메뉴 건너뛰기




Volumn 28, Issue 6, 2010, Pages 434-453

Downside risk optimization in securitized real estate markets

Author keywords

International trade; Portfolio investment; Real estate; Risk analysis

Indexed keywords


EID: 77957292134     PISSN: 1463578X     EISSN: None     Source Type: Journal    
DOI: 10.1108/14635781011080294     Document Type: Article
Times cited : (13)

References (38)
  • 1
    • 31144450867 scopus 로고
    • Optimal rules for ordering uncertain prospects
    • Bawa, V.S. (1975), "Optimal rules for ordering uncertain prospects" in Journal of Financial Economics, Vol. 2, No. 1, pp. 95-121.
    • (1975) Journal of Financial Economics , vol.2 , Issue.1 , pp. 95-121
    • Bawa, V.S.1
  • 2
    • 0141872444 scopus 로고    scopus 로고
    • Property, common stock, and property shares - increased potential for diversification
    • Brounen, D. and Eichholtz, P.M.A. (2003), "Property, common stock, and property shares - increased potential for diversification" in The Journal of Portfolio Management, Vol. 30, special issue, pp. 129-37.
    • (2003) The Journal of Portfolio Management , vol.30 , Issue.SPEC. ISSUE , pp. 129-137
    • Brounen, D.1    Eichholtz, P.M.A.2
  • 3
    • 14944343739 scopus 로고    scopus 로고
    • Comparing downside-risk and mean-variance analysis using bootstrap simulation
    • Cheng, P. (2001), "Comparing downside-risk and mean-variance analysis using bootstrap simulation" in Journal of Real Estate Portfolio Management, Vol. 7, No. 3, pp. 225-38.
    • (2001) Journal of Real Estate Portfolio Management , vol.7 , Issue.3 , pp. 225-238
    • Cheng, P.1
  • 4
    • 4444255404 scopus 로고    scopus 로고
    • MPT and the downside risk framework: A comment on two recent studies
    • Cheng, P. and Wolverton, M.L. (2001), "MPT and the downside risk framework: a comment on two recent studies" in Journal of Real Estate Portfolio Management, Vol. 7, No. 2, pp. 125-31.
    • (2001) Journal of Real Estate Portfolio Management , vol.7 , Issue.2 , pp. 125-131
    • Cheng, P.1    Wolverton, M.L.2
  • 5
    • 0004291281 scopus 로고    scopus 로고
    • Princeton University Press, Princeton, NJ
    • Cochrane, J. (2005), Asset Pricing, Princeton University Press, Princeton, NJ.
    • (2005) Asset Pricing
    • Cochrane, J.1
  • 7
    • 0010152713 scopus 로고    scopus 로고
    • The stability of the covariance of international property share returns
    • Eichholtz, P.M.A. (1996), "The stability of the covariance of international property share returns" in The Journal of Real Estate Research, Vol. 11, No. 2, pp. 149-58.
    • (1996) The Journal of Real Estate Research , vol.11 , Issue.2 , pp. 149-158
    • Eichholtz, P.M.A.1
  • 8
    • 77954648812 scopus 로고    scopus 로고
    • Mean-semivariance optimization: A heuristic approach
    • Estrada, J. (2008), "Mean-semivariance optimization: a heuristic approach" in Journal of Applied Finance, Vol. 18, No. 1, pp. 57-72.
    • (2008) Journal of Applied Finance , vol.18 , Issue.1 , pp. 57-72
    • Estrada, J.1
  • 9
    • 0000096680 scopus 로고
    • Mean-risk analysis with risk associated with below-target returns
    • Fishburn, P.C. (1977), "Mean-risk analysis with risk associated with below-target returns" in American Economic Review, Vol. 67, No. 2, pp. 116-26.
    • (1977) American Economic Review , vol.67 , Issue.2 , pp. 116-126
    • Fishburn, P.C.1
  • 10
    • 0002075975 scopus 로고
    • Asset allocation in a downside-risk framework
