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Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Author

Listed:
  • Alberto Plazzi

    (University of Lugano and Swiss Finance Institute)

  • Walter N. Torous

    (University of California)

  • Rossen I. Valkanov

    (University of California)

Abstract

We 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.

Suggested Citation

  • Alberto Plazzi & Walter N. Torous & Rossen I. Valkanov, "undated". "Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation," Swiss Finance Institute Research Paper Series 11-07, Swiss Finance Institute.
  • Handle: RePEc:chf:rpseri:rp1107
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    References listed on IDEAS

    as
    1. Wiseman, Thomas, 2012. "A partial folk theorem for games with private learning," Theoretical Economics, Econometric Society.
    2. Philippe Bacchetta & Cedric Tille & Eric van Wincoop, 2010. "Self-Fulfilling Risk Panics," IHEID Working Papers 17-2010, Economics Section, The Graduate Institute of International Studies.
    3. Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2012. "Self-Fulfilling Risk Panics," American Economic Review, American Economic Association, pages 3674-3700.
    4. Stephen Morris & Hyun Song Shin, 2008. "Financial Regulation in a System Context," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, pages 229-274.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Dynamic portfolio choice; real estate; cap rate;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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