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Showing result 1 - 5 of 10 essays matching the above criteria.

1. 1. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

   University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Author : Axel Nilsson; [2022]
   Keywords : Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

   Abstract : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. READ MORE

3. 2. REITs in a Mixed-Asset Portfolio

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Mary Anne Roa; [2022]
   Keywords : REIT; Pricing; Fama-French; Portfolio Simulation;

   Abstract : Diversification is a significant element of asset allocation. An alternative investment of great interest for many investors is real estate. The paper will explore the hypotheses of whether real estate investment trust (REITs)warrants inclusion in an investment portfolio. READ MORE

4. 3. Diversification Attributes of Dutch REITs During Recessions:Return, Standard Deviation and Liquidity Characteristics

   University essay from KTH/Fastigheter och byggande

   Author : Tom Bergstrom; Patrik Carlsson; [2020]
   Keywords : REITs; Netherlands; Real Estate; Mixed-Asset Portfolio; Liquidity; Performance; Diversification; REITs; Nederländerna; Fastigheter; Investeringsportfölj; Likviditet; Diversifikation;

   Abstract : The objective of this thesis is to determine the performance of Dutch REITs and liquidity aspects during recessions and economic upswings as well as correlation with other asset classes to gain further knowledge in the field ofreal estate investment and asset performance during certain time periods. This is achieved through a quantitative analysis of historical daily returns, standard deviation and transaction volume of shares regarding REITs and other assets that usually pertain to an investor’s portfolio. READ MORE

5. 4. What is the Optimal Allocation Level to Real Estate in a Swedish Mixed-Asset Portfolio Including both Direct and Indirect Real Estate?

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Oscar Holgersson; Jacob Tingnell; [2020]
   Keywords : Capital Asset Pricing Model; Direct Real Estate; Hedonic Model; Mean-Variance Optimization; Mixed-Asset Portfolio;

   Abstract : We use mean-variance analysis to examine the optimal allocation to real estate for institutional investors investing in Swedish assets and whether direct real estate provides diversification benefits to a mixed-asset portfolio. The study takes the perspective of institutional investors interested in dividing the real estate asset class into the two asset categories direct real estate and indirect real estate. READ MORE

6. 5. Does real estate deliver diversification when needed the most? - A dynamic conditional correlation study of REITs in a mixed-asset portfolio

   University essay from Göteborgs universitet/Graduate School

   Author : Mathilda Keino; Malin Svensson; [2017-07-26]
   Keywords : REIT; Real Estate Investment Trusts; DCC-GARCH; dynamic conditional correlation; diversification; portfolio theory;

   Abstract : Real estate has traditionally been favored in a mixed-asset portfolio due to its risk-return characteristics and diversification benefits. The recent global financial crisis challenged this perception of advantages attributed to real estate. READ MORE