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Historical Portfolio Optimization: Domestic REITs

In: Advanced REIT Portfolio Optimization

Author

Listed:
  • W. Brent Lindquist

    (Texas Tech University)

  • Svetlozar T. Rachev

    (Texas Tech University)

  • Yuan Hu

    (University of California San Diego)

  • Abootaleb Shirvani

    (Kean University)

Abstract

This chapter introduces a suite of optimized domestic REIT-based portfolios to be considered as models for either REIT-based indices or ETFs. They serve as representative prototypes of strategies implemented by institutional investment managers of actively managed portfolios. The different risk–return profiles presented by the prototype portfolios serve as asset-allocation tools for accommodating various market environments and risk tolerances. Prototypes are developed for optimizations based on mean variance and conditional value-at-risk. Turnover constraints, as a proxy for controlling transaction cost are introduced, as are several reward-to-risk measures. The cumulative price and reward-to-risk measure performance of these prototypes are compared extensively under various strategies, specifically long-only investing, two variations of long–short investing, and momentum investing.

Suggested Citation

  • W. Brent Lindquist & Svetlozar T. Rachev & Yuan Hu & Abootaleb Shirvani, 2022. "Historical Portfolio Optimization: Domestic REITs," Dynamic Modeling and Econometrics in Economics and Finance, in: Advanced REIT Portfolio Optimization, chapter 0, pages 49-72, Springer.
    • Handle: RePEc:spr:dymchp:978-3-031-15286-3_4
    DOI: 10.1007/978-3-031-15286-3_4
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