"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...

Housing corporations are not after a financial gain but allocate (consciously if not unconsciously) a part of their available capital in order to achieve a range of social objectives. The real problem is that it is often very difficult to compare these objectives. Do we choose for an extra...

In recent years, Dutch housing corporations have introduced a number of innovative types of sale. These innovative types of sale have in common that a house is sold to the tenant at a discount. In this way, buying a house becomes affordable for lower-income households. And the housing...

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