Analysis of portfolio diversification between REIT assets

DOI10.1016/J.CAM.2013.08.030MaRDI QIDQ2349613zbMATH OpenOpenAlexFDO

Authors Patrick Rees, A. Sevtap Selcuk-Kestel

Publication date 17 June 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2013.08.030

zbMATH Keywords

cointegrationmean-variance frontiersREITshort-run and long-run portfolio analysis

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Recommendations

• Corporate focus, residential assets, and the performance of French REITs
• Cointegration and long-run asset allocation
• Relationships between returns in EU equity markets in 2005--2016: implications for portfolio risk diversification
• Mean-variance portfolio selection of cointegrated assets
• Mixed-asset portfolio allocation under mean-reverting asset returns

Cites work

• Statistical analysis of cointegration vectors

Cited in

(3)

• Spillover effect and Granger causality investigation between China's stock market and international oil market: a dynamic multiscale approach
• Relationships between returns in EU equity markets in 2005--2016: implications for portfolio risk diversification
• Corporate focus, residential assets, and the performance of French REITs

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