The benchmarks for direct investments in real estate are mostly appraisal-based. They are usually smoothed. Therefore they are lagging the "true" returns in the property markets and understate their volatility and their correlation to other asset classes.The basic idea in our approach is to use...

Even if the market capitalization of direct real estate is comparable to that of equities and fixed income, the data on direct real estate is very poor. It is, therefore, difficult to estimate the market risk of this important asset class. Moreover, risk systems from most vendors cover equities...

Even if the market capitalization of direct real estate is comparable to that of equities and fixed income, the data on direct real estate is very poor. It is, therefore, difficult to estimate the market risk of this important asset class. Moreover, risk systems from most vendors cover equities...