Optimal holding period In Real Estate Portfolio

Michel Baroni (baroni@essec.fr), Fabrice Barthélémy (fabrice.barthelemy@uvsq.fr) and Mahdi Mokrane (mahdi.mokrane@ixisaew.com)
Additional contact information
Mahdi Mokrane: IXIS-AEW Europe

No 2006-21, THEMA Working Papers from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

Abstract: This paper considers the use of simulated cash flows to determine the optimal holding period in real estate portfolio to maximize its present value. The traditional DCF approach with an estimation of the resale value through a growth rate of the future cash flow does not let appear this optimum. However, if the terminal value is calculated from the trend of a diffusion process of the price, an optimum may appear under certain conditions. Finally we consider the sensitivity of the optimal holding period to the different parameters involved in the cash flow estimations. This methodology may be applied in commercial valuation and enables to get an optimal holding period for a given portfolio.

Keywords: valuation; DCF; optimal holding period; commercial property (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://thema.u-cergy.fr/IMG/documents/2006-21.pdf (application/pdf)

Related works:
Working Paper: OPTIMAL HOLDING PERIOD IN REAL ESTATE PORTFOLIO (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ema:worpap:2006-21

Access Statistics for this paper

More papers in THEMA Working Papers from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Contact information at EDIRC.
Bibliographic data for series maintained by Stefania Marcassa (stefania.marcassa@u-cergy.fr this e-mail address is bad, please contact repec@repec.org).