Non-normality of market returns: A framework for asset allocation decision making

AZ Sheikh, H Qiao - The Journal of Alternative Investments, 2009 - jai.pm-research.com
When market stress and disruptions hit portfolios especially hard, it is natural for investors to
ask if anything could have been done differently. The turmoil of 2007–2009 is just one …

Illiquidity, transaction cost, and optimal holding period for real estate: Theory and application

P Cheng, Z Lin, Y Liu - Journal of Housing Economics, 2010 - Elsevier
Choosing the optimal holding period is an important part of real estate investment decisions,
because “when to sell” affects “whether to buy”. This paper presents a theoretical model for …

Liquidity and portfolio choice: A unified approach

W Kinlaw, M Kritzman… - The Journal of Portfolio …, 2013 - jpm.pm-research.com
The authors propose a simple analytical construct for incorporating liquidity into portfolio
choice. In cases where investors deploy liquidity to raise a portfolio's expected utility beyond …

Assessing and managing risk in institutional real estate investing

R Kaiser, J Clayton - Journal of real estate portfolio management, 2008 - Taylor & Francis
In the current environment, investors are increasingly asking: does real estate offer enough
return to warrant the risk? In particular, do investors really understand the increased risk they …

Designing property futures contracts and options based on NCREIF property indices

P Lecomte, W McIntosh - Journal of Real Estate Portfolio …, 2006 - Taylor & Francis
Due to the heterogeneous nature of real estate assets, as well as the difficulty in selecting a
reliable and representative underlying index, real estate markets are the last of the major …

Explaining timberland values in the United States

ME Aronow, CS Binkley, CL Washburn - Journal of Forestry, 2004 - academic.oup.com
The financial fortunes of timberland investors ultimately depend on conditions in markets for
timberland properties. The behavior of timberland markets, however, is not well understood …

[BOOK][B] Performance of REITs: a sector-and company-based analysis of links and time lags between real estate market cycles, earnings, and pricing of REITs

T Pfeffer - 2009 - epub.uni-regensburg.de
The cyclical nature of real estate markets poses challenges for both real estate professionals
and academia. In light of the recent financial turmoil, the question of to what extent the stock …

Mean‐variance analysis with REITs in mixed asset portfolios: The return interval and the time period used for the estimation of inputs

D Waggle, G Moon - Managerial Finance, 2006 - emerald.com
Purpose–Aims to test to determine whether the selection of the historical return time interval
(monthly, quarterly, semiannual, or annual) used for calculating real estate investment trust …

Aligning asset allocation and real estate investment: some lessons from the last cycle

P Kennedy, A Baum - 2012 - centaur.reading.ac.uk
Asset allocation is concerned with the development of multi--‐asset portfolio strategies that
are likely to meet an investor's objectives based on the interaction of expected returns, risk …

How Risky Are Illiquid Investments?

V Budhraja, RJP de Figueiredo Jr - The Journal of Portfolio …, 2005 - pm-research.com
One common approach is to use proxies for these asset classes. Recognizing that the data
are flawed, this approach suggests using proxies such as real estate investment trusts for …