scholarly journals Decision Making in Real Estate: Portfolio Approach

2021 ◽  
Vol 21 (4) ◽  
pp. 28-44
Author(s):  
Todor Stoilov ◽  
Krasimira Stoilova ◽  
Miroslav Vladimirov
Keyword(s):  
Decision Making ◽  
Real Estate ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Portfolio Theory ◽  
Investment Policy ◽  
Added Value ◽  
Real Estate Markets ◽  
Active Portfolio Management ◽  
Mean Variance Portfolio

Abstract An investment policy is suggested about assets on real estate markets. Such analysis recommends investments in non-financial assets and optimization of the results from such decisions. The formalization of the investment policy is based on the portfolio theory for asset allocation. Two main criteria are applied for the decision making: return and risk. The decision support is based on Mean-Variance portfolio model. A dynamical and adaptive investment policy is derived for active portfolio management. Sliding procedure in time with definition and solution of a set of portfolio problems is applied. The decision defines the relative value of the investment to which real estates are to be allocated. The regional real estate markets of six Bulgarian towns, which identify the regions with potential for investments, are compared. The added value of the paper results in development of algorithm for a quantitative analysis of real estate markets, based on portfolio theory.

scholarly journals The changing real estate market transparency in the European real estate markets

2016 ◽  
Vol 34 (4) ◽  
pp. 407-420 ◽  
Author(s):  
Graeme Newell
Keyword(s):  
Decision Making ◽  
Real Estate ◽  
Real Estate Market ◽  
Real Estate Investment ◽  
Content Type ◽  
Real Estate Markets ◽  
Market Transparency ◽  
Global Context ◽  
Business Competitiveness ◽  
Risk Dimensions

Purpose – Real estate market transparency is an important factor in real estate investment and occupier decision making. The purpose of this paper is to assess real estate transparency over 2004-2014 to determine whether the European real estate markets have become more transparent in a regional and global context. Design/methodology/approach – Using the JLL real estate transparency index over 2004-2014, changes in real estate market transparency are assessed for 102 real estate markets. This JLL real estate market transparency index is also assessed against corruption levels and business competitiveness in these markets. Findings – Improvements in real estate transparency are clearly evident in many European real estate markets, with several of these European real estate markets seen to be the major improvers in transparency from a global real estate markets perspective. Practical implications – Institutional investors and occupiers see real estate market transparency as a key factor in their strategic real estate investment and occupancy decision making. By assessing changes in real estate transparency across 102 real estate markets, investors and occupiers are able to make more informed real estate investment decisions across the global real estate markets. In particular, this relates to both investors and occupiers being able to more fully understand the risk dimensions of their international real estate decisions. Originality/value – This paper is the first paper to assess the dynamics of real estate market transparency over 2004-2014, with a particular focus on the 33 European real estate markets in a global context to facilitate more informed real estate investment and occupancy decision making.

scholarly journals Optimization of the variables selection in the process of real estate markets rating

2015 ◽  
Vol 6 (4) ◽  
pp. 139 ◽  
Author(s):  
Małgorzata Renigier-Biłozor ◽  
Andrzej Biłozor
Keyword(s):  
Decision Making ◽  
Real Estate ◽  
Real Estate Market ◽  
Market Potential ◽  
Coherent System ◽  
Essential Information ◽  
Real Estate Markets ◽  
The Real ◽  
The Real Estate ◽  
The Real Estate Market

The growing significance of the real estate market prompts investors to search for factors and variables which support cohesive analyses of real estate markets, market comparisons based on diverse criteria and determination of market potential. The specificity of the real estate market is determined by the unique attributes of property. The Authors assume that developing real estate market ratings identifies the types of information and factors which affect decision-making on real estate markets. The main objective of  real estate market ratings is to create a universal and standardized classification system for evaluating the real estate market. One of the most important problems in this area is collecting appropriate features of real estate market and development dataset. The main problem involves the selection and application of appropriate features, which would be relevant to the specificity of information related to the real estate market and create a kind of coherent system aiding the decision-making process. The main aim of this study is the optimization of  set of variables that were used to develop the real estate market ratings.  For this purpose, Hellwig’s method of integral capacity of information was applied. In this particular case, the method shows what set of variables provides information most sufficiently. The results lead to obtaining the necessary set of features that constitute essential information which describes the situation on the local real estate market.

