Calibrating the Inputs of Optimal Portfolios using CME Housing Futures

Cristian Voicu and Michael Seiler ()

Journal of Real Estate Portfolio Management, 2012, vol. 18, issue 2, 231-238

Abstract: The trading volume of Chicago Mercantile Exchange (CME) housing futures remains thin despite efforts to increase the prevalence of pricing models and the derivation of optimal portfolios for households. We apply actual CME data to the theoretical models of Voicu and Seiler (2012) to demonstrate exactly how CME housing futures can be used based on a number of homeowner characteristics and tenure scenarios.

Date: 2012
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DOI: 10.1080/10835547.2012.12089927

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