Showing 1 - 10 of 254
Persistent link: https://www.econbiz.de/10007818070
Persistent link: https://www.econbiz.de/10005333631
Persistent link: https://www.econbiz.de/10007185099
Property portfolios are traditionally constructed by diversifying across geographical areas, property types, or a combination of both. In the United Kingdom it is normal practice to use regions rather than towns or local market areas as the geographical divisions. The authors use cluster...
Persistent link: https://www.econbiz.de/10005088521
ERES:conference
Persistent link: https://www.econbiz.de/10010799376
ERES:conference
Persistent link: https://www.econbiz.de/10010799618
The London office market is one of the most researched market in the world owing both to size and data availability. Prior work modelling office market rental adjustment was based on only two decades of data that were dominated by less than an incomplete real estate cycle (Hendershott et al, 1999; 2002;...
Persistent link: https://www.econbiz.de/10010834673
The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate wether beta is a valid measure of risk has been renimated by Fama and French (1992) and subsequent studies. Rather than focusing on exogenous...
Persistent link: https://www.econbiz.de/10012788799
In this article, portfolio allocation strategies based on a threshold autoregressive conditional heteroskedasticity model (QTARCH) are constructed for the United States and the United Kingdom and compared to a conventional asset allocation. Our procedure is based on partitioning the historical...
Persistent link: https://www.econbiz.de/10012789789
We investigate the role of real estate in a mixed-asset portfolio when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk. We argue that the MaxDD concept is one of the most natural measures of risk, and that such a framework can help...
Persistent link: https://www.econbiz.de/10012739589