scholarly journals RATING METHODOLOGY FOR REAL ESTATE MARKETS – POLAND CASE STUDY

2014 ◽  
Vol 18 (2) ◽  
pp. 198-212 ◽  
Author(s):  
Malgorzata Renigier-Biłozor ◽  
Radoslaw Wisniewski ◽  
Arturas Kaklauskas ◽  
Andrzej Biłozor
Keyword(s):  
Decision Making ◽  
Real Estate ◽  
National Economy ◽  
Real Estate Market ◽  
Market Potential ◽  
Real Estate Markets ◽  
The Real ◽  
The Real Estate ◽  
Local Character ◽  
The Real Estate Market

The development of the real estate market is conditioned by a variety of endogenous and exogenous factors. Selected factors determine the local character of the real estate market, whereas others contribute to its classification as one of the main branches of the national economy. Rapid economic growth and the search for new investment opportunities have turned the real estate market into a highly competitive arena where various players carry out diverse investment strategies. Investors search for similarities that would enable them to develop risk minimizing strategies. Ratings are a modern tool that can be deployed in analyses and predictions of real estate market potential. This paper proposes a methodology for developing real estate market ratings, and it identifies the types of information and factors which affect decision-making on real estate markets. The following research hypotheses are formulated and tested in the article: 1) a real estate market can be rated in view of its significance for the local and national economy, 2) real estate market ratings support market participants in the decision-making process.

Volatility causality and contagion in international securitized real estate markets

2018 ◽  
Vol 11 (2) ◽  
pp. 244-168 ◽  
Author(s):  
KimHiang Liow ◽  
Qing Ye
Keyword(s):  
Financial Crisis ◽  
Real Estate ◽  
Portfolio Management ◽  
Real Estate Market ◽  
Market Volatility ◽  
Content Type ◽  
Real Estate Markets ◽  
The Us ◽  
High Volatility ◽  
Empirical Investigations

Purpose This paper aims to investigate volatility causality and return contagion on nine international securitized real estate markets by appealing to Markov-switching (MS) regime approach, from July 1992 to June 2014. Design/methodology/approach An MS causality interaction model (Psaradakis et al., 2005), an MS vector auto-regression mode (Krolzig, 1997) and a multivariate return contagion model (Dungey et al., 2005) were used to implement the empirical investigations. Findings There exist regime shifts in the volatility causality pattern, with the volatility causality effects more pronounced during high volatility periods. During high volatility period, real estate markets’ causality interactions and inter-linkages contribute to strong spillover effect that leads to extreme volatility. However, there is relatively limited return contagion evidence in the securitized real estate markets examined. As such, the US financial crisis might probably be due to cross-market interdependence rather than contagion. Research limitations/implications Because international investors incorporate into their portfolio allocation not only the long-run price relationship but also the short-run market volatility connectedness and return correlation structure, the results of this MS causality and contagion study have provided valuable information on the evaluation of regime-dependent securitized real estate market risk, as well as useful guidance on asset allocation and portfolio management decisions for institutional investors. Practical implications Financial crisis is one of the key determinants of cross-market volatility interactions. Portfolio managers should be alerted of the observation that the US and the other developed securitized real estate markets are increasingly sharing “common market cycles” in recent years, thereby diminishing the diversification benefits. For policymakers, this research indicates that the volatilities of the US securitized real estate market could be helpful to predict those of other developed markets. It is also important for them to pay attention to those potential risk factors behind the amplified causality, contagion and volatility spillover at times of crisis. Finally, a wider implication for policymakers is to manage the transmission channels through which global stock market return and volatility shocks can affect the local economies and domestic financial markets, including securitized real estate markets. Originality/value Real estate investments have emerged to show low correlation with stocks and bonds and contributed to portfolio optimization. With real estate that can serve as a type of consumption commodity and an investment tool, the risk-return profile of real estate is different from that of the underlying stock markets. Therefore, the performance and investment dynamics and real estate-stock link are not theoretically expected to be similar, that requires separate empirical investigations. This paper aims to stand out from the many papers on the same or similar topics in the application of the three MS methodologies to regime-dependent real estate market integration.

