Showing 1 - 10 of 39
We use a parametric portfolio approach to estimate optimal commercial real estate portfolio policies. We do so using the NCREIF data set of commercial properties over the sample period 1984:Q2 to 2009:Q1. The richness of this extensive data set and the flexibility of the parametric portfolio...
Persistent link: https://www.econbiz.de/10010550265
We use a quantile-based measure of conditional skewness (or asymmetry) that is robust to outliers and therefore particularly suited for recalcitrant series such as emerging market returns. Our study is on the following portfolio returns: developed markets, emerging markets, the world, and...
Persistent link: https://www.econbiz.de/10010550277
We use a parametric portfolio approach to estimate optimal commercial real estate portfolio policies. We do so using the NCREIF data set of commercial properties over the sample period 1984:Q2 to 2009:Q1. The richness of this extensive data set and the flexibility of the parametric portfolio...
Persistent link: https://www.econbiz.de/10010550287
This paper proposes a new approach for incorporating theoretical constraints on return forecasting models such as non-negativity of the conditional equity premium and sign restrictions on the coefficients linking state variables to the equity premium. Our approach makes use of Bayesian methods...
Persistent link: https://www.econbiz.de/10009293724
We explore mixed data sampling (henceforth MIDAS) regression models. The regressions involve time series data sampled at different frequencies. Volatility and related processes are our prime focus, though the regression method has wider applications in macroeconomics and finance, among other...
Persistent link: https://www.econbiz.de/10005476038
Persistent link: https://www.econbiz.de/10005478111
Persistent link: https://www.econbiz.de/10005376611
This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns -- the Mixed Data Sampling (or MIDAS) approach. Using...
Persistent link: https://www.econbiz.de/10004976947
Even if returns are truly forecasted by variables such as the dividend yield, the noise in such a predictive regression may overwhelm the signal of the conditioning variable and render estimation, inference and forecasting unreliable. Unfortunately, traditional asymptotic approximations are not...
Persistent link: https://www.econbiz.de/10011130358
We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset’s characteristics. The coefficients of this function are found by optimizing the investor’s average utility of the...
Persistent link: https://www.econbiz.de/10011130363