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Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

  • Alberto Plazzi

    (University of Lugano and Swiss Finance Institute)

  • Walter N. Torous

    (University of California)

  • Rossen I. Valkanov

    (University of California)

Registered author(s):

    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.

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    File URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1752432
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    Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 11-07.

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    Length: 20 pages
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    Handle: RePEc:chf:rpseri:rp1107
    Contact details of provider: Web page: http://www.SwissFinanceInstitute.ch
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