Bootstrap Analysis for Asian REIT’s Portfolios
||Kurtbegu, Enareta; Juliana Caicedo-Llano
||Bootstrap Analysis for Asian REIT’s Portfolios
||22nd Annual European Real Estate Society Conference in Istanbul, Turkey
||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."
||control in multiple testing, bootstrap selection, False Discovery Rate, Asian REITs, portfolio performance
Post discussion ...
||Performance and Risk Management
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