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The Performance of Real Estate Portfolios: A Simulation Approach

  • Jeffrey Fisher
  • William Goetzmann

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.

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File URL: http://icfpub.som.yale.edu/publications/2537
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Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm456.

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Date of creation: 01 Apr 2005
Date of revision: 01 Jun 2005
Handle: RePEc:ysm:somwrk:ysm456
Contact details of provider: Web page: http://icf.som.yale.edu/

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