This paper proposes a novel Interval Type-2 fuzzy linguistic framework for assessing the interpretability and linguistic-partition sensitivity of R-vine copula dependence analysis. Kendall’s rank correlation coefficients obtained from the estimated pair-copulas are transformed into linguistic dependence categories using triangular fuzzy membership functions and aggregated into a Fuzzy Dependence Score (FDS). To account for uncertainty in the linguistic partition, the proposed methodology extends the Type-1 fuzzy model to Interval Type-2 fuzzy sets and employs the Karnik–Mendel type-reduction algorithm to compute an Interval Type-2 Fuzzy Dependence Score (IT2-FDS). The framework is illustrated using technology stocks, Bitcoin, gold, and crude oil. The results reveal heterogeneous dependence patterns and show that the proposed Interval Type-2 extension preserves the dependence ranking while quantifying sensitivity to linguistic-partition uncertainty in the fuzzy category definitions. An extended validation on a ten-asset universe across three non-overlapping subperiods and a grid of uncertainty widths shows that the ranking is stable within the tested perturbation range but not across all regimes. Robustness here means sensitivity to the linguistic-partition width only, not to sampling, model-selection, or parameter uncertainty. No improvement over a Type-1 alternative is claimed, and rank agreement reflects the numerically verified monotonicity of the scoring transformation.
This study compares the performance of major global REIT markets with REITs classified by their geographic operating market and returns measured in the corresponding local currency. The analysis evaluates risk-adjusted performance, dependence structures, downside risk, and portfolio implications using Sharpe, Sortino, Omega, VaR, CVaR, and three portfolio optimization techniques. Results show substantial variation in return distributions and downside risk across markets, while correlations generally increase during the COVID-19 pandemic and the subsequent period. Canadian and Euro-area REITs exhibit comparatively strong risk-adjusted performance, although their tail-risk profiles differ. Portfolio results further show that concentration, volatility, and tail risk do not necessarily produce identical rankings: the most concentrated tangency portfolio generates the highest Sharpe ratio while also exhibiting the most favorable historical VaR and CVaR among the optimized portfolios. The findings demonstrate that global REIT markets remain heterogeneous despite increasing integration and that portfolio evaluation benefits from jointly considering conventional performance, diversification, and tail risk.
This paper introduces data-based intuition, a framework for understanding how financial judgment develops through accumulated quantitative and qualitative analysis. It defines data-based intuition as the capacity to make context-sensitive financial judgments grounded in such analysis rather than instinct alone. The framework views financial decision-making as a recursive learning process: data inform analysis, analysis contributes to experience and judgment, and decisions and outcomes provide new information for subsequent assessment. Because financial relationships are contingent and may change, both analytical conclusions and intuitive judgments are fallible and open to revision. The paper develops this conceptual framework by connecting research on financial decision-making with work on expertise, intuition, and learning. Its central contribution is to explain how data-based intuition develops and operates in financial expertise, while clarifying the complementary roles of analysis, experience, and judgment. The framework also identifies conditions under which accumulated experience may support or weaken later judgments and offers a basis for future empirical research.
This study examines the state- and frequency-dependent connectedness among crude oil, gold, the U.S. dollar, and the Thai equity market. Using daily data from 1 February 2008 to 31 December 2025, we combine quantile connectedness with frequency-domain decomposition to identify how market transmission changes across extreme and normal states and over short- and long-run horizons. The results reveal pronounced state dependence: system connectedness is substantially stronger in both the lower and upper tails than around the median. Gold emerges as an important net transmitter in both extreme states, although its transmission leadership changes across frequencies. In the lower tail, SET dominates short-run transmission while oil becomes the principal long-run transmitter; in the upper tail, USD leads short-run transmission whereas SET dominates at longer horizons. Most importantly, Gold–SET connectedness is negligible under normal conditions but rises sharply in both tails and remains strongly bidirectional. These findings do not support an unconditional interpretation of gold as a universally effective safe haven. Its diversification role is conditional on market state, transmission direction, and investment horizon. The results highlight the importance of state- and horizon-specific information for portfolio risk management and financial-market monitoring. The SET is treated as a theoretically informative Thailand-centered case rather than as a proxy for the global equity market; cross-country generalization therefore requires validation in broader emerging- and developed-market samples.
This paper proposes a redesigned pricing structure for Singapore’s Lease Buyback Scheme to strengthen retirement financing. The modified scheme enhances flexibility in housing-equity release by combining a guaranteed stay period, lifetime occupancy, and preservation of the tail-end lease value for bequest purposes. Through numerical examples, the paper illustrates the contractual mechanics and actuarial trade-offs associated with the proposed design, providing a tractable benchmark for assessing how front-end lease choices and demographic characteristics affect benefit structures and pricing. The proposed approach may also be applied to the different lease tenures available under Singapore’s Short-Term 2-Room Flexi Flat Scheme. Rather than developing an implementation-ready pricing model, the paper presents a framework of the modified schemes providing additional contractual options that could expand homeowners’ choices, support ageing in place, and reduce reliance on government housing and social subsidies. It also discusses the costs and benefits of the proposed designs from the perspectives of both the government and homeowners.
