Eres : Digital Library : Works

Paper eres2015_197:
A simulation model to minimise the tracking error between the IPD Annual Index Estimate and the IPD Annual Index.

id eres2015_197
authors Ostroumoff, Charles; Malcolm Frodsham
year 2015
title A simulation model to minimise the tracking error between the IPD Annual Index Estimate and the IPD Annual Index.
source 22nd Annual European Real Estate Society Conference in Istanbul, Turkey
summary IPD Futures Contracts are traded on the IPD UK Annual Total Return Index. Contracts traded during the year are priced using the standard Capital Asset Pricing Model (CAPM) and incorporate pricing on the basis of the capital and income performance for the year-to-date, plus the uncertainty as to the performance of property for the remainder of the year. The IPD Monthly Index provides an estimate of the current year-to-date performance. This paper outlines a simulation technique for Property Portfolio Fund Managers, Risk Managers and Multi Asset Managers to progressively (on a month by month basis) factor into their estimate the tracking error between the IPD Monthly and IPD Annual Index.
keywords Forecasting, Derivatives
series ERES:conference
type paper session
email costroumoff@arcaprm.com
content file.ppt (1,552,036 bytes)
discussion No discussions. Post discussion ...
ratings
session Market Research, Analysis & Forecasting
last changed 2015/07/08 18:06
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