This paper examines the properties of optimal times to sell a diversified real estate portfolio. The portfolio value is supposed to be the sum of the discounted free cash flows and the discounted terminal value (the discounted selling price). According to Baroni et al. (2007b), we assume that...

This paper aims to show that the accuracy of real estate portfolio valuations can be improved through the simultaneous use of Monte Carlo simulations and options theory. Our method considers the options embedded in Continental European lease contracts drawn up with tenants who may move before...

This paper aims to show that the accuracy of real estate portfolio valuations and of real estate risk management can be improved through the simultaneous use of Monte Carlo simulations and options theory. Our method considers the options embedded in Continental European lease contracts drawn up...

Purpose – The purpose of this paper is to offer a framework for computing optimal investment holding periods for real estate portfolios. Design/methodology/approach – The analysis is set within a standard DCF modelling framework and it is shown that it is not adapted to offer sufficient...

Purpose – This paper aims to test the robustness of the trend and volatility estimations for two indices: the classical Weighted Repeat Sales and a PCA factorial index. The estimations are computed from a dataset of Paris commercial properties. Design/methodology/approach – First, two...