26
Views
0
CrossRef citations to date
0
Altmetric
Research Articles

How Does the Ledoit and Wolf Shrinkage Estimator Improve a Real Estate Portfolio?

Pages 89-101 | Published online: 18 Jun 2020

  • Armonat, S. and A. Pfnuer. Asset Allocation versus Entrepreneurial Decisions in Real Estate Investment. Briefings in Real Estate Finance, 2004, 2:4, 131-46. Asset Allocation versus Entrepreneurial Decisions in Real Estate Investment Briefings in Real Estate Finance 2 131 46
  • Arthur, S.V. Obtaining Real Estate Data: Criteria Difficulties and Limitations. Real Estate Indicators and Financial Stability, 2005, 21, 63-9. Obtaining Real Estate Data: Criteria Difficulties and Limitations Real Estate Indicators and Financial Stability 21 63 9
  • Bengtsson, C. The Impact of Estimation Error on Portfolio Selection for Investors with Constant Relative Risk Aversion. Technical report, Department of Economics, Lund University, 2004.
  • Best, M.J. and R.R. Grauer. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results. Review of Financial Studies, 1991, 4, 315-42. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results Review of Financial Studies 4 315 42
  • Black, F. and R. Litterman. Global Portfolio Optimization. Financial Analysts Journal, 1992, 28-43. Global Portfolio Optimization Financial Analysts Journal 28 43
  • Cheng, P. and Y. Liang. Optimal Diversification: Is It Really Worthwhile? Journal of Real Estate Portfolio Management, 2000, 6:1, 7-16. Optimal Diversification: Is It Really Worthwhile? Journal of Real Estate Portfolio Management 6 7 16
  • Chopra, V.K. and W.T. Ziemba. The Effect of Errors in Means, Variances and Covariances on Optimal Portfolio Choice. Journal of Portfolio Management, 1993, 6-11. The Effect of Errors in Means, Variances and Covariances on Optimal Portfolio Choice Journal of Portfolio Management 6 11
  • Daszykowski, M., K. Kaczmarek, Y. Vander Heyden, and B. Walczak. Robust Statistics in Data Analysis: A Review. Chemometrics and Intelligent Laboratory Systems, 2007, 85, 203-19. Robust Statistics in Data Analysis: A Review Chemometrics and Intelligent Laboratory Systems 85 203 19
  • Gyourko, J. The Newest Mainstream Asset Class: Real Estate. Wealth Management, 3rd Quarter, 2004.
  • Huber, P.J. Robust Statistics. New York: John Wiley and Sons, 1981. Robust Statistics
  • Jobson, J.D. and B.M. Korkie. Estimation for Markowitz Efficient Portfolios. Journal of American Statistical Association, 1980, 75, 544-54. Estimation for Markowitz Efficient Portfolios Journal of American Statistical Association 75 544 54
  • Jorion, P. International Portfolio Diversification with Estimation Risk. Journal of Business, 1985, 58, 259-78. International Portfolio Diversification with Estimation Risk Journal of Business 58 259 78
  • Jorion, P. Bayes-Stein Estimation for Portfolio Analysis. Journal of Financial and Quantitative Analysis, 1986, 21:3, 279-92. Bayes-Stein Estimation for Portfolio Analysis Journal of Financial and Quantitative Analysis 21 279 92
  • Jorion, P. Portfolio Optimization in Practice. Financial Analysts Journal, 1992, 48:1, 68-74. Portfolio Optimization in Practice Financial Analysts Journal 48 68 74
  • Kaplan, P.D. Asset Allocation Models Using the Markowitz Approach. http://corporate.morningstar.com/ib/documents/MethodologyDocuments/IBBAssociates/MarkowitzApproach.pdf, January, 1998. http://corporate.morningstar.com/ib/documents/MethodologyDocuments/IBBAssociates/MarkowitzApproach.pdf
  • Knight, J.R., C.F. Sirmans, A.E. Gelfand, and S.K. Ghosh. Analyzing Real Estate Data Problems Using the Gibbs Sampler. Real Estate Economics, 1998, 26, 469-92. Analyzing Real Estate Data Problems Using the Gibbs Sampler Real Estate Economics 26 469 92
  • Kwan, C.C.Y. Some Further Analytical Properties of the Constant Correlation Model for Portfolio Selection. International Journal of Theoretical and Applied Finance, 2006, 9:7, 1071- 92. Some Further Analytical Properties of the Constant Correlation Model for Portfolio Selection International Journal of Theoretical and Applied Finance 9 1071 92
  • Ledoit, O. and M. Wolf. Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection. Journal of Empirical Finance, 2003, 10, 603-62. Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection Journal of Empirical Finance 10 603 62
  • Ledoit, O. Honey, I Shrunk the Sample Covariance Matrix. Journal of Portfolio Management, 2004, 30, 110-17. Honey, I Shrunk the Sample Covariance Matrix Journal of Portfolio Management 30 110 17
  • Lintner, J. The Valuation of Risk Assets and Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 1965, 47, 13-37. The Valuation of Risk Assets and Selection of Risky Investments in Stock Portfolios and Capital Budgets Review of Economics and Statistics 47 13 37
  • Markowitz, H.M. Portfolio Selection. The Journal of Finance, 1952, 7:1, 77-91. Portfolio Selection The Journal of Finance 7 77 91
  • Michaud, R. The Markowitz Optimization Enigma: Is Optimized Optimal? Financial Analysts Journal, 1989, 54:1, 31-42. The Markowitz Optimization Enigma: Is Optimized Optimal? Financial Analysts Journal 54 31 42
  • Perret-Gentil, C. and M.P. Victoria-Feser. Robust Mean-Variance Portfolio Selection. Tech. Report 140, 2004.
  • Schäfer, J. and K. Strimmer. A Shrinkage Approach to Large-Scale Covariance Matrix Estimation and Implications for Functional Genomics. Statistical Applications in Genetics and Molecular Biology, 2005, 4, 1-32. A Shrinkage Approach to Large-Scale Covariance Matrix Estimation and Implications for Functional Genomics Statistical Applications in Genetics and Molecular Biology 4 1 32
  • Sharpe, W.F. The Sharpe Ratio. Journal of Portfolio Management, 1994, Fall, 49-58. The Sharpe Ratio Journal of Portfolio Management 49 58
  • Singh, V. and K. Singh. Prospects & Problems of Real Estate in India. International Research Journal of Finance and Economics, 2009, 24, 242-54. Prospects & Problems of Real Estate in India International Research Journal of Finance and Economics 24 242 54
  • Stevenson, S. Bayes-Stein Estimators & International Real Estate Asset Allocation. Journal of Real Estate Research, 2000, 21, 89-103. Bayes-Stein Estimators & International Real Estate Asset Allocation Journal of Real Estate Research 21 89 103
  • Welsch, R.E. and X. Zhou. Application of Robust Statistics to Asset Allocation Models. Statistical Journal, 2007, 5:1, 97-114. Application of Robust Statistics to Asset Allocation Models Statistical Journal 5 97 114
  • Yu, K. Robust Regression and Quantile Regression. Carisma, Presentation at Brunel University in London, 2005. Robust Regression and Quantile Regression

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.