The Role of Risk Measures Choices in Ranking Real Estate Funds: Evidence from the Italian Market

Claudio Giannotti and Gianluca Mattarocci

Chapter 10 in Asset Pricing, Real Estate and Public Finance over the Crisis, 2013, pp 165-189 from Palgrave Macmillan

Abstract: Abstract Return distribution of some financial instruments (like hedge funds) does not fit with the hypothesis of normality of returns and so, for those instruments, new and more complex Risk Adjusted Performance measures (hereinafter RAP) are proposed. The rankings based on these new measures are not always coherent with those defined using more simple ones and could show qualities (like a higher time persistence) that are desirable for an investor (Carretta and Mattarocci, 2008).

Keywords: Real Estate; Risk Measure; Hedge Fund; Excess Return; Return Distribution (search for similar items in EconPapers)
Date: 2013
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Working Paper: THE ROLE OF RISK MEASURESí CHOICES IN RANKING REAL ESTATE FUNDS: EVIDENCE FROM THE ITALIAN MARKET (2010)
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DOI: 10.1057/9781137293770_11

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