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The Performance of Real Estate Portfolios: A Simulation Approach

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Author Info
WILLIAM N. GOETZMANN () (Yale School of Management, International Center for Finance)
JEFFREY D. FISHER () (Indiana University)

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Abstract

In this paper we simulate the performance of real estate portfolios using cash flows from commercial properties over the period 1977 Q4 through 2004 Q2. Our methodology differs from analyses that rely upon historical time-weighted rates of return on property. We relax implicit rebalancing and mark to market assumptions inherent in time-series analysis. We use the distribution of internal rates of return to analyze the performance distribution of commercial property investment. We examine the performance of real estate in the context of portfolios of stocks and bonds over the same period.

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Publisher Info
Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm456.

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Date of creation: 15 Jul 2005
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Handle: RePEc:ysm:somwrk:ysm456

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Related research
Keywords: Asset Allocation; Real Estate;

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
R33 - Urban, Rural, and Regional Economics - - Production Analysis and Firm Location - - - Nonagricultural and Nonresidential Real Estate Markets

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