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 Volume 9, Number 3, 2003 of the Journal of Real Estate Portfolio Management
All articles listed here are available for download in portable document format. |
Public and Private Real Estate in a Mixed-Asset Portfolio Andrew G. Mueller, and Glenn R. Mueller Recent stock market volatility and low interest rates have renewed interest in income/ dividend producing investments. Previous research has studied the inclusion of public real estate or private real estate in a mixed-asset portfolio, but only one study has included both (with constraints). This study analyzes the inclusion of both public and private real estate in a mixed-asset portfolio using the mean/variance Markowitz efficient frontier methodology unconstrained. The 5-, 10-, 15- and 25-year results show that both public and private real estate can improve efficient frontiers substantially and may command a larger allocation than currently used.   Return to the top of this web page |
Isolating Important Driving Forces in Indirect Real Estate Markets Patrick J. Wilson, and Ralf Zurbruegg
Isolating the important driving factors in property markets is of continuing
interest to both property analysts and fund managers. Ascertaining permanent
driving factors may be of interest to strategic asset allocation while
transitory factors may be of interest in the development of tactical asset
allocation models. This study uses established methodologies to decompose
driving factors affecting indirect property markets in Australia into their
permanent and transitory components, paying attention to the impact of
structural breaks. Various restrictions on the long-run cointegration matrix
are also applied to identify those variables that may be considered drivers
of property markets.
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The Role of Singapore REITs in a Downside Risk Asset Allocation Framework Tien F. Sing, and Sze C. Ling Based on the historical relationships between the returns of stocks, bonds and a sample of twenty-two Listed Property Trusts (LPTs) in Australia, this study simulates ex-post returns for Hypothetical Property Trusts (HPTs) over a sample period from March 1995 to March 2002. By substituting the inputs with Singapore stock and bond returns, three sector-specific HPTs and one diversified HPT were constructed. The results show that all four HPTs have outperformed local stocks and bonds over the sample periods. The low correlations of office HPTs and industrial HPTs with stocks suggest that these HPTs could diversify the idiosyncratic risks of a mixed-asset portfolio consisting of stocks and government bonds and push the efficient frontier outward. |
Potential Environmental Liabilities with Industrial Properties in the United Kingdom Michael
Jayne, and Paul Syms |
Prepayment Risk of Public Housing Mortgages
Nai J. Lee, and Seow E. Ong |
The Devaluation of Capital Budgeting in Real Estate Development Firms Shelton Weeks* The capital budgeting process in
real development firms is a vital part of their regular operations.
Developers invest large amounts of money in this process. Their finance
departments frequently hire highly paid staffs to conduct studies of
proposed projects. Under the best of conditions, capital budgeting for real
estate development is a very challenging process due to the long lags in
production times that characterize the industry and contribute to the risk
of significant forecasting error. |