REIT in Brazil: An opportunity of international diversification

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Maria Celia López-Penabad
Carmen López-Andión
Ana Iglesias-Casal
José Manuel Maside-Sanfiz


The benefits of international diversification have been modified by the continuous change in the correla­tions between markets. Real estate investment has a high potential as a diversifying asset in a portfolio. The aim of this paper is to analyze the diversification by investing in REITs and equities for an investor from Brazil. We build optimal portfolios out-of-sample using predictions of volatility, correlations and yields following the DCC and VAR-DCC methods for the BOVA11, Ifix and SPDR S&P500 indices, during the period from December 1, 2014 to October 30, 2015. Our results show that the VAR-DCC approach slightly improves the DCC and Plug-in approaches, and the Naïve strategy. 


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LÓPEZ-PENABAD, M. C.; LÓPEZ-ANDIÓN, C.; IGLESIAS-CASAL, A.; MASIDE-SANFIZ, J. M. REIT in Brazil: An opportunity of international diversification. RAE - Revista de Administracao de Empresas , [S. l.], v. 57, n. 4, p. 302–316, 2017. DOI: 10.1590/S0034-759020170402. Disponível em: Acesso em: 10 dec. 2023.


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