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Asset allocation

Author

Listed:
  • Kim Hin/David Ho
  • Seow Eng Ong
  • Tien Foo Sing

Abstract

Purpose - The purpose of this paper is to conceptualise a workable strategic asset allocation (SAA) model, given the data paucity problem, and involve anex anteframework that is distributional free. Design/methodology/approach - The SAA model is developed within a semi‐quantitative and expert‐based framework – the analytic hierarchy process (AHP) – and not a purely time‐series one. It is developed on the basis of consensus by a group of real estate investment experts, who agree on a fixed investment time horizon so that the time factor is disregarded as a variant. The SAA becomes the interface around which a set of tactical bands is imposed, subject to the Markowitz mean‐variance optimisation, and utilizing the total‐return data set of the Jones Lang LaSalle Real Estate Intelligence Service‐Asia. The lower and upper limits of the tactical bands represent the cyclical attractiveness of the various Asian office markets as growth and value‐added markets Findings - The SAA‐AHP model robustly reflects expert judgement among a cohesive group of real estate investment experts, with regard to a Pan‐Asia office market portfolio of eight major Asian cities. Through pair‐wise comparisons and subject to consistency checks in terms of the consistency ratio of

Suggested Citation

  • Kim Hin/David Ho & Seow Eng Ong & Tien Foo Sing, 2006. "Asset allocation," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 24(4), pages 324-342, July.
    • Handle: RePEc:eme:jpifpp:14635780610674516
    DOI: 10.1108/14635780610674516
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