In this paper, the marginal effects of changes (due to non-stationarity or estimation errors) in the REIT-stock risk premium and the REIT-stock correlation on the optimal portfolio asset mix of REITs, stocks, and bonds are determined. Employing a mean variance utility function and considering...

This article provides evidence and analysis to show that a MAC (multi-asset-class) diversified portfolio performed well in mean-variance space and under varying market conditions, including the very adverse 2008 market crash. The portfolio also delivered during the two bull phases in the full...

We examine the sentiment levels of individual investors relative to subsequent short-term market returns for 1992-2010. We find that sentiment, proxied by percentage of investors who are “bullish” on the market, is significantly negatively related to the subsequent three- and six-month...