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Optimal portfolio allocation with Asian hedge funds and Asian REITs

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Figure

Table 1 :  Statistics of asset returns
Table 2 :  Descriptive statistics of equally weighted portfolios Portfolio   fraction   of AIs  Mean (p.a.)  Standard  deviation (p.a.)  Skewness Excess kurtosis  Sharpe  ratio  Adjusted Sharpe Ratio  0% 0.0630 0.3112 0.1042  -0.9305  0.1082 0.1084  20% 0.
Table 3 :  Black-Litterman-adjusted mean returns
Table 7 :  Risk aversion parameters
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