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The Tortoise and the Hare: Risk Premium Versus Alternative Asset Portfolios

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  • Ron Bird & Harry Liem & Susan Thorp, 2012. "The Tortoise and the Hare: Risk Premium Versus Alternative Asset Portfolios," Working Paper Series 16, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
    • Handle: RePEc:uts:pwcwps:16
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    1. Gordon J. Alexander & Alexandre M. Baptista, 2004. "A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model," Management Science, INFORMS, vol. 50(9), pages 1261-1273, September.
    2. Victor DeMiguel & Lorenzo Garlappi & Raman Uppal, 2009. "Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?," The Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 1915-1953, May.
    3. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-278, July.
    4. Fisher, Jeffrey D & Geltner, David M & Webb, R Brian, 1994. "Value Indices of Commercial Real Estate: A Comparison of Index Construction Methods," The Journal of Real Estate Finance and Economics, Springer, vol. 9(2), pages 137-164, September.
    5. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    6. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
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    Cited by:

    1. Vo, D.H. & Tran, N.P. & Duong, T.N.-T. & McAleer, M.J., 2019. "Risk Analysis of Energy in Vietnam," Econometric Institute Research Papers EI2019-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019. "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
    3. Ngoc Phu Tran & Thang Cong Nguyen & Duc Hong Vo & Michael McAleer, 2019. "Market Risk Analysis of Energy in Vietnam," Risks, MDPI, vol. 7(4), pages 1-13, November.
    4. Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
    5. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Economic cycles and downside commodities risk," Applied Economics Letters, Taylor & Francis Journals, vol. 25(4), pages 258-263, February.
    6. Frédéric Blanc-Brude & Timothy Whittaker & Simon Wilde, 2017. "Searching for a listed infrastructure asset class using mean–variance spanning," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(2), pages 137-179, May.
    7. Tanzeem Hasnat, 2021. "Infrastructure Equity and Firm Performance in India," Millennial Asia, , vol. 12(1), pages 97-115, April.

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