Using a Bootstrap to Measure Optimum Mixed‐Asset Portfolio Composition

Alan J. Ziobrowski, Ping Cheng and Brigitte J. Ziobrowski

Real Estate Economics, 1997, vol. 25, issue 4, 695-705

Abstract: Liang, Myer and Webb (1996) have offered bootstrap simulation as a tool for quantifying the uncertainty in the optimum composition of portfolios. Unfortunately, the confidence intervals produced were so large, they were unable to provide any new insight to the question, “How Much in Real Estate?”. In this comment, adjustments have been made to the methodology they proposed and as a result have produced findings which lead to very different conclusions. More specifically, the results suggest that investors with a low risk preference should hold very little real estate.

Date: 1997
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/1540-6229.00734

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:reesec:v:25:y:1997:i:4:p:695-705

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1080-8620

Access Statistics for this article

Real Estate Economics is currently edited by Crocker Liu, N. Edward Coulson and Walter Torous

More articles in Real Estate Economics from American Real Estate and Urban Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().