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The Effect of Smoothing on Optimal Portfolio Choice: Some Analytical and Computational Results
27/27 checkable references clean · checked 2026-08-28
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The 27 checked references that resolve
resolves10.1093/rfs/4.2.315On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results
resolves10.1007/s11146-007-9022-1Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market
resolves10.1023/A:1025898325952Unsmoothing Commercial Property Returns: A Revision to Fisher–Geltner–Webb's Unsmoothing Methodology
resolves10.3905/jpm.1993.409440The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
resolves10.1007/s11146-007-9001-6A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand
resolves10.1007/bf01099972Value indices of commercial real estate: A comparison of index construction methods
resolves10.2307/2330074Estimation Risk in the Portfolio Selection Model: A Comment
resolves10.1023/A:1007811702150Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index
resolves10.2307/1909199First Order Autoregression: Inference, Estimation, and Prediction
resolves10.1007/bf00173120Price formation and the appraisal function in real estate markets
resolves10.1287/mnsc.43.10.1437Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model
resolves10.1108/14635780410525126Testing the statistical significance of real estate in an international mixed asset portfolio
The 3 references with no DOI or arXiv id, listed, not checked
no DOI — not checkedAsset allocation in a modern world
no DOI — not checkedIndex smoothing and the volatility of commercial property
no DOI — not checkedref22
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