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The Maximum Drawdown as a Risk Measure: The Role of Real Estate in the Optimal Portfolio Revisited

This paper investigates the role of real estate in a mixed-asset portfolio when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk.

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Year of publication:	2003-06-01
Authors:	Hamelink, Foort ; Hoesli, Martin
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Risikomanagement \| risk management \| Risikomaß \| Diversifikation \| Diversification gains \| Unbewegliche Sache \| real estate valuation

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1. Introduction
2. Review of the literature
3. Data and method
4. Results
5. Conclusion

Persistent link: https://www.econbiz.de/10005843487