Can a neural network property portfolio selection process outperform the property market

Craig Ellis, Patrick J. Wilson

    Research output: Contribution to journalArticle

    13 Citations (Scopus)

    Abstract

    Evidence of the superior performance of portfolios comprised of 'value' stocks over 'growth' stocks is wide and varied. Despite this burgeoning literature, relatively little is known about the comparative performance of property sector value stocks and the performance of neural network techniques in relation to this market sector. This study addresses both of these issues by applying neural network modeling techniques to the Australian property sector stocks to construct a variety of value portfolios. Risk-adjusted performance measures show that the value portfolios outperform the market by as much as 7.14%.
    Original languageEnglish
    JournalJournal of Real Estate Portfolio Management
    Publication statusPublished - 2005

    Keywords

    • comparative analysis
    • mathematical models
    • neural networks, foundations to applications
    • portfolio management
    • real estate

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