NASDAQ REITs and Optimal Investment Policy: Evidence from 1995 to 2005

Sean Salter

Journal of Real Estate Portfolio Management, 2006, vol. 12, issue 3, 201-207

Abstract: Executive Summary.Naive and scientific strategies for portfolio management are presented and are tested empirically using NASDAQ-listed real estate investment trusts. Using standard portfolio techniques, scientific strategies such as Markowitz optimization and stochastic dominance are shown to produce better results on a risk-adjusted basis than naive strategies do. Stochastic dominance is shown to produce the greatest growth in capital on a non-risk-adjusted basis.

Date: 2006
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DOI: 10.1080/10835547.2006.12089744

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