Bayes-Stein Estimatorsand International Real Estate Asset Allocation

Simon Stevenson

Journal of Real Estate Research, 2001, vol. 21, issue 1-2, 89-104

Abstract: This article is the winner of the International Real Estate Investment/Portfolio Management manuscript prize (sponsored by LaSalle Investment Management) presented at the 2000 American Real Estate Society Annual Meeting.This article re-examines the issue of international diversification in real estate securities and attempts to address the problem of estimation error in the inputted parameters through the use of alternative techniques. The results see an increased stability in calculated portfolio allocations in comparison to the classical mean-variance tangency approach, and see significant improvements in out-of-sample performance. In addition, the minimum variance portfolio significantly outperforms a naive equally-weighted strategy. These results are also largely consistent when transaction costs are incorporated into the analysis.

Date: 2001
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/10835547.2001.12091047 (text/html)
Access to full text is restricted to subscribers.

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:taf:rjerxx:v:21:y:2001:i:1-2:p:89-104

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rjer20

DOI: 10.1080/10835547.2001.12091047

Access Statistics for this article

Journal of Real Estate Research is currently edited by William Hardin and Michael Seiler

More articles in Journal of Real Estate Research from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().