Diversification potential in real estate portfolios

Candelon, Bertrand; Fuerst, Franz; Hasse, Jean‐Baptiste

doi:10.1016/j.inteco.2021.04.001

Cited by 8 publications

(10 citation statements)

References 48 publications

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“…Ardia and Boudt (2015) use the tool of the modified Sharpe ratio to develop an equality test of modified SR of investment forms. Candelon et al (2021b) use the definition of the relative Sharpe ratio loss (RSRL) as a measure of underdiversification and the prior development of a modified Sharpe ratio to propose the modified relative Sharpe ratio loss (mRSRL), which is robust to non-normality. Following Ledoit and Wolf (2008) and Ardia and Boudt (2015), Candelon et al (2021b) also use a studentized circle block-bootstrap procedure to build robust confidence intervals.…”

Section: Empirical Approach and Resultsmentioning

confidence: 99%

“…Candelon et al (2021b) use the definition of the relative Sharpe ratio loss (RSRL) as a measure of underdiversification and the prior development of a modified Sharpe ratio to propose the modified relative Sharpe ratio loss (mRSRL), which is robust to non-normality. Following Ledoit and Wolf (2008) and Ardia and Boudt (2015), Candelon et al (2021b) also use a studentized circle block-bootstrap procedure to build robust confidence intervals. We apply the development of the mRSRL as a robust form of analyzing underdiversification between two different investment forms.…”

Section: Empirical Approach and Resultsmentioning

confidence: 99%

“…We use the mRSRL concept by Candelon et al (2021b) to test the underdiversification of the US green bond index time series data and the US corporate energy index time series as risky assets against the common benchmark of the 10-year bond yields asset of the US treasury for the period between 1 January 2017 and 1 October 2020.…”

Section: Empirical Approach and Resultsmentioning

confidence: 99%

Section: Testing For Underdiversification In the Time Series Datamentioning

confidence: 99%

“…Similar to Candelon et al (2021b), we also compute the RSRL for different asset types. Since we are only interested in comparing the performance of two individual time series (a green bond and a corporate energy index) with a benchmark asset (the 10-year treasury bond), we compute the RSRL based on the time series vectors, and not based on efficient portfolios, as in Candelon et al (2021b). 17 The analysis of underdiversification for the the different time series shows that, for the ordinary RSRL, the Sharpe ratio loss of the conventional time series index against the 10-year treasury bonds is 0.721, significantly higher than the relative Sharpe ratio loss of the green bond index compared to the 10-year treasury bond (see Table 2).…”

Section: Testing For Underdiversification In the Time Series Datamentioning

confidence: 99%

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Green Bonds for the Transition to a Low-Carbon Economy

2022

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The green bond market is emerging as an impactful financing mechanism in climate change mitigation efforts. The effectiveness of the financial market for this transition to a low-carbon economy depends on attracting investors and removing financial market roadblocks. This paper investigates the differential bond performance of green vs non-green bonds with (1) a dynamic portfolio model that integrates negative as well as positive externality effects and via (2) econometric analyses of aggregate green bond and corporate energy time-series indices; as well as a cross-sectional set of individual bonds issued between 1 January 2017, and 1 October 2020. The asset pricing model demonstrates that, in the long-run, the positive externalities of green bonds benefit the economy through positive social returns. We use a deterministic and a stochastic version of the dynamic portfolio approach to obtain model-driven results and evaluate those through our empirical evidence using harmonic estimations. The econometric analysis of this study focuses on volatility and the risk–return performance (Sharpe ratio) of green and non-green bonds, and extends recent econometric studies that focused on yield differentials of green and non-green bonds. A modified Sharpe ratio analysis, cross-sectional methods, harmonic estimations, bond pairing estimations, as well as regression tree methodology, indicate that green bonds tend to show lower volatility and deliver superior Sharpe ratios (while the evidence for green premia is mixed). As a result, green bond investment can protect investors and portfolios from oil price and business cycle fluctuations, and stabilize portfolio returns and volatility. Policymakers are encouraged to make use of the financial benefits of green instruments and increase the financial flows towards sustainable economic activities to accelerate a low-carbon transition.

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Section: Empirical Approach and Resultsmentioning

confidence: 99%

Section: Empirical Approach and Resultsmentioning

confidence: 99%

Section: Empirical Approach and Resultsmentioning

confidence: 99%

Section: Testing For Underdiversification In the Time Series Datamentioning

confidence: 99%

Section: Testing For Underdiversification In the Time Series Datamentioning

confidence: 99%

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Green Bonds for the Transition to a Low-Carbon Economy

2022

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Diversification with globally integrated US stocks

Conlon,

Cotter,

Ropotos

2024

Journal of International Financial Markets, Institutions and Mo

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Risk Return Performance of Bitcoin and Alternative Investment Assets in Mixed Asset Portfolios in the Years 2018 to 2020

Elferich¹

2021

SHS Web Conf.

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Research background: Since the financial crisis in 2008, numerous other cryptocurrencies have established themselves in the financial industry alongside Bitcoin. Although the validity of the user cases is still lacking, Bitcoin is already being used extensively in the institutional finance sector, among others. Here, the comparison of Bitcoin to other asset classes in mixed portfolio structures must be taken into account. According to the latter, far-reaching areas of investigation emerge by adding Bitcoin in the evaluation of risk-return ratios of mixed portfolio weightings. Purpose of the article: The objective of this paper is to examine, within the framework of Harry Markowitz’s efficiency theory, the impact of including Bitcoin as an investment asset for the risk-return ratios of mixed portfolio structures. Methods: The statistical analysis is based, among other things, on paired sample tests, where the return and volatility values are tested for significant differences in the selected test values. Findings & Value added: The statistical investigations show that the introduction of Bitcoin leads to advantageous return structures, but at the same time to significantly increased volatility values of the examined portfolio constellations. Setting a regional focus of the investment assets in the investigations led to a simplified evaluation basis and at the same time offers the scientific space for further investigations.

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Diversification potential in real estate portfolios

Cited by 8 publications

References 48 publications

Green Bonds for the Transition to a Low-Carbon Economy

Green Bonds for the Transition to a Low-Carbon Economy

Diversification with globally integrated US stocks

Risk Return Performance of Bitcoin and Alternative Investment Assets in Mixed Asset Portfolios in the Years 2018 to 2020

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