Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/178513
Authors: 
Chiang, Thomas C.
Lean, Hooi Hooi
Wong, Wing-keung
Year of Publication: 
2008
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 1 [Year:] 2008 [Issue:] 1 [Pages:] 1-40
Abstract: 
This paper re-examines the performance of REITs, stocks, and fixed-income assets based on the preferences of risk-averse and risk-seeking investors using mean-variance and stochastic dominance approaches. Our findings indicate no first-order stochastic dominance and no arbitrage opportunity among these assets. However, our stochastic dominance results reveal that in order to maximize their expected utility, the risk-averse prefer fixed-income assets over real estate, which, in turn, is preferable to stocks. On the other hand, to maximize their expected utility, all risk-seeking investors would prefer to invest in stocks than in real estate, but real estate, in turn, is preferable to fixed-income assets.
Subjects: 
stochastic dominance
risk
REITs
stock
fixed-income assets
risk-aversion
risk-seeking
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-sa/3.0/
Document Type: 
Article
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