxies. Examples include global or regional stock indices, and sometimes combined indices that include bonds and other asset classes. The exact composition of the proxy depends on the scope of “all investable assets,” which in theory would include equities, bonds, real estate, commodities, and other tradable assets, weighted by market value.

Significance and limitations: the marktportefeuille is a theoretical benchmark that underpins the CAPM’s prediction of asset pricing and the relationship between expected return and systematic risk. In real markets, the choice of proxy introduces estimation error and can diverge from the ideal market portfolio due to liquidity, accessibility, and inclusion criteria.

Origin: the concept builds on Harry Markowitz’s modern portfolio theory and was developed further by Sharpe, Lintner, and Mossin in CAPM.