The Effect of Alternative Return Measures on Restricted Mixed‐Asset Portfolios
研究了不同税收等级下，使用三种替代回报指标和两种风险度量时，包含股票、债券和房地产的受限投资组合的最优配置变化。
A restricted portfolio is constructed which includes NYSE common stocks, corporate bonds, government bonds, small capitalization common stocks, residential real estate and farmland and returns for each of four different tax brackets (0%, 15%, 30%, 45%). Next, three alternative measures of rates of return for residential real estate and farmland are used. Finally, since some researchers believe that standard risk measures (variance and standard deviation) do not capture the total risk in real estate, the risk for the real estate returns is increased five times while the returns are held constant. The twenty–four optimal portfolios (four tax brackets with two measures of risk and three measure of return for residential real estate and farmland) are then derived. These results are then compared and contrasted to each other to ascertain the change in sensitivity of the optimal portfolios due to different tax rates, different rates–of–return estimates and different risk estimates.