    • Harlow, W.V. (1991), "Asset allocation in a downside-risk framework" in Financial Analysts Journal, Vol. 47, No. 5, pp. 28-40.
    • (1991) Financial Analysts Journal , vol.47 , Issue.5 , pp. 28-40
    • Harlow, W.V.1
  • 11
    • 84974505682 scopus 로고
    • Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence
    • Harlow, W.V. and Rao, R.K.S. (1989), "Asset pricing in a generalized mean-lower partial moment framework: theory and evidence" in Journal of Financial and Quantitative Analysis, Vol. 24, No. 3, pp. 285-310.
    • (1989) Journal of Financial and Quantitative Analysis , vol.24 , Issue.3 , pp. 285-310
    • Harlow, W.V.1    Rao, R.K.S.2
  • 12
    • 84974509601 scopus 로고
    • Toward the development of an equilibrium capital-market model based on semivariance
    • Hogan, W.W. and Warren, J.M. (1974), "Toward the development of an equilibrium capital-market model based on semivariance" in Journal of Financial and Quantitative Analysis, Vol. 9, No. 1, pp. 1-11.
    • (1974) Journal of Financial and Quantitative Analysis , vol.9 , Issue.1 , pp. 1-11
    • Hogan, W.W.1    Warren, J.M.2
  • 13
    • 0002437730 scopus 로고
    • A test for normality of observations and regression residuals
    • Jarque, C.M. and Bera, A.K. (1987), "A test for normality of observations and regression residuals" in International Statistical Review, Vol. 55, No. 2, pp. 163-72.
    • (1987) International Statistical Review , vol.55 , Issue.2 , pp. 163-172
    • Jarque, C.M.1    Bera, A.K.2
  • 14
    • 0000662045 scopus 로고
    • International portfolio diversification with estimation risk
    • Jorion, P. (1985), "International portfolio diversification with estimation risk" in Journal of Business, Vol. 58, No. 3, pp. 259-78.
    • (1985) Journal of Business , vol.58 , Issue.3 , pp. 259-278
    • Jorion, P.1
  • 15
    • 84976184598 scopus 로고
    • Bayes-Stein estimation for portfolio analysis
    • Jorion, P. (1986), "Bayes-Stein estimation for portfolio analysis" in Journal of Financial and Quantitative Analysis, Vol. 21, No. 3, pp. 279-92.
    • (1986) Journal of Financial and Quantitative Analysis , vol.21 , Issue.3 , pp. 279-292
    • Jorion, P.1
  • 16
    • 38249029764 scopus 로고
    • Stability and forecasting of the comovement measures of international stock market returns
    • Kaplanis, E.C. (1988), "Stability and forecasting of the comovement measures of international stock market returns" in Journal of International Money and Finance, Vol. 7, No. 1, pp. 63-75.
    • (1988) Journal of International Money and Finance , vol.7 , Issue.1 , pp. 63-75
    • Kaplanis, E.C.1
  • 17
    • 33947259917 scopus 로고    scopus 로고
    • The historical performance of Singapore property stocks
    • Liow, K.H. (1997), "The historical performance of Singapore property stocks" in Journal of Property Finance, Vol. 8, No. 2, pp. 111-25.
    • (1997) Journal of Property Finance , vol.8 , Issue.2 , pp. 111-125
    • Liow, K.H.1
  • 18
    • 51249085164 scopus 로고    scopus 로고
    • Extreme returns and value at risk in international securitized real estate markets
    • Liow, K.H. (2008), "Extreme returns and value at risk in international securitized real estate markets" in Journal of Property Investment & Finance, Vol. 26, No. 5, pp. 418-46.
    • (2008) Journal of Property Investment & Finance , vol.26 , Issue.5 , pp. 418-446
    • Liow, K.H.1
  • 19
    • 0002525307 scopus 로고
    • Is the correlation in international equity returns constant: 1960-1990?
