An Optimal Control Approach to Market Timing in the Singapore Property Market

Teck Chin and Geofrey Mills

Journal of Real Estate Portfolio Management, 1999, vol. 5, issue 1, 83-94

Abstract: Executive Summary. We investigate an optimal control approach to market timing strategy to assist property investors in deciding the allocation of investment funds between the risk-free savings deposit and the comparatively risky property investment. This strategy generates recommended investment actions, namely, buy, hold, sell and wait, with the objective to attain superior investment returns. The investment performance of this market timing strategy is compared to that of the buy-and-hold strategy. Results from the simulation study for the twenty-year period from 1977:1 to 1996:4 indicates that the proposed market timing strategy is capable of achieving superior investment returns in the Singapore property market.

Date: 1999
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DOI: 10.1080/10835547.1999.12089570

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