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The Performance of Real Estate Portfolios: A Simulation Approach

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  • Jeffrey Fisher
  • William Goetzmann

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.

Suggested Citation

  • Jeffrey Fisher & William Goetzmann, 2005. "The Performance of Real Estate Portfolios: A Simulation Approach," Yale School of Management Working Papers ysm456, Yale School of Management, revised 01 Jun 2005.
  • Handle: RePEc:ysm:somwrk:ysm456
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    File URL: http://icfpub.som.yale.edu/publications/2537
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    Cited by:

    1. repec:bla:abacus:v:53:y:2017:i:3:p:395-430 is not listed on IDEAS
    2. Marco Wölfle, 2015. "Information-Based Trade in German Real Estate and Equity Markets," Risks, MDPI, Open Access Journal, vol. 3(4), pages 1-26, December.
    3. Robert M. Conroy & Robert S. Harris, 2007. "How Good are Private Equity Returns?," Journal of Applied Corporate Finance, Morgan Stanley, vol. 19(3), pages 96-108.
    4. Rafiq Bhuyan & James Kuhle & Talla Mohammed Al-Deehani & Munir Mahmood, 2015. "Portfolio Diversification Benefits Using Real Estate Investment Trusts – An Experiment with US Common Stocks, Equity Real Estate Investment Trusts, and Mortgage Real Estate Investment Trusts," International Journal of Economics and Financial Issues, Econjournals, vol. 5(4), pages 922-928.

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    Keywords

    Asset Allocation; Real Estate;

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