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

"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...

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...

Asset Liability Management (ALM) models for housing corporations work on the basis of stochastic scenario models for important risk and return drivers such as interest and inflation rates, construction costs and sales prices of houses. Given the situation of the housing corporation (current real...

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...

In this paper we present the world’s first social housing property index. The index is designed to be consistent with the IPD indices, but includes extra analysis tailor-made to the needs of social housing corporations. The index not only reports the receivable direct property return, but also...