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Journal of Real Estate Portfolio Management Volume 7, 2001 - Issue 2
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Research Articles

MPT and the Downside Risk Framework: A Comment on Two Recent Studies

Ping Cheng Salisbury State University, Salisbury, MD
&
Marvin Wolverton University of Nevada-Las Vegas, Las Vegas, NV
Pages 125-131 | Published online: 18 Jun 2020

Citations (21)

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Read on this site (3)

Steffen P. Sebastian & Bertram I. Steininger. (2022) Real Estate ETNs in Strategic Asset Allocation. Journal of Real Estate Portfolio Management 28:1, pages 48-61.
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William Hardin & Ping Cheng. (2005) Farmland in a Mixed-Asset Portfolio: A Mean-Semivariance Approach. Journal of Real Estate Portfolio Management 11:2, pages 187-195.
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Ping Cheng. (2001) Comparing Downside-Risk and Mean-Variance Analysis Using Bootstrap Simulation. Journal of Real Estate Portfolio Management 7:3, pages 225-238.
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Articles from other publishers (18)

Jun Li, Hengxuan Gao, Yongjun Li, Xi Jin & Liang Liang. (2022) Stock Efficiency Evaluation Based on Multiple Risk Measures: A DEA-Like Envelopment Approach. Journal of Systems Science and Complexity 35:4, pages 1480-1499.
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Mirza Sikalo, Almira Arnaut-Berilo & Azra Zaimovic. (2022) Efficient Asset Allocation: Application of Game Theory-Based Model for Superior Performance. International Journal of Financial Studies 10:1, pages 20.
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Xue Deng & Yongkang Yuan. (2021) A novel fuzzy dominant goal programming for portfolio selection with systematic risk and non-systematic risk. Soft Computing 25:23, pages 14809-14828.
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Jose Arreola Hernandez & Mazin A.M. Al Janabi. (2020) Forecasting of dependence, market, and investment risks of a global index portfolio. Journal of Forecasting 39:3, pages 512-532.
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Rongxi Zhou, Yu Zhan, Ru Cai & Guanqun Tong. (2015) A Mean-Variance Hybrid-Entropy Model for Portfolio Selection with Fuzzy Returns. Entropy 17:5, pages 3319-3331.
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Usman Ayub, Syed Zulfiqar Ali Shah & Qaisar Abbas. (2015) Robust analysis for downside risk in portfolio management for a volatile stock market. Economic Modelling 44, pages 86-96.
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Antonio Gorgulho, Rui F.M.F. Neves & Nuno C.G. HortaAntónio M. S. B. S. Gorgulho, Rui F. M. F. Neves & Nuno C. G. Horta. 2013. Intelligent Financial Portfolio Composition based on Evolutionary Computation Strategies. Intelligent Financial Portfolio Composition based on Evolutionary Computation Strategies 5 30 .
Tim‐Alexander Kroencke & Felix Schindler. (2010) Downside risk optimization in securitized real estate markets. Journal of Property Investment & Finance 28:6, pages 434-453.
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Timothy W. Viezer. 2010. Handbook of Portfolio Construction. Handbook of Portfolio Construction 733 760 .
Thomas Chiang, Hooi Hooi Lean & Wing-Keung Wong. (2008) Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches. Journal of Risk and Financial Management 1:1, pages 1-40.
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Claudio Giannotti & Gianluca Mattarocci. (2008) Risk diversification in a real estate portfolio: evidence from the Italian market. Journal of European Real Estate Research 1:3, pages 214-234.
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Gianluca Marcato & Tony Key. (2007) Smoothing and Implications for Asset Allocation Choices. The Journal of Portfolio Management 33:5, pages 85-99.
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Morawski, Jaroslaw & Rehkugler, Heinz. (2006) Anwendung von Downside-Risikomaßen auf dem deutschen Wohnungsmarkt. Credit and Capital Markets - Kredit und Kapital 39:1, pages 11-42.
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Ping Cheng. (2005) Asymmetric Risk Measures and Real Estate Returns. The Journal of Real Estate Finance and Economics 30:1, pages 89-102.
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Peter Byrne & Stephen Lee. (2004) Different risk measures: different portfolio compositions?. Journal of Property Investment & Finance 22:6, pages 501-511.
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Foort Hamelink & Martin Edward Ralph Hoesli. (2003) The Maximum Drawdown as a Risk Measure: The Role of Real Estate in the Optimal Portfolio Revisited. SSRN Electronic Journal.
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Tim-Alexander Kroencke & Felix Schindler. (2010) Downside Risk Optimization in Securitized Real Estate Markets. SSRN Electronic Journal.
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Thomas Chinan Chiang, Hooi Hooi Lean & Wing-Keung Wong. (2007) Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches. SSRN Electronic Journal.
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