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- W2215707040 abstract "In this paper, we conduct a comparative analysis to evaluate how the multivariate copula model fares against Markowitz quadratic programing (QP) model in capturing the systematic risk for a Singapore real estate investment trust (S-REIT) portfolio. The portfolio contains seven S-REITs. A dynamic ex ante analytical hierarchy process-strategic asset allocation (AHP-SAA) model is adopted to estimate a diversified portfolio. The resulting efficient frontier is examined under the Markowitz quadratic programing-tactical asset allocation (QP-TAA) model. The alternative Multivariate Copula-tactical asset allocation (MC-TAA) model is adopted to estimate the optimal diversified portfolio. The expected portfolio total returns of both models are close and within the random error range. Both these models are equally effective alternatives and each is robust in constructing and estimating the TAA portfolio that enables investors to take advantage of arbitrage opportunities in the market." @default.
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- W2215707040 date "2014-12-12" @default.
- W2215707040 modified "2023-09-24" @default.
- W2215707040 title "A Comparative Risk Analysis between the Markowitz Quadratic Programming Model and the Multivariate Copula Model for a Singapore REIT Portfolio" @default.
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