"Several house price indices exist for the Netherlands. These different indices come from different sources. In this paper we analyze indices from the Dutch Association of Real Estate Agents (NVM), the Land Registry Office (Kadaster), ORTAX and ABF. First we discuss the index construction...

Several house price indices exist for the Netherlands. These different indices arise from different data sources and index construction methodologies. In this paper we analyze indices from the Dutch Association of Real Estate Brokers and Real Estate Experts, the Statistics Netherlands, and two...

House price forecasts are important for several parties. For example, (potential) owner-occupiers want to know whether or not it is a good time to buy or sell a home, and decisions of policy makers and commercial parties may depend on house price expectations. In this paper we are not primarily...

We propose a novel and intuitive risk-neutral valuation model for real estate derivatives. We first model the underlying efficient market price of real estate and then construct the observed index value with an adaptation of the price update rule by Blundell and Ward (1987). The resulting index...

ERES:conference

ERES:conference

In this paper we show the result of an optimization study of sector and region allocation within real estate portfolios. The optimizations are performed in an ALM context. That is, we try to determine optimal allocations based on a funding ratio risk measure for Dutch pension funds. The risk...

ERES:conference

By performing strategic risk analysis studies, investors can obtain insight into the risk ñ return characteristics of the current asset portfolio and into the most important risk drivers. Furthermore, via strategic risk analyses, investors can obtain insight into the relative effectiveness and...

PurposeThere is increasing debate about how to finance the increasing costs of our ageing societies. Much attention in Europe has recently focussed on the extent to which households would be willing to use home equity conversion products. The question to which extent home equity can contribute...