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How accurate are commercial-real-estate appraisals? evidence from 25 years of NCREIF sales data
Cannon, Susanne; Col, Rebel A. - Volkswirtschaftliche Fakultät, … - 2011
In this study, we provide new evidence on the performance measurement and reporting of commercial real estate returns. We do so by examining the accuracy of commercial-real-estate appraisals that occurred prior to the sale of properties from the NCREIF National Property Index (“NPI”) during...
Persistent link: https://www.econbiz.de/10009226816
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How Accurate Are Commercial Real Estate Appraisals? Evidence from 25 Years of NCREIF Sales Data
Susanne, Cannon; Rebel, Cole - Volkswirtschaftliche Fakultät, … - 2011
In this study, we provide new evidence on the performance measurement and reporting of commercial real estate returns. We do so by examining the accuracy of commercial-real-estate appraisals that occurred prior to the sale of properties from the NCREIF National Property Index (“NPI”) during...
Persistent link: https://www.econbiz.de/10011258429
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Hotele w gospodarce polskiej – zarys rozwoju, ekonomiki i ryzyka
Olszewski, Krzysztof - Volkswirtschaftliche Fakultät, … - 2012
The polish hotel market grows in a dynamic way, however investment in this market is subject to some risk. A …
Persistent link: https://www.econbiz.de/10011257778
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When risk weights increase the risk: some concerns for capital regulation
Varsanyi, Zoltan - Volkswirtschaftliche Fakultät, … - 2009
In this chapter I argue that as a response to the introduction of capital requirements in the form of risk weights … that the new optimum has a lower risk. The effect of the regulation depends on several things, most importantly the … correlation between individual investments, investor preferences and the relative size of risk weights. …
Persistent link: https://www.econbiz.de/10005789350
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An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio
Muteba Mwamba, John; Suteni, Mwambi - Volkswirtschaftliche Fakultät, … - 2010
problem. The proposed optimization model which is an optimal portfolio strategy is produced for investors of various risk …
Persistent link: https://www.econbiz.de/10011259339
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A Simple Model of Robust Portfolio Selection
Taboga, Marco - Volkswirtschaftliche Fakultät, … - 2004
about the distribution of asset returns. The model is preference-based and relies upon a separate parametrization of risk …
Persistent link: https://www.econbiz.de/10005087524
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Sur-réaction sur le marché tunisien des actions : une investigation empirique
Trabelsi, Mohamed Ali - Volkswirtschaftliche Fakultät, … - 2008
The financial market interest several researchers, especially in the domain of assessment of the financial assets and their performances. The previous research identified several anomalies of the market, as size, Monday, January, PER effects, etc. putting in question the notion of market...
Persistent link: https://www.econbiz.de/10008728054
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Nonstationary Optimization Approach for Finding Universal Portfolios
Gaivoronski, A; Stella, F - Volkswirtschaftliche Fakultät, … - 2000
The definition of universal portfolio was introduced in the nancial literature in order to describe the class of portfolios which are constructed directly from the available observations of the stocks behavior without any assumptions about their statistical properties. Cover has shown that one...
Persistent link: https://www.econbiz.de/10008633358
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Bayesian Portfolio Selection with Gaussian Mixture Returns
Qian, Hang - Volkswirtschaftliche Fakultät, … - 2009
Markowitz portfolio selection is challenged by huge implementation barriers. This paper addresses the parameter uncertainty and deviation from normality in a Bayesian framework. The non-normal asset returns are modeled as finite Gaussian mixtures. Gibbs sampler is employed to obtain draws from...
Persistent link: https://www.econbiz.de/10009203629
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Long Term Risk Assessment in a Defined Contribution Pension System
Castaneda, Pablo - Volkswirtschaftliche Fakultät, … - 2006
significant portion of the risk associated to the financing of pensions, from the State, to the pension fund participants of the … newly established compulsory pension system. This paper is concerned with the risk embedded in the portfolio strategies of … manager in the long-term risk assessment of its investment strategy, where the latter is conducted from the point of view of …
Persistent link: https://www.econbiz.de/10005619773