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Paper eres2011_341:
Transforming Markowitz portfolio theory into a practical real estate portfolio allocation process

id eres2011_341
authors Wellner, Kristin
year 2011
title Transforming Markowitz portfolio theory into a practical real estate portfolio allocation process
source 18th Annual European Real Estate Society Conference in Eindhoven, the Netherlands
summary Starting with a diversified international real estate portfolio by using the portfolio theory this research paper shoes a pragmatic approach to transform the findings into a real allocation process for finding a practical target portfolio for direct investments. However, the literature of the last 20 years shoes a high level of diversifications effects by using the portfolio theory also for real estate portfolios. But there is still a dilemma to transform these results into a daily allocation processes. The paper gives an outlook on the practicable application of the results using Markowitz theory in consideration of the uncertain and imperfect real estate markets. In practical considerations there are still problems regarding the properties of direct real estate investments and their markets, for example the characteristics of properties, real estate market situations and sizes. On the basis of empirical statistical tests based on real estate total return indices this papers aims to find a solution to overcome these difficulties. The new transformation process as a result of this paper is using clustering methods and different return calculations for having more possibilities for choosing the suitable components for an existing real estate portfolio. With a top down to bottom up procedure according to a countercurrent principle it is possible to find properties witch are suitable in practice.
keywords Real estate portfolio, Asset Allocation, Practicable diversification
series ERES:conference
type normal paper
content file.pdf (413,855 bytes)
discussion No discussions. Post discussion ...
session D1: Finance & Investment (IV), Risk & Portfollio Management
last changed 2011/06/25 13:42
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