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Optimal Portfolio Choices, House Risk Hedging and the Pricing of Forward House Transactions

  • Gang-Zhi Fan

    ()

  • Ming Pu

    ()

  • Seow Ong

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s11146-011-9323-2
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Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

Volume (Year): 45 (2012)
Issue (Month): 1 (June)
Pages: 3-29

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Handle: RePEc:kap:jrefec:v:45:y:2012:i:1:p:3-29
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102945

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  1. Capozza, Dennis & Li, Yuming, 1994. "The Intensity and Timing of Investment: The Case of Land," American Economic Review, American Economic Association, vol. 84(4), pages 889-904, September.
  2. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
  3. Morris A. Davis & Robert F. Martin, 2008. "Housing, home production, and the equity and value premium puzzles," International Finance Discussion Papers 931, Board of Governors of the Federal Reserve System (U.S.).
  4. Jianjun Miao & Neng Wang, 2007. "Investment, Consumption, and Hedging under Incomplete Markets," NBER Working Papers 13250, National Bureau of Economic Research, Inc.
  5. Englund, Peter & Hwang, Min & Quigley, John M., 2002. "Hedging Housing Risk," Berkeley Program on Housing and Urban Policy, Working Paper Series qt06t5d6v0, Berkeley Program on Housing and Urban Policy.
  6. S. Wong & C. Yiu & M. Tse & K. Chau, 2006. "Do the Forward Sales of Real Estate Stabilize Spot Prices?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 289-304, May.
  7. Brueckner, Jan K, 1997. "Consumption and Investment Motives and the Portfolio Choices of Homeowners," The Journal of Real Estate Finance and Economics, Springer, vol. 15(2), pages 159-80, October.
  8. Jiang, Wang, 1996. "The term structure of interest rates in a pure exchange economy with heterogeneous investors," Journal of Financial Economics, Elsevier, vol. 41(1), pages 75-110, May.
  9. Childs, Paul D. & Ott, Steven H. & Riddiough, Timothy J., 1996. "The Pricing of Multiclass Commercial Mortgage-Backed Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(04), pages 581-603, December.
  10. Antonia Diaz & Maria J. Luengo-Prado, 2006. "On The User Cost And Homeownership," Economics Working Papers we065421, Universidad Carlos III, Departamento de Economía.
  11. Joao F. Cocco, 2005. "Portfolio Choice in the Presence of Housing," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 535-567.
  12. Charles Leung, 2007. "Equilibrium Correlations of Asset Price and Return," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 233-256, February.
  13. Benth, Fred Espen & Cartea, Álvaro & Kiesel, Rüdiger, 2008. "Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2006-2021, October.
  14. Barbara Y.P. Leung & Eddie C.M. Hui & Bill Seabrooke, 2007. "Asymmetric information in the hong kong forward property market," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 11(2), pages 91-106, April.
  15. Marek Musiela & Thaleia Zariphopoulou, 2004. "An example of indifference prices under exponential preferences," Finance and Stochastics, Springer, vol. 8(2), pages 229-239, 05.
  16. Marjorie Flavin & Takashi Yamashita, 2002. "Owner-Occupied Housing and the Composition of the Household Portfolio," American Economic Review, American Economic Association, vol. 92(1), pages 345-362, March.
  17. Marek Musiela & Thaleia Zariphopoulou, 2004. "A valuation algorithm for indifference prices in incomplete markets," Finance and Stochastics, Springer, vol. 8(3), pages 399-414, 08.
  18. Ortalo-Magne, Francois & Rady, Sven, 2002. "Tenure choice and the riskiness of non-housing consumption," Journal of Housing Economics, Elsevier, vol. 11(3), pages 266-279, September.
  19. Steven R. Grenadier, 2002. "Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 691-721.
  20. K. Chau & S. Wong & C. Yiu, 2007. "Housing Quality in the Forward Contracts Market," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 313-325, April.
  21. James D. Shilling, 2003. "Is There a Risk Premium Puzzle in Real Estate?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 31(4), pages 501-525, December.
  22. Murat Isik, 2005. "Incorporating decision makers' risk preferences into real options models," Applied Economics Letters, Taylor & Francis Journals, vol. 12(12), pages 729-734.
  23. Rose Neng Lai & Ko Wang & Yuqing Zhou, 2004. "Sale before Completion of Development: Pricing and Strategy," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(2), pages 329-357, 06.
  24. Henderson, Vicky, 2005. "Explicit solutions to an optimal portfolio choice problem with stochastic income," Journal of Economic Dynamics and Control, Elsevier, vol. 29(7), pages 1237-1266, July.
  25. Kau, James B, et al, 1990. "Pricing Commercial Mortgages and Their Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 3(4), pages 333-56, December.
  26. Jarrow, Robert A. & Oldfield, George S., 1981. "Forward contracts and futures contracts," Journal of Financial Economics, Elsevier, vol. 9(4), pages 373-382, December.
  27. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August.
  28. Chris Downing & Richard Stanton & Nancy Wallace, 2005. "An Empirical Test of a Two-Factor Mortgage Valuation Model: How Much Do House Prices Matter?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 33(4), pages 681-710, December.
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