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Diversification Benefits of REIT Preferred and Common Stock: New Evidence from a Utility‐based Framework
16 references·2 citing·37 second hop
Diversification Benefits of REIT Preferred and Common Stock: New Evidence from a Utility‐based Framework (2016)Diversification Benefits of REIT Preferre…Equity Portfolio Diversification (2008)Equity Portfolio Diversificat…Efficiency and the Bear: Short Sales and Markets Around the World (2007)Efficiency and the Bear: Shor…Option‐Implied Risk Aversion Estimates (2004)Option‐Implied Risk Aversion …Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Stocks are special too: an analysis of the equity lending market (2002)Stocks are special too: an an…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Global Portfolio Optimization (1992)Global Portfolio OptimizationOn the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results (1991)On the Sensitivity of Mean-Va…Theory of Financial Decision Making. (1988)Theory of Financial Decision …For better performance (1988)For better performanceReal Estate Returns: A Comparison with Other Investments (1984)Real Estate Returns: A Compar…Mean-Variance Versus Direct Utility Maximization (1984)Mean-Variance Versus Direct U…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*A bibliometric review of portfolio diversification literature (2023)A bibliometric review of port…The Dynamics of REIT Pricing Efficiency (2017)The Dynamics of REIT Pricing …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)An Intertemporal Capital Asset Pricing Model (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Portfolio Selection (1952)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)60 Years of portfolio optimization: Practical challenges and current trends (2013)A Simplified Model for Portfolio Analysis (1963)Common risk factors in the returns on stocks and bonds (1993)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)Availability: A heuristic for judging frequency and probability (1973)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Industry costs of equity (1997)Just How Much Do Individual Investors Lose by Trading? (2008)Presidential Address: The Cost of Active Investing (2008)The Behavior of Individual Investors (2013)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Investor Psychology and Asset Pricing (2001)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1992Global Portfolio Optimization1,846 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 2008Equity Portfolio Diversification1,221 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
  • 2007Efficiency and the Bear: Short Sales and Markets Around the World821 cited
  • 2004Option‐Implied Risk Aversion Estimates647 cited
  • 2002Stocks are special too: an analysis of the equity lending market546 cited
  • 1984Mean-Variance Versus Direct Utility Maximization527 cited
  • 1984Real Estate Returns: A Comparison with Other Investments335 cited

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  • 1988For better performance298 cited
  • Cited by

    • 2023A bibliometric review of portfolio diversification literature32 cited
    • 2017The Dynamics of REIT Pricing Efficiency21 cited