[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
IDEAS home Printed from https://ideas.repec.org/p/crp/wpaper/69.html
   My bibliography  Save this paper

Investing in Mixed Asset Portfolios: the Ex-Post Performance

Author

Listed:
  • Carolina Fugazza

    (CeRP-Collegio Carlo Alberto, Turin)

  • Massimo Guidolin

    (Manchester Business School and CeRP-Collegio Carlo Alberto, Turin)

  • Giovanna Nicodano

    (University of Turin and CeRP-Collegio Carlo Alberto, Turin)

Abstract
We calculate the ex-post portfolio performance for an investor who diversifies among stocks, bonds, REITS and cash. Simulations are performed for two alternative asset allocation frameworks – classical and Bayesian - and for scenarios involving two different samples and six different investment horizons. Interestingly, the ex-post welfare cost of restricting portfolio choices to traditional financial assets only is found to be positive in all scenarios for a Bayesian investor. On the contrary, substitution of E-REITS for stocks in optimal portfolios turns out to reduce ex-post portfolio performance over the nineties for a Classical investor.

Suggested Citation

  • Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2007. "Investing in Mixed Asset Portfolios: the Ex-Post Performance," CeRP Working Papers 69, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  • Handle: RePEc:crp:wpaper:69
    as

    Download full text from publisher

    File URL: http://www.cerp.carloalberto.org/wp-content/uploads/2008/12/wp_69.pdf?f6fa34
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    optimal asset allocation; real estate; parameter uncertainty; out-of-sample performance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:crp:wpaper:69. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Silvia Maero (email available below). General contact details of provider: https://edirc.repec.org/data/cetorit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.