Abstract
This paper explores the investment returns and asset allocation effect of Chinese mainland artworks. The results show that art in mainland China is characterized by "high return and high risk" and has a low correlation with traditional financial assets. Additionally, this study illustrates how Chinese mainland artworks favorably affect the asset distribution in portfolios at both local and global levels, enhancing their efficient frontier. This conclusion still holds after sensitivity analysis and robust optimization. Furthermore, we also reveal differences in the asset allocation effect across art categories, with the conclusions of this paper driven mainly by modern and masterpiece artworks.
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