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Research Articles

NASDAQ REITs and Optimal Investment Policy: Evidence from 1995 to 2005

Pages 201-207 | Published online: 18 Jun 2020
 

Abstract

Executive Summary.Naive and scientific strategies for portfolio management are presented and are tested empirically using NASDAQ-listed real estate investment trusts. Using standard portfolio techniques, scientific strategies such as Markowitz optimization and stochastic dominance are shown to produce better results on a risk-adjusted basis than naive strategies do. Stochastic dominance is shown to produce the greatest growth in capital on a non-risk-adjusted basis.

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