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Do REITs outperform stocks and fixed-income assets? : new evidence from mean-variance and stochastic dominance approaches
Chiang, Thomas C.; Hooi Hooi Lean; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 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 to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is …
Persistent link: https://www.econbiz.de/10011556251
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Do recent stochastic tools help to better understand investors' preference and asset allocation?
Ciupac-Ulici, Maria-Lenuţa; Gherman, Mircea-Cristian; … - In: The journal of applied business research 30 (2014) 5, pp. 1449-1456
Persistent link: https://www.econbiz.de/10010470517
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Risk preferences, investor sentiment and lottery stocks : a stochastic dominance approach
Fong, Wai-mun - In: The journal of behavioral finance : a publication of … 14 (2013) 1, pp. 42-52
Persistent link: https://www.econbiz.de/10009744996
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Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference
Chang, Hao; Wang, Chunfeng; Fang, Zhenming; Ma, Dan - In: IMA journal of management mathematics 31 (2020) 2, pp. 167-189
Persistent link: https://www.econbiz.de/10012181853
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A dynamic mean-variance analysis for log returns
Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1093-1108
Persistent link: https://www.econbiz.de/10012505370
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Portfolio choices : comparative statics under both expected return and volatility uncertainty
Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035
Persistent link: https://www.econbiz.de/10012515634
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The possibilities and consequences of investment decisions by stepwise optimization
Okunevičiūtė Neverauskienė, Laima; … - In: Economic research 35 (2022) 1,1, pp. 1061-1087
Persistent link: https://www.econbiz.de/10014374968
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Stochastic dominance and risk measure : a decision-theoretic foundation for VaR and C-VaR
Ma, Chenghu; Wong, Wing Keung - In: European journal of operational research : EJOR 207 (2010) 2, pp. 927-935
Persistent link: https://www.econbiz.de/10008652647
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Almost expectation and excess dependence notions
Denuit, Michel; Huang, Rachel J.; Tzeng, Larry Y. - In: Theory and decision : an international journal for … 79 (2015) 3, pp. 375-401
Persistent link: https://www.econbiz.de/10011377445
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Robustness of optimal portfolios under risk and stochastic dominance constraints
Dupačová, Jitka; Kopam, Milos̆ - In: European journal of operational research : EJOR 234 (2014) 2, pp. 434-441
Persistent link: https://www.econbiz.de/10010356735