scholarly journals Measuring European property investment performance: comparing different approaches

2014 ◽  
Vol 7 (1) ◽  
pp. 112-132 ◽  
Author(s):  
Steven Devaney
Keyword(s):  
Real Estate ◽  
Asset Allocation ◽  
Sample Selection ◽  
Real Estate Market ◽  
Commercial Real Estate ◽  
Investment Performance ◽  
Content Type ◽  
Real Estate Markets ◽  
Country Level ◽  
The Usa

Purpose – Price indices for commercial real estate markets are difficult to construct because assets are heterogeneous, they are spatially dispersed and they are infrequently traded. Appraisal-based indices are one response to these problems, but may understate volatility or fail to capture turning points in a timely manner. This paper estimates “transaction linked indices” for major European markets to see whether these offer a different perspective on market performance. The paper aims to discuss these issues. Design/methodology/approach – The assessed value method is used to construct the indices. This has been recently applied to commercial real estate datasets in the USA and UK. The underlying data comprise appraisals and sale prices for assets monitored by Investment Property Databank (IPD). The indices are compared to appraisal-based series for the countries concerned for Q4 2001 to Q4 2012. Findings – Transaction linked indices show stronger growth and sharper declines over the course of the cycle, but they do not notably lead their appraisal-based counterparts. They are typically two to four times more volatile. Research limitations/implications – Only country-level indicators can be constructed in many cases owing to low trading volumes in the period studied, and this same issue prevented sample selection bias from being analysed in depth. Originality/value – Discussion of the utility of transaction-based price indicators is extended to European commercial real estate markets. The indicators offer alternative estimates of real estate market volatility that may be useful in asset allocation and risk modelling, including in a regulatory context.

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

2009 ◽  
Vol 13 (2) ◽  
pp. 191-204 ◽  
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.

scholarly journals RATING ATTRIBUTES TOOLKIT FOR THE RESIDENTIAL PROPERTY MARKET

2017 ◽  
Vol 21 (3) ◽  
pp. 307-317 ◽  
Author(s):  
Malgorzata RENIGIER-BILOZOR ◽  
Radoslaw WISNIEWSKI ◽  
Andrzej BILOZOR
Keyword(s):  
Decision Making ◽  
Real Estate ◽  
Real Estate Market ◽  
Market Potential ◽  
Coherent System ◽  
Essential Information ◽  
Real Estate Markets ◽  
The Real ◽  
The Real Estate ◽  
The Real Estate Market

The growing significance of the real estate market prompts investors to search for factors and variables which support cohesive analyses of real estate markets, market comparisons based on diverse criteria and determination of market potential. The specificity of the real estate market is determined by the unique attributes of property. The authors assumed that developing real estate market ratings identifies the types of information and factors which affect decision-making on real estate markets. The main objective of real estate market ratings is to create a universal and standardized classification system for evaluating the real estate market. One from the most important problem in this area is collection of appropriate features of real estate market and development dataset. The main problem involves the selection and application of appropriate features, which would be relevant to the specificity of information related to the real estate market and create a kind of coherent system aiding the decision-making process. The main aim of this study is to elaboration set of variables (knowledge platform) that were used to elaborate the real estate market ratings. The results lead to obtain the necessary set of features that constitute essential information which describes the situation on the local real estate market.

Sign in / Sign up

Export Citation Format

Share Document