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The Role of Risk Measures Choices in Ranking Real Estate Funds: Evidence from the Italian Market

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Asset Pricing, Real Estate and Public Finance over the Crisis

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Abstract

Return distribution of some financial instruments (like hedge funds) does not fit with the hypothesis of normality of returns and so, for those instruments, new and more complex Risk Adjusted Performance measures (hereinafter RAP) are proposed. The rankings based on these new measures are not always coherent with those defined using more simple ones and could show qualities (like a higher time persistence) that are desirable for an investor (Carretta and Mattarocci, 2008).

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Authors
  1. Claudio Giannotti
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  2. Gianluca Mattarocci
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Editor information

Editors and Affiliations

  1. University of Rome ‘Tor Vergata’, Italy

    Alessandro Carretta (Full professor of Financial Markets and Institutions and Director, PhD programme in Banking and Finance) & Gianluca Mattarocci (Lecturer of Financial Markets and Institutions) (Full professor of Financial Markets and Institutions and Director, PhD programme in Banking and Finance) &  (Lecturer of Financial Markets and Institutions)

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© 2013 Claudio Giannotti and Gianluca Mattarocci

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Giannotti, C., Mattarocci, G. (2013). The Role of Risk Measures Choices in Ranking Real Estate Funds: Evidence from the Italian Market. In: Carretta, A., Mattarocci, G. (eds) Asset Pricing, Real Estate and Public Finance over the Crisis. Palgrave Macmillan Studies in Banking and Financial Institutions. Palgrave Macmillan, London. https://doi.org/10.1057/9781137293770_11

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