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Asymmetric Risk Measures and Real Estate Returns
15 references·6 citing·34 second hop
Asymmetric Risk Measures and Real Estate Returns (2005)Asymmetric Risk Measures and Real Estate …Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Asset Allocation in a Downside Risk Framework (2000)Asset Allocation in a Downsid…Real estate is not normal: A fresh look at real estate return distributions (1995)Real estate is not normal: A …Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence (1989)Asset Pricing in a Generalize…Arbitrage Equilibrium with Skewed Asset Returns (1985)Arbitrage Equilibrium with Sk…On the Robustness of the Roll and Ross Arbitrage Pricing Theory (1984)On the Robustness of the Roll…20% in Real Estate (1984)20% in Real EstateAn Analytical Comparison of Variance and Semivariance Capital Market Theories (1979)An Analytical Comparison of V…Capital market equilibrium in a mean-lower partial moment framework (1977)Capital market equilibrium in…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance (1974)Toward the Development of an …SURVEY OF CAPITAL BUDGETING: THEORY AND PRACTICE (1970)SURVEY OF CAPITAL BUDGETING: …Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…House price dynamics, conditional higher-order moments, and density forecasts (2010)House price dynamics, conditi…The role of Malaysian securitised real estate in a mixed‐asset portfolio (2009)The role of Malaysian securit…Downside Beta and the Cross-sectional Determinants of Listed Property Trust Returns (2008)Downside Beta and the Cross-s…Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches (2008)Do REITs Outperform Stocks an…The Underlying Return‐Generating Factors for REIT Returns: An Application of Independent Component Analysis (2007)The Underlying Return‐Generat…Co‐skewness and Co‐kurtosis in Global Real Estate Securities (2005)Co‐skewness and Co‐kurtosis i…Safety First and the Holding of Assets (1952)Optimal rules for ordering uncertain prospects (1975)A Brief History of Downside Risk Measures (1999)A linear model for tracking error minimization (1999)Increased Correlation in Bear Markets (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Equilibrium in a Capital Asset Market (1966)Safety-First, Stochastic Dominance, and Optimal Portfolio Choice (1978)Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Gain, Loss, and Asset Pricing (2000)ESG shareholder engagement and downside risk (2023)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)DOWNSIDE RISK IMPLICATIONS OF MULTINATIONALITY AND INTERNATIONAL JOINT VENTURES. (2000)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Time-inconsistent Preferences and Consumer Self-Control (1991)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Theory of games and economic behavior (2019)Multifactor Explanations of Asset Pricing Anomalies (1996)A Survey of Capital Budgeting Techniques Used by Major U.S. Firms (1977)
this work references cited by second hop

References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1977Capital market equilibrium in a mean-lower partial moment framework821 cited
  • 1989Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence480 cited
  • 1970SURVEY OF CAPITAL BUDGETING: THEORY AND PRACTICE381 cited
  • 1974Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance359 cited
  • 2000Asset Allocation in a Downside Risk Framework325 cited
  • 1995Real estate is not normal: A fresh look at real estate return distributions171 cited
  • 1985Arbitrage Equilibrium with Skewed Asset Returns140 cited
  • 198420% in Real Estate124 cited
  • 1979An Analytical Comparison of Variance and Semivariance Capital Market Theories68 cited
  • 1984On the Robustness of the Roll and Ross Arbitrage Pricing Theory60 cited

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Cited by

  • 2009The role of Malaysian securitised real estate in a mixed‐asset portfolio39 cited
  • 2008Downside Beta and the Cross-sectional Determinants of Listed Property Trust Returns30 cited
  • 2007The Underlying Return‐Generating Factors for REIT Returns: An Application of Independent Component Analysis26 cited
  • 2010House price dynamics, conditional higher-order moments, and density forecasts21 cited
  • 2005Co‐skewness and Co‐kurtosis in Global Real Estate Securities21 cited
  • 2008Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches20 cited