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Gholipour, H. F., Tajaddini, R., Farzanegan, M. R., & Yam, S. (2021). Responses of REITs Index and Commercial Property Prices to Economic Uncertainties: A VAR Analysis. Research in International Business and Finance, 58, Article ID: 101457.
https://doi.org/10.1016/j.ribaf.2021.101457

has been cited by the following article:

• TITLE: An Inquiry into the Optimal Portfolio for Equity and Real Estate in Japan

  AUTHORS: Chikashi Tsuji

  KEYWORDS: J-REIT, MGARCH, Optimal Portfolio Weight, TOPIX

  JOURNAL NAME: iBusiness, Vol.16 No.2, May 27, 2024

  ABSTRACT: This paper examines the optimal portfolio selection problems for equity and real estate in Japan. Specifically, we empirically analyze the time-varying optimal portfolio weights for the TOPIX and the J-REIT from April 2003 to June 2013 and from July 2013 to October 2023. Our findings reveal that in the more recent period, higher portfolio weights for the J-REIT are more effective in constructing the two-asset portfolio of the TOPIX and the J-REIT. In other words, our results indicate that in the more recent period, lower portfolio weights for the TOPIX are more efficient in building the two-asset portfolio.