The role of optimal regions in forming efficient real estate portfolios

As a method for diversifying within a real estate portfolio, most studies find economic regions superior to geographic regions. Economic regions can either be created by grouping local real estate markets according to supplyor demand factors or by clustering real estate return variables. An alternative way of grouping local real estate markets is to identify optimal regions from a portfolio efficiency perspective using an allocation optimizer. The optimal regions created are the most efficient in their respective risk segments, butthe gains in risk/return ratio compared to geographic and economic groupings must be balanced against potential losses in management efficiency and the predictability of future returns. QC 20170512</p

Improving strategic decisions for real estate investors : Perspectives on allocation and management

Real estate is an attractive asset class in the mixed-asset portfolio due to favorable risk return characteristics and low correlations with other asset classes like stock and bonds. Unlike financial assets, real estate is a physical asset where large lot sizes/indivisibility, heterogeneity, low liquidity and high transaction costs make applying financial models like modern portfolio theory (MPT) challenging. Optimal allocations to real estate found in literature are generally lower than actual allocations by investors and portfolio managers indicating there are aspects of the application of MPT to real estate that are not fully understood. Since management of real estate is costly and requires expert skills, the question on whether to outsource property management functions is of paramount interest for the real estate industry. The aim of the thesis is to contribute to the literature on strategic decisions for real estate investors on allocation and management, Apart from reviewing literature relevant for strategic decisions at different levels and using a top-down approach to illustrate how selected allocation and management decisions are connected, four separate empirical studies are made to investigate the nature of selected strategic decisions for real estate investors.QC 20170515</p

The role of optimal regions in forming efficient real estate portfolios

As a method for diversifying within a real estate portfolio, most studies find economic regions superior to geographic regions. Economic regions can either be created by grouping local real estate markets according to supplyor demand factors or by clustering real estate return variables. An alternative way of grouping local real estate markets is to identify optimal regions from a portfolio efficiency perspective using an allocation optimizer. The optimal regions created are the most efficient in their respective risk segments, butthe gains in risk/return ratio compared to geographic and economic groupings must be balanced against potential losses in management efficiency and the predictability of future returns. QC 20170512</p

The role of optimal regions in forming efficient real estate portfolios

As a method for diversifying within a real estate portfolio, most studies find economic regions superior to geographic regions. Economic regions can either be created by grouping local real estate markets according to supplyor demand factors or by clustering real estate return variables. An alternative way of grouping local real estate markets is to identify optimal regions from a portfolio efficiency perspective using an allocation optimizer. The optimal regions created are the most efficient in their respective risk segments, butthe gains in risk/return ratio compared to geographic and economic groupings must be balanced against potential losses in management efficiency and the predictability of future returns. QC 20170512</p

The role of optimal regions in forming efficient real estate portfolios [Elektronisk resurs]

As a method for diversifying within a real estate portfolio, most studies find economic regions superior to geographic regions. Economic regions can either be created by grouping local real estate markets according to supplyor demand factors or by clustering real estate return variables. An alternative way of grouping local real estate markets is to identify optimal regions from a portfolio efficiency perspective using an allocation optimizer. The optimal regions created are the most efficient in their respective risk segments, butthe gains in risk/return ratio compared to geographic and economic groupings must be balanced against potential losses in management efficiency and the predictability of future returns. </p

Methods for comparing diversification strategies on the Swedish real estate market

This paper compares the effectiveness of different property portfolio diversification strategies using five methods; (1) correlation matrices, (2) efficient frontiers, (3) Sharpe ratios, using three different sub methods, (4) coefficients in equations explaining total returns and (5) R-square values in equations explaining total returns. The evaluation methods are applied to both value weighted and equally weighted indices based on Swedish real estate return data. All methods show that, if any, diversifying over property types is a better strategy on the Swedish market than diversifying over regions. No test yields significant support for regional diversification. The support for the property type strategy is stronger when using equally weighted indices.QC 20170512</p

Public real estate- correlation and volatility dynamics in the U.K. mixed-asset portfolio

QC 20170512</p