ERES:conference

The adequate measurement of real estate risk is of utmost importance for asset management and real estate portfolio management. Most real estate academics agree that volatility is inappropriate for that purpose. However, it is still a favored measure of many practitioners and academics due to...

Real estate in common with many other business sectors has experienced significant levels of internationalisation in its market activities over the last decade. These range from the internationalisation of key market actors such as real estate service providers and investors to the increasingly...

ERES:conference

The traditional measurement of active management is to calculate the tracking error of the fund; as measured by the standard deviation of the difference in a fund's returns versus its benchmark returns. However, tracking error alone is an inadequate measure of fund activity since even very...

This paper examines the geographical investment practices of institutional investors in the commercial real estate office market in 1998 and 2003 in England and Wales, using some previously unused datasets. The findings show that investors concentrate their holdings in a few (urban) areas and...

Over the past couple of decades a behavioural real estate research paradigm has been developing. In this paper, observed aggregate behaviour within the institutional real estate investment community is analysed and related to economic assumptions underpinning investment theory and market...

ERES:conference

Commercial real estate investors usually have well-established methods to assess the risks of a property investment in their home country. However, when the investment decision is overseas another dimension of uncertainty overlays the analysis. This additional dimension, typically called country...

This study re-examines the diversification opportunities that may arise from the inclusion of the private real estate market in a mixed-asset portfolio. The paper's two primary contributions are that firstly we examine this issue through the use of a mean-variance spanning approach rather than...