Maximum Drawdown and the Allocation to Real Estate
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- Foort Hamelink & Martin Hoesli, 2004. "Maximum drawdown and the allocation to real estate," Journal of Property Research, Taylor & Francis Journals, vol. 21(1), pages 5-29, January.
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- Colin Lizieri & Stephen Satchell & Qi Zhang, 2007.
"The Underlying Return-Generating Factors for REIT Returns: An Application of Independent Component Analysis,"
Real Estate Economics,
American Real Estate and Urban Economics Association, vol. 35(4), pages 569-598, December.
- Colin Lizieri & Stephen Satchell & Qi Zhang, 2006. "The Underlying Return Generating Factors for REIT Returns: An Application of Independent Component Analysis," Real Estate & Planning Working Papers rep-wp2006-12, Henley Business School, Reading University.
- repec:spr:jqecon:v:17:y:2019:i:1:d:10.1007_s40953-018-0129-4 is not listed on IDEAS
- Mijatović, Aleksandar & Pistorius, Martijn R., 2012. "On the drawdown of completely asymmetric Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3812-3836.
- Martin Hoesli & Jon Lekander, 2005. "Suggested vs. Actual Institutional Allocattion to Real Estate in Europe: A Matter of Size," FAME Research Paper Series rp149, International Center for Financial Asset Management and Engineering.
- Zabarankin, Michael & Pavlikov, Konstantin & Uryasev, Stan, 2014. "Capital Asset Pricing Model (CAPM) with drawdown measure," European Journal of Operational Research, Elsevier, vol. 234(2), pages 508-517.
- Schuhmacher, Frank & Eling, Martin, 2011. "Sufficient conditions for expected utility to imply drawdown-based performance rankings," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2311-2318, September.
- John Knight & Colin Lizieri & Stephen Satchell, 2005. "Diversification When It Hurts? The Joint Distributions of Real Estate and Equity Markets," Real Estate & Planning Working Papers rep-wp2005-16, Henley Business School, Reading University.
- repec:eee:quaeco:v:70:y:2018:i:c:p:160-171 is not listed on IDEAS
- Christian Pierdzioch & Daniel Hartmann, 2013. "Forecasting Eurozone real-estate returns," Applied Financial Economics, Taylor & Francis Journals, vol. 23(14), pages 1185-1196, July.
- David Landriault & Bin Li & Hongzhong Zhang, 2014. "On the Frequency of Drawdowns for Brownian Motion Processes," Papers 1403.1183, arXiv.org.
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- John Knight & Colin Lizieri & Stephen Satchell, 2005. "Diversification when It Hurts? The Joint Distributions of Real Estate and Equity Markets1," Journal of Property Research, Taylor & Francis Journals, vol. 22(4), pages 309-323, December.
- Neil Crosby & Steven Devaney, 2006. "Depreciation and its Impact on the Total Return of UK Commercial Real Estate, 1994-2003," Real Estate & Planning Working Papers rep-wp2006-05, Henley Business School, Reading University.
- Tavakoli Baghdadabad, Mohammad Reza, 2014. "Average drawdown risk reduction and risk tolerances," Research in Economics, Elsevier, vol. 68(3), pages 264-276.
More about this item
KeywordsMaximum Drawdown; Downside Risk; Portfolio Diversification; Real Estate;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-URE-2005-04-16 (Urban & Real Estate Economics)
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