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Portfolio Formation Memory

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  • TUMELLANO SEBEHELA

    () (University of Reading, Reading, UK)

Abstract

Real estate investment trade (REIT) memory as illustrated by variations including their Greeks tend to vary during the [0;−32] window of portfolio formation, i.e. acquisitions. This is partly due to acquisition activities and intensity which tend to be “higher” during the time to expiration. Prior REIT studies explored variances based on long-term measures without focusing on the discrete nature of variations. This article, empirically presents discrete variations at different points in time. Results illustrate that memory decreases as time to expiration approaches maturity. Given high intensity during acquisitions, one infers that memory illustrated in this paper is likely to be optimal one.

Suggested Citation

  • Tumellano Sebehela, 2016. "Portfolio Formation Memory," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-16, June.
  • Handle: RePEc:wsi:afexxx:v:11:y:2016:i:02:n:s201049521650010x
    DOI: 10.1142/S201049521650010X
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    References listed on IDEAS

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    Keywords

    Greeks; variance;

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