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Exploiting property characteristics in commercial real estate portfolio allocation
Plazzi, Alberto; Torous, Walter N.; Valkanov, Rossen I. - 2011
We use a parametric portfolio approach to estimate optimal commercial real estate portfolio policies. We do so using the NCREIF data set of commercial properties over the sample period 1984:Q2 to 2009:Q1. The richness of this extensive data set and the flexibility of the parametric portfolio...
Persistent link: https://www.econbiz.de/10009009563
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Conditional skewness of stock market returns in developed and emerging markets and its economic fundamentals
Ghysels, Eric; Plazzi, Alberto; Valkanov, Rossen I. - 2011
: developed markets, emerging markets, the world, and separately 73 countries. We find that the conditional asymmetry of returns …
Persistent link: https://www.econbiz.de/10009009566