    • Longin, F. and Solnik, B.H. (1995), "Is the correlation in international equity returns constant: 1960-1990?" in Journal of International Money and Finance, Vol. 14, No. 1, pp. 3-26.
    • (1995) Journal of International Money and Finance , vol.14 , Issue.1 , pp. 3-26
    • Longin, F.1    Solnik, B.H.2
  • 20
    • 0009662024 scopus 로고    scopus 로고
    • Extreme correlation of international equity markets
    • Longin, F. and Solnik, B.H. (2001), "Extreme correlation of international equity markets" in The Journal of Finance, Vol. 56, No. 2, pp. 649-76.
    • (2001) The Journal of Finance , vol.56 , Issue.2 , pp. 649-676
    • Longin, F.1    Solnik, B.H.2
  • 21
    • 84995186518 scopus 로고
    • Portfolio selection
    • Markowitz, H.M. (1952), "Portfolio selection" in The Journal of Finance, Vol. 7, No. 1, pp. 77-91.
    • (1952) The Journal of Finance , vol.7 , Issue.1 , pp. 77-91
    • Markowitz, H.M.1
  • 23
    • 0038490396 scopus 로고    scopus 로고
    • International asset allocation with real estate securities in a shortfall risk framework: The viewpoint of German and US investors
    • Maurer, R. and Reiner, F. (2002), "International asset allocation with real estate securities in a shortfall risk framework: the viewpoint of German and US investors" in Journal of Real Estate Portfolio Management, Vol. 8, No. 1, pp. 27-43.
    • (2002) Journal of Real Estate Portfolio Management , vol.8 , Issue.1 , pp. 27-43
    • Maurer, R.1    Reiner, F.2
  • 24
    • 0001351864 scopus 로고
    • Optimal algorithms and lower partial moments: Ex post results
    • Nawrocki, D.N. (1991), "Optimal algorithms and lower partial moments: ex post results" in Applied Economics, Vol. 23, No. 3, pp. 465-70.
    • (1991) Applied Economics , vol.23 , Issue.3 , pp. 465-470
    • Nawrocki, D.N.1
  • 25
    • 0003083294 scopus 로고    scopus 로고
    • A brief history of downside risk measures
    • Nawrocki, D.N. (1999), "A brief history of downside risk measures" in Journal of Investing, Vol. 8, No. 3, pp. 9-26.
    • (1999) Journal of Investing , vol.8 , Issue.3 , pp. 9-26
    • Nawrocki, D.N.1
  • 26
    • 33646880757 scopus 로고    scopus 로고
    • The dynamics of the Australian property market risk and correlation profile
    • Newell, G. and Acheampong, P. (2001), "The dynamics of the Australian property market risk and correlation profile" in Pacific Rim Property Research Journal, Vol. 7, No. 4, pp. 259-70.
    • (2001) Pacific Rim Property Research Journal , vol.7 , Issue.4 , pp. 259-270
    • Newell, G.1    Acheampong, P.2
  • 27
    • 0006026167 scopus 로고    scopus 로고
    • Linkages between direct and indirect property performance in Hong Kong
    • Newell, G. and Chau, K.W. (1996), "Linkages between direct and indirect property performance in Hong Kong" in Journal of Property Finance, Vol. 7, No. 4, pp. 9-29.
    • (1996) Journal of Property Finance , vol.7 , Issue.4 , pp. 9-29
    • Newell, G.1    Chau, K.W.2
  • 28
    • 33846141254 scopus 로고
    • Portfolio optimization algorithms, simplified criteria, and security selection: A contrast and evaluation
    • Phillips, H. (1993), "Portfolio optimization algorithms, simplified criteria, and security selection: a contrast and evaluation" in Review of Quantitative Finance and Accounting, Vol. 3, No. 1, pp. 91-7.
    • (1993) Review of Quantitative Finance and Accounting , vol.3 , Issue.1 , pp. 91-97
    • Phillips, H.1
  • 29
    • 0001663570 scopus 로고
    • Variance and lower partial moment measures of systematic risk: Some analytical and empirical results
