Author(s):
Benthin, Benedikt
Date: 2017
Persistent ID: http://hdl.handle.net/10362/26968
Origin: Repositório Institucional da UNL
Subject(s): Mortgage backed securities; Diversification; Portfolio optimization; Real estate investments; Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Description
In light of the negative reputation of mortgage backed securities (MBS) due to the subprime crisis and considering the swift recovery of the US real estate market since the crisis, the role of MBS in a mean-variance optimized portfolio is assessed. Excellent diversification benefits as well as attractive risk/ return attributes of agency- MBS are discovered leading to persistently biased allocations towards agency-MBS in a mixed portfolio with equities, bonds, MBS as well as real estate indices and excellent diversification capabilities are revealed in mixed portfolios combining agency-MBS with direct real estate investments.