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Gains From Diversifying Into Real Estate: Three Decades of Portfolio Returns Based on the Dynamic Investment Model
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Gains From Diversifying Into Real Estate: Three Decades of Portfolio Returns Based on the Dynamic Investment Model (1995)Gains From Diversifying Into Real Estate:…On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…On the Use of Mean-Variance and Quadratic Approximations in Implementing Dynamic Investment Strategies: A Comparison of Returns and Investment Policies (1993)On the Use of Mean-Variance a…Smoothing in appraisal-based returns (1991)Smoothing in appraisal-based …Risk and return in real estate (1991)Risk and return in real estateGains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds (1987)Gains from International Dive…Real Estate Returns: A Comparison with Other Investments (1984)Real Estate Returns: A Compar…Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions (1983)Portfolio Turnpike Theorems, …On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…Estimation Risk and Optimal Portfolio Choice. (1980)Estimation Risk and Optimal P…Stochastic Optimization Models in Finance (1976)Stochastic Optimization Model…Mathematical Methods in Investment and Finance. (1974)Mathematical Methods in Inves…Convergence to isoelastic utility and policy in multiperiod portfolio choice (1974)Convergence to isoelastic uti…On Optimal Myopic Portfolio Policies, with and Without Serial Correlation of Yields (1971)On Optimal Myopic Portfolio P…The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments (1970)The Fundamental Approximation…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The arbitrage theory of capital asset pricing (1976)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risks and Portfolio Decisions Involving Hedge Funds (2003)The information content of discounts and premiums on closed-end fund shares (1978)Value indices of commercial real estate: A comparison of index construction methods (1994)Price Discovery in American and British Property Markets (1995)A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence (2008)Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Systemic Risk and International Portfolio Choice (2004)Optimal Portfolio Allocation under Higher Moments (2006)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)The Integration of Commercial Real Estate Markets and Stock Markets (1999)International Diversification of Investment Portfolios (1970)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Sensitivity Analysis for Mean-Variance Portfolio Problems (1991)Chapter 37 Puzzles in international financial markets (1995)Portfolio concentration and performance of institutional investors worldwide (2016)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Diversification Categories in Investment Real Estate (1986)Price formation and the appraisal function in real estate markets (1991)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)The Behavior of Stock-Market Prices (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Multiperiod Consumption-Investment Decisions (1975)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2005)Robust portfolios: contributions from operations research and finance (2009)The Risk in Hedge Fund Strategies: Theory and Evidence from Trend Followers (2001)
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References

  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1991Smoothing in appraisal-based returns425 cited
  • 1984Real Estate Returns: A Comparison with Other Investments335 cited
  • 1991Risk and return in real estate292 cited
  • 1980Estimation Risk and Optimal Portfolio Choice.286 cited
  • 1987Gains from International Diversification: 1968-85 Returns on Portfolios of Stocks and Bonds215 cited
  • 1971On Optimal Myopic Portfolio Policies, with and Without Serial Correlation of Yields177 cited
  • 1993On the Use of Mean-Variance and Quadratic Approximations in Implementing Dynamic Investment Strategies: A Comparison of Returns and Investment Policies114 cited
  • 1974Convergence to isoelastic utility and policy in multiperiod portfolio choice102 cited
  • 1974Mathematical Methods in Investment and Finance.97 cited

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  • 1976Stochastic Optimization Models in Finance87 cited
  • 1983Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions70 cited
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