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• W169435013 abstract "Previous research has shown that real estate serves as a diversifier in mixed-asset portfolios. However, this empirical finding is beset with some drawbacks associated with direct real estate investment. In order to overcome some of these drawbacks, we use theoretical real estate exchange traded notes (ETNs) in a mean-shortfall setting to optimize an international mixed-asset portfolio. In addition, the typical long-only strategy is abandoned in favor of a 130/30 long-short and an exchange rate hedge strategy. Not only in-sample but also out-of-sample portfolios yield significant diversification benefits by means of real estate ETNs in different portfolio strategies." @default.
• W169435013 created "2016-06-24" @default.
• W169435013 creator A5041899022 @default.
• W169435013 creator A5061579593 @default.
• W169435013 date "2022-01-02" @default.
• W169435013 modified "2023-10-18" @default.
• W169435013 title "Real Estate ETNs in Strategic Asset Allocation" @default.
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• W169435013 doi "https://doi.org/10.1080/10835547.2022.2033390" @default.
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