Please use this identifier to cite or link to this item:
Title: Atomic portfolio selection: MVSK utility optimization of global real estate securities
Keywords: coskewness, cokurtosis, atomic risk premia, mean-variance-skewness-kurtosis (MVSK), co-moment conditions, atomic portfolio selection.
Issue Date: 28-Dec-2004
Citation: CHAN WEI-JIN, CALVIN LANZ (2004-12-28). Atomic portfolio selection: MVSK utility optimization of global real estate securities. ScholarBank@NUS Repository.
Abstract: With the recent nascent of the first real estate hedge fund in Asia in July 2004 in the burgeoning hedge fund industry, more research is due for global real estate securities. This thesis addresses global real estate securities by analyzing risks-returns and portfolio selection strategies in a four-moment mean-variance-skewness-kurtosis (MVSK) framework. By modeling higher moment CAPMs with GMM estimation, which account for the co-moments of covariance, coskewness and cokurtosis, we empirically identify three co-moment conditions of anti-moment, bi-moments and tri-moments in individual securities of a portfolio. We show Atomic Portfolio Selection (APS) as the process that incorporates the three co-moments of individual securities and the key identification of the three atomic co-moment conditions of each security. Additionally, we perform a time-varying Kalman Filter analysis of conditional co-moments and find that significant higher moments are time-varying. Our results support higher moment modeling in real estate securities and the MVSK models reveal to be a more conservative approach for portfolio construction.
Appears in Collections:Master's Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
ChanCWJL.pdf1.39 MBAdobe PDF



Page view(s)

checked on Apr 15, 2021


checked on Apr 15, 2021

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.