We calculate the ex-post portfolio performance for an investor who diversifies among stocks, bonds, REITS and cash. Simulations are performed for two alternative asset allocation frameworks – classical and Bayesian - and for scenarios involving two different samples and six different investment horizons. Interestingly, the ex-post welfare cost of restricting portfolio choices to traditional financial assets only is found to be positive in all scenarios for a Bayesian investor. On the contrary, substitution of E-REITS for stocks in optimal portfolios turns out to reduce ex-post portfolio performance over the nineties for a Classical investor

Diversifying in Public Real Estate: the Ex-Post Performance

FUGAZZA, Carolina;NICODANO, Giovanna
2007-01-01

Abstract

We calculate the ex-post portfolio performance for an investor who diversifies among stocks, bonds, REITS and cash. Simulations are performed for two alternative asset allocation frameworks – classical and Bayesian - and for scenarios involving two different samples and six different investment horizons. Interestingly, the ex-post welfare cost of restricting portfolio choices to traditional financial assets only is found to be positive in all scenarios for a Bayesian investor. On the contrary, substitution of E-REITS for stocks in optimal portfolios turns out to reduce ex-post portfolio performance over the nineties for a Classical investor
8(6)
361
373
optimal asset allocation; real estate; parameter uncertainty; out-of-sample performance
FUGAZZA C; GUIDOLIN M; NICODANO G.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/22809
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