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Paper eres2015_192:
Bootstrap Analysis for Asian REIT’s Portfolios

id eres2015_192
authors Kurtbegu, Enareta; Juliana Caicedo-Llano
year 2015
title Bootstrap Analysis for Asian REIT’s Portfolios
source 22nd Annual European Real Estate Society Conference in Istanbul, Turkey
summary A new bootstrap technique is applied to analyze the performance of a set of Asian REITs and make selections based on the best performers. The cross-section of Asian REITs being non-normal, these techniques are quite useful. The risk-adjusted performance issued from traditional asset pricing models will be analyzed with bootstrapping tools that will also allow controlling for multiple testing problems usually encountered when analyzing the cross-section of returns. "published in the “Handbook of Asian Finance,” edited by David Lee and Gregoriou,2014."
keywords control in multiple testing, bootstrap selection, False Discovery Rate, Asian REITs, portfolio performance
series ERES:conference
type paper session
email enareta.kurtbegu@univ-evry.fr
discussion No discussions. Post discussion ...
ratings
session Performance and Risk Management
last changed 2015/07/08 18:06
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