Historical Portfolio Optimization: Domestic REITs

W. Brent Lindquist, Svetlozar T. Rachev, Yuan Hu and Abootaleb Shirvani
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W. Brent Lindquist: Texas Tech University
Svetlozar T. Rachev: Texas Tech University
Yuan Hu: University of California San Diego
Abootaleb Shirvani: Kean University

Chapter Chapter 4 in Advanced REIT Portfolio Optimization, 2022, pp 49-72 from Springer

Abstract: Abstract This chapter introduces a suite of optimized domestic REIT-based portfolios to be considered as models for either REIT-based indices or ETFs. They serve as representative prototypes of strategies implemented by institutional investment managers of actively managed portfolios. The different risk–return profiles presented by the prototype portfolios serve as asset-allocation tools for accommodating various market environments and risk tolerances. Prototypes are developed for optimizations based on mean variance and conditional value-at-risk. Turnover constraints, as a proxy for controlling transaction cost are introduced, as are several reward-to-risk measures. The cumulative price and reward-to-risk measure performance of these prototypes are compared extensively under various strategies, specifically long-only investing, two variations of long–short investing, and momentum investing.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-031-15286-3_4

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DOI: 10.1007/978-3-031-15286-3_4

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