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- W3124152634 abstract "Recent empirical and theoretical studies have shown the necessity of including real estate in diversified portfolios. In this paper we present one of the latest developed Autoregressive. Conditoinal Heteroscedasticity models (QTARCH) and, using fifty-two years of Swiss data, we investigate the ability of this class of models to forecast conditional means and variances of portfolios containing only stocks ans bonds and portfolios containig also real estate. The analysis is done in a Markowitz efficient frontier framework. We find that if a simple QTARCH model had been used with our data, the portfolio's risk would have been significantly. It is also shown that even when the QTARCH methodology is applied, including real estate in diversified portfolios is still justified. Furthermore, three years of out-sample performances of the model are extremely convincing as well" @default.
- W3124152634 created "2021-02-01" @default.
- W3124152634 creator A5013587529 @default.
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- W3124152634 date "1995-06-28" @default.
- W3124152634 modified "2023-10-16" @default.
- W3124152634 title "The Role of Real Estate in the Mixed-Asset Portfolio: A Reexamination using a QTARCh Methodology" @default.
- W3124152634 doi "https://doi.org/10.15396/eres1995_116" @default.
- W3124152634 hasPublicationYear "1995" @default.
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