Bootstrap Analysis for Asian REIT’s Portfolios
Juliana Caicedo-Llanoa,b and Enareta Kurtbegub, aUniversity of Evry-Val-d’Essonne, bEONOS Investment Technologies University of Evry-Val-d’Essonne, EPEE, TEPP-CNRS, 4, Boulevard Francois Mitterrand, Evry Cedex 91025, France EONOS Investment Technologies, 53 rue de la Boetie 75008 Paris, France, juliana.caicedollano@univ-evry.fr; enareta.kurtbegu@univ-evry.fr
Abstract
In this chapter, a new bootstrap technique is applied to analyze the performance of a set of Asian REITs and make selections based on the best performers. The cross section of Asian REITs being non-normal, these techniques are quite useful. The risk-adjusted performance issued from traditional asset pricing models will ...
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