Real estate investment trusts - An asset allocation perspective

被引：0

作者：

Chen, HC ^{[1
]}

Ho, KY ^{[1
]}

Lu, CL ^{[1
]}

Wu, CH ^{[1
]}

机构：

[1] Natl Cent Univ Taiwan, Chungli, Taiwan

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2005年

关键词：

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Can investors improve their investment opportunity sets by adding a real estate investment trust (REIT) portfolio to benchmark portfolios sorted by firm size and book-to-market ratio? According to US. REIT performance data over 1980-2002, REITs after 1986 improve the mean-variance frontier set. Equity REITs appear to be non-redundant financial assets, which helps to enhance the completeness of the financial market. Mortgage REITs provide no diversification benefits in the sample period.

引用

页码：46 / +

页数：10

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