Publicação
Role of mortgage backed securities in a diversified portfolio under the mean- variance framework
| Resumo: | 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. |
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| Autores principais: | Benthin, Benedikt |
| Assunto: | Mortgage backed securities Diversification Portfolio optimization Real estate investments |
| Ano: | 2017 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | 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. |
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