Sustainable Real Estate Investment Portfolio Management — Problems and Solutions

Purpose The purpose of this paper is to analyze papers that have been published in the Journal of European Real Estate Research since its inception in 2008. Design/methodology/approach The author analyzes papers published from 2008 to 2019 in the Journal of European Real Estate Research by authors’ country of affiliation, by country of study and by theme. Findings The Journal of European Real Estate Research publishes papers from scholars from an increasing number of countries, in particular in Central and Eastern Europe. Papers that provide a comparative analysis of countries constitute the largest category of contributions. The three most popular themes remain housing, valuation and investment/portfolio management. However, the dynamics of the three categories differ notably. Originality/value This paper provides for a clearer understanding of key dimensions of real estate research in Europe.

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European emerging real estate markets

Journal of Property Investment and Finance ◽

10.1108/jpif-04-2015-0024 ◽

2016 ◽

Vol 34 (1) ◽

pp. 27-50 ◽

Cited By ~ 5

Author(s):

Martin Haran ◽

Michael McCord ◽

Peadar Davis ◽

John McCord ◽

Colm Lauder ◽

...

Keyword(s):

Czech Republic ◽

Real Estate ◽

Emerging Markets ◽

Investment Portfolio ◽

Real Estate Investment ◽

The Czech Republic ◽

Content Type ◽

Real Estate Markets ◽

The Real ◽

The Real Estate

Purpose – The purpose of this paper is to improve the transparency of European emerging real estate market dynamics and performance attributes in the wake of the 2007-2008 global financial crisis (GFC). The paper examines the extent and nature of inter-relationships between three emerging real estate markets namely, the Czech Republic, Hungary and Poland as well as determining the rationale for including emerging real estate markets within a Pan-European investment portfolio. The paper affords a timely update following the reinstatement of lending provision for European emerging real estate investment markets in 2014. Design/methodology/approach – The paper employs lead-lag correlations and Grainger causality to examine inter and intra relationships across three emerging European real estate markets, namely the Czech Republic, Hungary and Poland over the period 2006-2014. Optimal portfolio analysis is undertaken to explore the role of emerging real estate markets within the confines of a multi-asset investment portfolio as well as a Pan-European real estate investment portfolio. Findings – The findings demonstrate the opportunities afforded by the European emerging real estate markets in terms of both performance enhancement and risk diversification. Significantly, the findings highlight the lack of “uniformity” across the European emerging markets in terms of their investment potential, with Grainger causality confirming that the real estate markets in the Czech Republic, Hungary and Poland are not endogenous functions of one-another’s performance. Practical implications – This paper makes a considered contribution to the analytical interpretation of European emerging property market performance across the real estate cycle. The research demonstrates that the real estate markets in the Czech Republic, Hungary and Poland exhibit specific investment characteristics which differentiate them from the more developed real estate markets across Europe. Indeed emerging markets have the propensity to serve as both a risk diversifier as well as performance enhancer within the confines of a pan-European real estate investment portfolio. However, as the research clearly articulates, intricate understanding of the attributes afforded by the different emerging markets as well as the divergence in sectoral dynamics/performance is integral to portfolio allocation strategies. Originality/value – Robust academic research on Europe’s emerging real estate markets has been hampered by deficiencies in data provision. This study makes an innovative and timely contribution to redressing the research vacuum through delineated examination of the performance dynamics of three markets namely, the Czech Republic, Hungary and Poland, across the real estate cycle. The role and function of emerging markets is depicted within the confines of a Pan-European direct real estate investment portfolio at the all property level and in terms of sectoral specific allocations comprising retail, office and industrial. The explicit added value of the paper is the propensity to bench-mark the performance of emerging markets real estate markets on a like-for-like basis with developed real estate markets across Europe facilitating the exploration of the role and function of emerging real estate markets within a Pan-European investment context.

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A FUZZY DECISION‐MAKING APPROACH FOR PORTFOLIO MANAGEMENT WITH DIRECT REAL ESTATE INVESTMENT

International Journal of Strategic Property Management ◽

10.3846/1648-715x.2009.13.191-204 ◽

2009 ◽

Vol 13 (2) ◽

pp. 191-204 ◽

Cited By ~ 22

Author(s):

Eddie Chi Man Hui ◽

Otto Muk Fai Lau ◽

Kak Keung Lo

Keyword(s):

