TY - CHAP
T1 - Historical Portfolio Optimization
T2 - Domestic REITs
AU - Lindquist, W. Brent
AU - Rachev, Svetlozar T.
AU - Hu, Yuan
AU - Shirvani, Abootaleb
N1 - Publisher Copyright:
© 2022, The Author(s), under exclusive license to Springer Nature Switzerland AG.
PY - 2022
Y1 - 2022
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=85142041772&partnerID=8YFLogxK
U2 - 10.1007/978-3-031-15286-3_4
DO - 10.1007/978-3-031-15286-3_4
M3 - Chapter
AN - SCOPUS:85142041772
T3 - Dynamic Modeling and Econometrics in Economics and Finance
SP - 49
EP - 72
BT - Dynamic Modeling and Econometrics in Economics and Finance
PB - Springer Science and Business Media Deutschland GmbH
ER -