Diversification when it hurts? The joint distributions of real estate and equity markets

Journal of Property Research

Volumn 22, Issue 4, 2005, Pages 309-323

  Knight, John ^a   Lizieri, Colin ^b   Satchell, Stephen ^c  

^a UNIVERSITY OF WESTERN ONTARIO   (Canada)

^b UNIVERSITY OF READING   (United Kingdom)

^c UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Copula; Portfolio diversification; Real estate; Tail dependence

Indexed keywords

EQUITY; INVESTMENT; MARKET; MODEL; STATISTICAL ANALYSIS;

EID: 33645845759     PISSN: 09599916     EISSN: 14664453     Source Type: Journal    
DOI: 10.1080/09599910600558520     Document Type: Article

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