In this paper portfolio allocation strategies based onn a recently developed autoregressive conditional heteroscedasticity model (QTARCH) are constructed for the US and the UK and compared with strategies relying on the conventional Markowitz approach.

Property portfolios are traditionally constructed by diversifying across geographical areas, property types or a combination of both. In the UK it is normal practice to use regions rather than towns or local markets areas as the geographical divisions. In this paper cluster analysis is used to...

The seminal study by Fama and MacBeth (1973) initiated a stream of papers testing for the cross-sectional relation between return and risk. The debate wether beta is a valid measure of risk has been renimated by Fama and French (1992) and subsequent studies. Rather than focusing on exogenous...

We present a comparative study of perceptions concerning the environmental quality of residential real estate in Switzerland based on empirical data collected in three different linguistic regions. Responses by homeowners in the Geneva, Zurich and Lugano areas to questionnaires involving...

This study investigates the short term inflation hedging characteristics of U.K. real estate compared to other U.K. investments.

Cet article a pour but principal de discuter les caracteristiques du benchmarking immobilier et ses conditions d'application.

In this paper, cluser analytic techniques are used to examine dimentions of diversification in UK commercial real estate markets.

The aim of this article is to investigate locational attributes of commercial real estate which are defined in terms of a collection of qualitative appreciations by office users in the Geneva region in Switzerland. The empirical analysis of these environmental quality appreciations was carried...

Une motivation importante lors de la creation d'indicateurs de prix de l'immobilier est la construction de sous-indices par region ou par quartier. Des differences dans l'evolution de ces sous-indices sont alors le reflet de modifications de l'environnement, notamment des infrastructures...

Dans un precedent article (Bender et Hoesli, 1996), les auteurs ont discute les raisons pour lesquelles il est necessaire d'evaluer periodiquement a la valeur de marche les portefeuilles immobiliers des investisseurs institutionnels. Il ressort des recherches recentes que la meilleure solution...