Abstract This thesis analyzes the international art market as an alternative kind of the classical investment assets (stocks,bonds, real estate assets…) for the period of time between 1997-2006. The trend of the international art market is discussed by analyzing the turnover distribution by country and artistic category. Firstly, the different assets that compose the art market are analyzed by defining the determinants of prices in the market for each work of art. The variable Artist receives special attention. It is quantified through documental and digital sources of information, setting up two groups of variables: Netmetric variables and Bibliometric variables. By using these two groups of variables, it is possible to estimate the influence of the netmetric and bibliometric variables that effect the turnover of the art market. Secondly, an index of the international art market is built. This index lets the investor know the trend of the all international art market and not only the trend of a group of artists or an artistic movement. Also, the investor can predict its future trend in order to make his/her decisions of investment between the art market, Stock market and real estate market. Finally, once the return-risk characteristics of the different kind of assets are analyzed (works of art, stocks, and real estate properties) two propositions are tested: the first one states that a classical investor (an investor who trades with stocks or real estate market) maximizes his returns investing in portfolios combining art, stocks, and real estate assets in order to get higher returns with the same risk level that he would assume investing only in the Stock Market or Real Estate Market. The second states that an art investor reduces the high volatility of this class of assets diversifying his/her investments in stocks and real estate. In both hypotheses the Markowitz and Tobin models are applied.