This paper examines the benefits of diversifying into real estate and other assets that typify the wealth held by Japanese investors by examining movements in mean variance frontiers. We employ spanning tests to assess statistical significance of frontier shifts without specifying a benchmark...

The main purpose of this study is to empirically examine the relationship between uncertainty and idiosyncratic volatility of Nikkei 225 stocks. We conclude that there is a positive relationship between economic policy uncertainty and idiosyncratic volatility. Employing additional uncertainty...