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Paper eres2001_121:
Real Estate Investment in an Asset/liability Framework

id eres2001_121
authors Booth, Philip
year 2001
title Real Estate Investment in an Asset/liability Framework
source 8th European Real Estate Society Conference (26-29 June 2001) Alicante, Spain
summary The last ten years has seen an explosion of literature looking at the role of real estate in a multi-asset portfolio. There has been a more limited development of literature in the UK and US which considers how real estate fits into an asset/liability pension plan framework. This paper considers further aspects of that problem. In particular, the range of available asset classes is extended to include UK equities, US equities, cash, UK government conventional bonds, UK government index-linked bonds and UK real estate. Results which suggest that a high real estate proportion is appropriate in a pension fund, because of the relationship of its returns with pension plan liabilities may not be valid when a greater number of asset classes with similar characteristics are considered. Secondly, our pension fund model decomposes pension plan liabilities into mature (retired) and immature (active) liabilities. These types of liabilities have quite different characteristics. We are therefore able to investigate whether the maturing of pension plan liabilities should have any impact on real-estate investment decisions.
series ERES:conference
content file.pdf (72,392 bytes)
discussion No discussions. Post discussion ...
session Real Estate Performance
last changed 2009/07/10 18:07
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