This paper aims to show that the accuracy of real estate portfolio valuations and of real estate risk management can be improved through the simultaneous use of Monte Carlo simulations and options theory. Our method considers the options embedded in Continental European lease contracts drawn up...

Recent research [e.g., DeMiguel, Garlappi and Uppal, (2009), Rev. Fin. Studies] has cast doubts on the out-of-sample performance of optimizing portfolio strategies relative to naive, equally weighted ones. However, existing results concern the simple case in which an investor has a one-month...

This paper examines whether unleveraged REITs in Dubai help optimize the risk/return characteristics of a mixed asset portfolio. The performance is also analyzed using Shariah compliant REIT structures incorporating discussion of the performance of REITs operating in a zero-tax environment...

Out-of-sample experiments cast doubt on the ability of portfolio optimizing strategies to outperform equally weighted portfolios, when investors have a 1-month time horizon. This paper examines whether this finding holds for longer investment horizons over which the optimizing strategy exploits...

Purpose: The purpose of this paper is to examine the changing risk structure of German open-end funds using semi variance based performance measures. Design/methodology: The analysis focuses on an appropriate benchmark and compares classical performance measures with LPM based measures....

Welfare gains to long-horizon investors may derive from time diversification that exploits non-zero intertemporal return correlations associated with predictable returns. Real estate may thus become more desirable if its returns are negatively serially correlated. While it could be important for...

Chapter 1. The Real Estate Investment Market: The Current State and Why Advances Are Needed -- Chapter 2. The Data -- Chapter 3. Modern Portfolio Theory -- Chapter 4. Historical Portfolio Optimization – Domestic REITs -- Chapter 5. Diversification with International REITs -- Chapter 6....

We empirically test predictability on asset price using stock selection rules based on maximum drawdown and its consecutive recovery. In various equity markets, monthly momentum- and weekly contrarian-style portfolios constructed from these alternative selection criteria are superior not only in...