Exchange rate movements lead to an additional risk for real estate in-vestments outside the Eurozone. This can be attributed to the fact that the risks of foreign currencies are generally not compensated by the market. In this case, the de-sired diversification effects of global real estate...

We study the dynamic consumption-portfolio problem over the life cycle, with respect to tax-deferred investing for investors who acquire housing services by either renting or owning a home. The joint existence of these two investment vehicles creates potential for tax arbitrage. Specifically,...

This article studies the inflation-protection qualities of cash, bonds, stocks, and direct real estate, and the optimal inflation-protecting asset allocations within a downside risk framework. Using a value-at-risk model to capture predictable price dynamics, the authors find that the...