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Using a Bootstrap to Measure Optimum Mixed‐Asset Portfolio Composition:
Author(s) -
Ziobrowski Alan J.,
Cheng Ping,
Ziobrowski Brigitte J.
Publication year - 1997
Publication title -
real estate economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.064
H-Index - 61
eISSN - 1540-6229
pISSN - 1080-8620
DOI - 10.1111/1540-6229.00734
Subject(s) - portfolio , asset (computer security) , measure (data warehouse) , preference , real estate , econometrics , economics , composition (language) , confidence interval , actuarial science , estate , financial economics , computer science , mathematics , statistics , microeconomics , finance , data mining , linguistics , philosophy , computer security
Liang, Myer and Webb (1996) have offered bootstrap simulation as a tool for quantifying the uncertainty in the optimum composition of portfolios. Unfortunately, the confidence intervals produced were so large, they were unable to provide any new insight to the question, “How Much in Real Estate?”. In this comment, adjustments have been made to the methodology they proposed and as a result have produced findings which lead to very different conclusions. More specifically, the results suggest that investors with a low risk preference should hold very little real estate.