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The Bootstrap Efficient Frontier for Mixed-Asset Portfolios

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  • Youguo Liang
  • F.C. Neil Myer
  • James R. Webb
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    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.

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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1540-6229.00689
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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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    Handle: RePEc:bla:reesec:v:24:y:1996:i:2:p:247-256

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    Cited by:
    1. 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.
    2. Martin Hoesli & Jon Lekander, 2005. "Suggested vs. Actual Institutional Allocattion to Real Estate in Europe: A Matter of Size," FAME Research Paper Series rp149, International Center for Financial Asset Management and Engineering.
    3. 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).
    4. Schmidt, Daniel, 2003. "Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations," CFS Working Paper Series 2004/12, Center for Financial Studies (CFS).

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