Chiang, Thomas C.; Lean, Hooi Hooi; Wong, Wing-keung - In: Journal of Risk and Financial Management 1 (2008) 1, pp. 1-40
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...