data_efficient_portfolios_returns: Efficient portfolios returns

In DiversificationR: Econometric Tools to Measure Portfolio Diversification

Description

This dataset includes efficient real estate portfolios returns from 1999 to 2018 (annual frequency). Overall, country- and -sector level portfolios are computed in both Markowitz and Black-Litterman frameworks.

Usage

data("data_efficient_portfolios_returns")

Format

The format is: num [1:19, 1:6] 7.87 6.93 6.32 6.92 7.1 ... - attr(*, "dimnames")=List of 2 ..$ : NULL ..$ : chr [1:6] "v_Overall_M" "v_Countries_M" "v_Sectors_M" "v_Overall_BL" ...

Source

Author's own calculations based on MSCI dataset.

References

Candelon, Bertrand, Franz Fuerst, and Jean-Baptiste Hasse. "Diversification Potential in Real Estate Portfolios." (2020) Cambridge Working Paper.

Examples

data(data_efficient_portfolios_returns)
head(data_efficient_portfolios_returns)

DiversificationR documentation built on Feb. 11, 2021, 5:05 p.m.