    • Price, K., Price, B. and Nantell, T.J. (1982), "Variance and lower partial moment measures of systematic risk: some analytical and empirical results" in Journal of Finance, Vol. 37, No. 3, pp. 843-55.
    • (1982) Journal of Finance , vol.37 , Issue.3 , pp. 843-855
    • Price, K.1    Price, B.2    Nantell, T.J.3
  • 30
    • 70350376626 scopus 로고    scopus 로고
    • Correlation structure of real estate markets over time
    • Schindler, F. (2009), "Correlation structure of real estate markets over time" in Journal of Property Investment & Finance, Vol. 27, No. 6, pp. 579-92.
    • (2009) Journal of Property Investment & Finance , vol.27 , Issue.6 , pp. 579-592
    • Schindler, F.1
  • 31
    • 77957321307 scopus 로고    scopus 로고
    • Long-term benefits from investing in international securitized real estate
    • forthcoming
    • Schindler, F. (2010), "Long-term benefits from investing in international securitized real estate", International Real Estate Review, forthcoming.
    • (2010) International Real Estate Review
    • Schindler, F.1
  • 32
    • 77954624643 scopus 로고    scopus 로고
    • Are securitized real estate returns more predictable than stock returns
    • Serrano, C. and Hoesli, M. (2010), "Are securitized real estate returns more predictable than stock returns" in Journal of Real Estate Finance and Economics, Vol. 41, No. 2, pp. 170-92.
    • (2010) Journal of Real Estate Finance and Economics , vol.41 , Issue.2 , pp. 170-192
    • Serrano, C.1    Hoesli, M.2
  • 33
    • 3543031982 scopus 로고    scopus 로고
    • Asset allocation in a downside risk framework
    • Sing, T.F. and Ong, S.E. (2000), "Asset allocation in a downside risk framework" in Journal of Real Estate Portfolio Management, Vol. 6, No. 3, pp. 213-23.
    • (2000) Journal of Real Estate Portfolio Management , vol.6 , Issue.3 , pp. 213-223
    • Sing, T.F.1    Ong, S.E.2
  • 34
    • 0043239718 scopus 로고    scopus 로고
    • A downside-risk approach to real estate portfolio structuring
    • Sivitanides, P.S. (1998), "A downside-risk approach to real estate portfolio structuring" in Journal of Real Estate Portfolio Management, Vol. 4, No. 2, pp. 159-68.
    • (1998) Journal of Real Estate Portfolio Management , vol.4 , Issue.2 , pp. 159-168
    • Sivitanides, P.S.1
  • 36
    • 0001860751 scopus 로고    scopus 로고
    • Emerging markets, downside risk and the asset allocation decision
    • Stevenson, S. (2001), "Emerging markets, downside risk and the asset allocation decision" in Emerging Markets Review, Vol. 2, No. 1, pp. 50-66.
    • (2001) Emerging Markets Review , vol.2 , Issue.1 , pp. 50-66
    • Stevenson, S.1
  • 37
    • 33846172339 scopus 로고    scopus 로고
    • The Impact of exchange rates on international real estate portfolio allocation
    • Thomas, M. and Lee, S.L. (2006), "The Impact of exchange rates on international real estate portfolio allocation" in Journal of Real Estate Portfolio Management, Vol. 12, No. 3, pp. 277-91.
    • (2006) Journal of Real Estate Portfolio Management , vol.12 , Issue.3 , pp. 277-291
    • Thomas, M.1    Lee, S.L.2
  • 38
    • 0030299450 scopus 로고    scopus 로고
    • On the correct use of omnibus tests for normality
    • Urzúa, C.M. (1996), "On the correct use of omnibus tests for normality" in Economic Letters, Vol. 53, No. 3, pp. 247-51.
    • (1996) Economic Letters , vol.53 , Issue.3 , pp. 247-251
    • Urzúa, C.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.