Measures of Downside Risk Under Conditions of Downturn in the Real Estate Market

Wolski Rafał ()
Additional contact information
Wolski Rafał: Department of Economics of Industry and Capital Markets Universiy of Lodz

Real Estate Management and Valuation, 2013, vol. 21, issue 3, 81-87

Abstract: Some authors suggest that the use of standard deviation as a measure of total risk for returns on real estate leads to risk overestimation, as the classical Markowitz model does not account for the skewness of financial data, thus making the results unreliable. According to the available literature, risk calculated on the basis of standard semideviation may actually better reflect the nature of property investment. However, in this context, the question of whether or not this measure will lead to risk underestimation at a time of a downturn in the real estate market, resulting in inadequate investment decisions aggravating investor losses arises. Therefore, the present paper presents portfolios constructed using either classical risk measures or measures based on “downside deviations” of rates of return. The results of investment in these portfolios are analyzed.

Keywords: downside risk measures; standard semideviation; skewness of financial data; portfolio theory; real estate (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.2478/remav-2013-0029 (text/html)

Related works:
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:vrs:remava:v:21:y:2013:i:3:p:81-87:n:9

DOI: 10.2478/remav-2013-0029

Access Statistics for this article

Real Estate Management and Valuation is currently edited by Sabina Zrobek

More articles in Real Estate Management and Valuation from Sciendo
Bibliographic data for series maintained by Peter Golla ().