Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation
AbstractWe use a parametric portfolio approach to estimate optimal commercial real estate portfolio policies. We do so using the NCREIF data set of commercial properties over the sample period 1984:Q2 to 2009:Q1. The richness of this extensive data set and the flexibility of the parametric portfolio approach allow us to consider: (i) a large cross-section of individual properties across various regions and property types; (ii) several property-specific conditioning variables, such as cap rates, leverage, value, and vacancy rates; and (iii) various macro-economic factors. Property-specific conditioning information is found to be economically important even for portfolios that are well-diversified across geographical regions and property types.
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Bibliographic InfoPaper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 11-07.
Length: 20 pages
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Dynamic portfolio choice; real estate; cap rate;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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