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Using a Bootstrap to Measure Optimum Mixed‐Asset Portfolio Composition:

Author

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  • Alan J. Ziobrowski
  • Ping Cheng
  • Brigitte J. Ziobrowski

Abstract

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.

Suggested Citation

  • Alan J. Ziobrowski & Ping Cheng & Brigitte J. Ziobrowski, 1997. "Using a Bootstrap to Measure Optimum Mixed‐Asset Portfolio Composition:," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(4), pages 695-705, December.
    • Handle: RePEc:bla:reesec:v:25:y:1997:i:4:p:695-705
    DOI: 10.1111/1540-6229.00734
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