Real Estate ◽

Portfolio Management ◽

Asset Allocation ◽

Expert Knowledge ◽

Programming Model ◽

Investment Decision ◽

Programming Approach ◽

Fuzzy Decision Making ◽

Real Estate Investment ◽

Tactical Asset Allocation

This study incorporated expert knowledge into the classical quadratic programming approach, i.e., Modern Portfolio Theory (MPT), through fuzzy set theory; in obtaining portfolio return optimization involving direct real estate investment. Two fuzzy mathematical programming models were uniquely specified and estimated in this study, namely, Zimmer‐mann's (2001) fuzzy tactical asset allocation (FTAA) flexible programming model and Ramik and Rimanek's (1985) FTAA robust programming model. These approaches try to overcome the drawbacks of traditional asset allocation models by including expert adjustment in the presence of imprecise information. The findings suggest that the fuzzy tactical asset allocation (FTAA Flexible Model), with the inclusion of expert judgments which contain information usually not found in historical data, is able to produce a portfolio just as efficient as traditional asset allocation models while minimizing the potential issues due to imprecision and vagueness of information. Meanwhile, the FTAA Robust Model proffers a more evenly‐distributed, yet with higher risks and lower returns, portfolio. Aside from the lack of emphasis on portfolio risks minimization, one reason attributed to such anomaly is the low level of returns of high‐risk stocks that are not selected by MPT and FTAA Flexible Models. It results in a unique situation where portfolio diversification does not necessarily guarantee an efficient investment decision. Santruka Šis tyrimas itraukia ekspertines žinias i klasikine kvadratinio programavimo metodika, pavyzdžiui, moderniaja portfelio valdymo teorija, per neapibrežtuju aibiu teorija, siekiant optimizuoti portfelio graža, apimant tiesiogines nekilnojamojo turto investicijas. Šiame tyrime išsamiai aprašomi ir ivertinami du neapibrežtojo matematinio programavimo modeliai. Tai Zimmermann (2001) neapibrežtasis aktyvu paskirstymo lankstusis programavimo modelis ir Ramik bei Rimanek (1985) neapibrežtasis aktyvu paskirstymo robustinis programavimo modelis. Juos taikant bandoma pašalinti tradiciniu aktyvu paskirstymo metodu trūkumus itraukiant ekspertu siūlomus pakeitimus nesant tikslios informacijos. Nustatyta, kad neapibrežtasis aktyvu paskirstymas (neapibrežtasis aktyvu paskirstymo lankstusis programavimo modelis) kartu su ekspertu vertinimais, paprastai apimančiais informacija, kurios negalima rasti tarp istoriniu duomenu, leidžia sudaryti toki pati efektyvu portfeli, kaip ir tradiciniai aktyvu paskirstymo modeliai, tačiau minimizuojant potencialius nesutarimus, kuriu atsiranda del netikslios ir neapibrežtos informacijos. Neapibrežtasis aktyvu paskirstymo robustinis programavimo modelis siūlo tolygiau paskirstyta, tačiau rizikingesni ir ne toki pelninga portfeli. Be portfelio rizikos minimizavimo trūkumo, dar viena priežastis, priskiriama prie šios anomalijos, yra maža dideles rizikos akciju graža, kuri nera pasirenkama moderniojoje portfelio valdymo teorijoje ir neapibrežtuju aktyvu paskirstymo lanksčiuosiuose programavimo modeliuose. Kaip rezultatas gaunama unikali situacija, kai portfelio diversifikavimas nebūtinai garantuoja efektyvu investavimo sprendima.

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The Atracttiveness of Real Estate Investment in Polish Conditions

Real Estate Management and Valuation ◽

10.2478/remav-2013-0027 ◽

2013 ◽

Vol 21 (3) ◽

pp. 62-70 ◽

Cited By ~ 1

Author(s):

Rafał Wolski ◽

Magdalena Załęczna

Keyword(s):

Real Estate ◽

Negative Correlation ◽

Capital Inflows ◽

Financial Instruments ◽

Property Market ◽

Investment Portfolio ◽

Real Estate Investment ◽

Global Capital ◽

Asset Classes ◽

Contemporary Development

Abstract Traditionally, it is believed that real estate can be an important component of an investment portfolio as it reduces risk due to the diversification potential coming from its low/negative correlation with stocks and bonds. However, contemporary development in the form of the invention and introduction of more sophisticated financial instruments is blurring the boundaries between the existing asset classes. The appearance of these new forms of investments is the result of competition for global capital inflows. Investors concentrate on those forms of investments that are attractive in terms of the variety of offered instruments and the results achieved by them. The aim of the article is to evaluate the variety of instruments enabling investments on the Polish property market and their competitiveness in relation to classical forms of investment.

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