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Paper eres2006_123:
OPTIMAL HOLDING PERIOD IN REAL ESTATE PORTFOLIO.

id eres2006_123
authors Baroni, Michel; Fabrice Barthelemy; Mahdi Mokrane
year 2006
title OPTIMAL HOLDING PERIOD IN REAL ESTATE PORTFOLIO.
source Book of Abstracts: 13th Annual European Real Estate Society Conference in Weimar, Germany
summary In this paper, simulated cash flows are used to value real estate assets. We generate the cash flows by Monte Carlo simulations both for the current and the terminal cash flows. Important simulation inputs, such as the physical real estate price volatility estimator, are provided by results on real estate indices for Paris derived in an article by Baroni, Barthélémy and Mokrane (2005). Based on a residential real estate portfolio example, valuation by simulated cash flows lets appear an optimal holding period. The paper discusses under which circumstances this optimum exists and shows empirically its sensitivity to various parameters that are present in the simulations.
keywords real estate portfolio; portfolio holding period
series ERES:conference
type normal paper
discussion No discussions. Post discussion ...
ratings
session 7-D
last changed 2008/11/01 09:47
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