Vu Anh Tuan, Eric - Université Paris-Dauphine (Paris IX) - 2013
-variance technique has been heavily criticized by some academics, and its application to real estate portfolio is questionable (Cheng and … Liang, 2000). Indeed, the mean-variance analysis is quite sensitive to estimation errors, and traditional real estate … upon the optimization process; the shrinkage estimator appears to show some advantages in modeling real estate portfolios …