This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity...

This paper examines the impact of estimation errors on the financial portfolios optimization processes and investigates the controversy problem of the international and domestic optimal diversification strategies choice from an American investor’s point of view. We introduce the concept of...