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The Effect of Smoothing on Optimal Portfolio Choice: Some Analytical and Computational Results

https://doi.org/10.2139/ssrn.1914404

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Serial correlation and seasonality in the real estate market

inferredcites →https://doi.org/10.1007/bf00153997openalex-extracted

The accuracy of real estate indices: Repeat sale estimators

inferredcites →https://doi.org/10.1007/bf00161933openalex-extracted

Smoothing in appraisal-based returns

inferredcites →https://doi.org/10.1007/bf00173120openalex-extracted

Price formation and the appraisal function in real estate markets

inferredcites →https://doi.org/10.1007/bf01099972openalex-extracted

Value indices of commercial real estate: A comparison of index construction methods

inferredcites →https://doi.org/10.1007/s11146-005-1370-0openalex-extracted

A Spatio-Temporal Autoregressive Model for Multi-Unit Residential Market Analysis*

inferredcites →https://doi.org/10.1007/s11146-007-9001-6openalex-extracted

A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand

inferredcites →https://doi.org/10.1007/s11146-007-9022-1openalex-extracted

Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market

inferredcites →https://doi.org/10.1016/j.jfineco.2004.04.001openalex-extracted

An econometric model of serial correlation and illiquidity in hedge fund returns

inferredcites →https://doi.org/10.1017/s0022109000004129openalex-extracted

Optimal Portfolio Choice with Parameter Uncertainty

inferredcites →https://doi.org/10.1017/s1357321700004530openalex-extracted

The Measurement and Modelling of Commercial Real Estate Performance

inferredcites →https://doi.org/10.1023/a:1007724103085openalex-extracted

A Bayesian Approach to the Construction and Comparison of Alternative House Price Indices

inferredcites →https://doi.org/10.1023/a:1007811702150openalex-extracted

Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index

inferredcites →https://doi.org/10.1023/a:1025898325952openalex-extracted

Unsmoothing Commercial Property Returns: A Revision to Fisher–Geltner–Webb's Unsmoothing Methodology

inferredcites →https://doi.org/10.1057/palgrave.jam.2250077openalex-extracted

Reconsidering asset allocation involving illiquid assets

inferredcites →https://doi.org/10.1080/0042098032000074317openalex-extracted

Appraisal Smoothing and Price Discovery in Real Estate Markets

inferredcites →https://doi.org/10.1080/0042098032000074344openalex-extracted

Investing in International Real Estate Stocks: A Review of the Literature

inferredcites →https://doi.org/10.1080/02640828708723929openalex-extracted

Property portfolio allocation: A multi‐factor model

inferredcites →https://doi.org/10.1080/095999197368609openalex-extracted

Unsmoothing valuation-based indices using multiple regimes

inferredcites →https://doi.org/10.1080/10835547.1993.12090713openalex-extracted

Estimating Market Values from Appraised Values without Assuming an Efficient Market

inferredcites →https://doi.org/10.1086/296296openalex-extracted

International Portfolio Diversification with Estimation Risk

inferredcites →https://doi.org/10.1093/rfs/4.2.315openalex-extracted

On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results

inferredcites →https://doi.org/10.1108/14635780410525126openalex-extracted

Testing the statistical significance of real estate in an international mixed asset portfolio

inferredcites →https://doi.org/10.1108/14635780510599458openalex-extracted

Real estate portfolio construction and estimation risk

inferredcites →https://doi.org/10.1111/j.1540-6261.1952.tb01525.xopenalex-extracted

PORTFOLIO SELECTION*

inferredcites →https://doi.org/10.1111/j.2517-6161.1949.tb00023.xopenalex-extracted

Approximate Tests of Correlation in Time-Series

inferredcites →https://doi.org/10.1287/mnsc.1060.0664openalex-extracted

Performance of Portfolios Optimized with Estimation Error

inferredcites →https://doi.org/10.1287/mnsc.43.10.1437openalex-extracted

Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model

inferredcites →https://doi.org/10.2139/ssrn.1113019openalex-extracted

inferredcites →https://doi.org/10.2307/1909199openalex-extracted

First Order Autoregression: Inference, Estimation, and Prediction

inferredcites →https://doi.org/10.2307/2282415openalex-extracted

Portfolio Selection: Efficient Diversification of Investments.

inferredcites →https://doi.org/10.2307/2330074openalex-extracted

Estimation Risk in the Portfolio Selection Model: A Comment

inferredcites →https://doi.org/10.2307/2330127openalex-extracted

Estimation Risk in the Portfolio Selection Model

inferredcites →https://doi.org/10.2307/3006625openalex-extracted

Portfolio Selection: Efficient Diversification of Investments

inferredcites →https://doi.org/10.2469/faj.v48.n1.68openalex-extracted

Portfolio Optimization in Practice

inferredcites →https://doi.org/10.3905/jpm.1981.408816openalex-extracted

Putting Markowitz theory to work

inferredcites →https://doi.org/10.3905/jpm.1993.409440openalex-extracted

The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice

inferredcites →https://doi.org/10.3905/jpm.2001.319820openalex-extracted

Why Real Estate?

inferredcites →https://doi.org/10.3905/jpm.2007.698909openalex-extracted

Smoothing and Implications for Asset Allocation Choices

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