Analysis of portfolio diversification between REIT assets

DOI10.1016/J.CAM.2013.08.030zbMath1314.91200OpenAlexW1989230710MaRDI QIDQ2349613

A. Sevtap Selcuk-Kestel, Patrick Rees

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)

Related Items (1)

Spillover effect and Granger causality investigation between China's stock market and international oil market: a dynamic multiscale approach

Cites Work

• Statistical analysis of cointegration vectors

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