As institutions in most countries are faced with limits pertaining to investment in the various asset classes, the free flow of funds from one investment class to another is curtailed and hence segmentation may arise among asset classes. In this study, we focus on the integration of securitized...

The role of real estate in a mixed-asset portfolio is investigated when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk. In particular, it is analysed whether the discrepancy between the optimal allocation to real estate and the actual...

In recent research it has been argued that the hedonic regression technique can be usefully applied to the valuation of residential property. This research has focused on the valuation of owneroccupied dwellings. It is the aim of this paper to show how this technique can also usefully be applied...

This study yields a contribution to a better understanding of the interest rate sensitivity of real estate and should enable a more sophisticated interest rate risk management, especially for insurance companies and pension funds. This is achieved by modelling the whole life of a typical office...