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Document type:
Zeitschriftenaufsatz 
Author(s):
Höcht, S.; Ng, K.H.; Wolf, J.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Optimal Portfolio Allocation with Asian Hedge Funds and Asian Reits 
Abstract:
During the past years, the institutional interest in investments into hedge funds and real estate investment trusts has grown considerably. In this paper the benefits of investing in these asset classes are analyzed by applying models that recognize higher-order moments or the whole return distribution like the power-utility, Omega, and Score-value model. Trying to obtain more general results than those we can find from historical data only, we modelled the asset returns by Markov switching proc...    »
 
Intellectual Contribution:
Contribution to Practice 
Journal title:
International Journal of Service Sciences 
Year:
2008 
Journal volume:
Journal issue:
Pages contribution:
36-68 
Reviewed:
ja 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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