Purpose – The purpose of this paper is to provide conclusive evidence that infrastructure constitutes a separate asset class and cannot be classified as real estate from an investment point‐of‐view. Furthermore, optimal allocations are determined for direct and indirect infrastructure...

Purpose – The purpose of this paper is to develop a General Systems Theory (GST) risk management framework and conducts a preliminary investigation into its potential benefits. Design/methodology/approach – A risk management framework with four domains is developed by applying GST to...

Purpose – An acute need exists for a practical quantitative risk management‐based real estate investment underwriting methodology that clearly helps guide decision making and addresses the shortcomings of discounted cash flow (DCF) modeling by evaluating the full range of probable outcomes....

Purpose – The purpose of this paper is to propose a new way to measure risk in real estate investment, which departs from traditional statistical methodology borrowed from finance. Design/methodology/approach – An argument is advanced for the use of so‐called coherent risk measures for...

Purpose – 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. Design/methodology/approach – The authors' method considers the options...

Purpose – The paper aims to conduct an empirical study of three models of property derivatives: index-based derivatives, factor hedges, and combinative hedges based on index and factors. The objective is to test whether the latter two models introduced by Lecomte dominate the index-based model...

Purpose – The purpose of this paper is to apply a numerical simulation of stochastic processes to the problem of real estate investment appraisal. Design/methodology/approach – These uncertain operating costs are integrated into an enhanced dynamic simulation. To model the dynamics in the...

Purpose – Demonstrates the feasibility of, and introduces a practical approach to enhancing, reinsurance efficiency using index‐based instruments. Design/methodology/approach – First reviews the general mathematical framework of reinsurance optimization. Next, illustrates how index‐based...

Purpose – To develop a new theory of portfolio and risk based on incremental entropy and Markowitz's theory. Design/methodology/approach – Replacing arithmetic, the mean return adopted by M.H. Markowitz, with geometric mean return as a criterion for assessing a portfolio, one gets...