Real estate portfolio diversification takes many forms, most of which can be associated with size (value). Larger portfolios are assumed to have greater diversification potential than small portfolios. In addition, since greater diversification is generally associated with lower risk it is...

Data depth provides a natural means to rank multivariate vectors with respect to an underlying multivariate distribution. Most existing depth functions emphasize a centre-outward ordering of data points, which may not provide a useful geometric representation of certain distributional features,...

Consider a linear regression model subject to an error distribution which is symmetric about 0 and varies regularly at 0 with exponent ζ. We propose two estimators of ζ, which characterizes the central shape of the error distribution. Both methods are motivated by the well-known Hill...

Recent evidence has suggested a strong relationship between Equity Real Estate Investment Trust (REIT) and value stocks. This article examines in depth not only the similarities in performance sectors but also the driving forces in the two sectors and the extent to which they are substitutable....

There is remarkably little empirical evidence of the advantages of increased size on risk levels in real estate portfolios based on actual portfolios. This paper improves this by examining the portfolio risk of a large sample of actual real estate data in the UK over the period from 1981 to...