Data · dataset · 2017
REIT in Brazil: An opportunity of international diversification
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ABSTRACT The benefits of international diversification have been modified by the continuous change in the correlations between markets.
Description
Real estate investment has a high potential as a diversifying asset in a portfolio. The aim of this paper is to analyze the diversification by investing in REITs and equities for an investor from Brazil.
We build optimal portfolios out-of-sample using predictions of volatility, correlations and yields following the DCC and VAR-DCC methods for the BOVA11, Ifix and SPDR S&P500 indices, during the period from December 1, 2014 to October 30, 2015. Our results show that the VAR-DCC approach slightly improves the DCC and Plug-in approaches, and the Naïve strategy.
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Where it is published
- Repository landing page scielo.figshare.com/articles/REIT_in_Brazil_An_opportunity_of_international_divers… ↗
landing page · from DataCite
- DOI doi.org/10.6084/m9.figshare.5671081.v1 ↗
DOI / persistent id · from DataCite
Documentation and papers
- Creative Commons Attribution 4.0 International creativecommons.org/licenses/by/4.0/legalcode ↗
license · from DataCite
- IsSupplementTo 10.1590/s0034-759020170402 doi.org/10.1590/s0034-759020170402 ↗
publication · from DataCite
Catalogue records · 2
- DataCite API api.datacite.org/dois/10.6084/m9.figshare.5671081.v1 ↗
metadata API · from DataCite
- DataCite Commons commons.datacite.org/doi.org/10.6084/m9.figshare.5671081.v1 ↗
catalogue entry · from DataCite
Topics
- Stated by source
- Economics and business
Related
Provenance · 1 source records, 9 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| DataCite | 10.6084/m9.figshare.5671081.v1 | 12 d ago | JSON v1 |
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| updated_date | source · DataCite | connector:datacite@1.0.0 |