The Bootstrap Efficient Frontier for Mixed-Asset Portfolios
Abstract
How much in real estate? To answer this question, uncertainty needs to be introduced into the efficient frontier, so that a confidence interval can be estimated for the real estate weight in a mixed-asset portfolio. Instead of focusing on a single optimal portfolio, this study examines the entire efficient frontier using the traditional point estimate method and the bootstrap simulation. The bootstrap distributions of the estimated weight vectors indicate that their confidence intervals are large enough to render them effectively useless. Once uncertainty is introduced, the efficient frontier becomes fuzzy and the weight vectors become even fuzzier. Copyright American Real Estate and Urban Economics Association.Download Info
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Bibliographic Info
Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.
Volume (Year): 24 (1996)
Issue (Month): 2 ()
Pages: 247-256
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Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Armonat, Stefan & Pfnür, Andreas, 2002. "Basel II and the German credit crunch?," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35585, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Ping Cheng & Alan J. Ziobrowski & Royce W. Caines & Brigette J. Ziobrowski, 1999. "Uncertainty and Foreign Real Estate Investment," Journal of Real Estate Research, American Real Estate Society, vol. 18(3), pages 463-480.
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