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Paper eres2007_286:
Risk Diversification in a Real Estate Portfolio: Evidence from the Italian Market

id eres2007_286
authors Giannotti, Claudio; Gianluca Mattarocci
year 2007
title Risk Diversification in a Real Estate Portfolio: Evidence from the Italian Market
source 14th Annual European Real Estate Society Conference in London, UK
summary Real estate investment is different from financial investment and such difference can affect the results of traditional mean -variance models. The literature on property finance summarises the differences of expected return and expected risk among individual real estate investments into four risk profiles: tenant, endogenous, exogenous and financial risks. The aim of this paper is to examine how the differences reported in the literature can affect the composition of a real estate portfolio based on Markowitz optimisation standards. The results stemming from the use of a real estate database supplied by Fimit SGR showed that an ex-ante study of risk profiles can help to identify those investment opportunities which are more or less near to the efficient frontier, although there is no prevailing criterion to identify a portfolio able to maximise investment diversification benefits.
series ERES:conference
discussion No discussions. Post discussion ...
ratings Ratings: 3 5
session Session F4: Issues in Real Estate Investment II
last changed 2009/11/19 09:01
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