La modélisation du risque en immobilier d'entreprise

Eric Vu Anh Tuan

in Economics Thesis from University Paris Dauphine from Paris Dauphine University

Abstract: The real estate asset class is tangible, heterogeneous and illiquid. It gives a specific investment universe that needs to be understood by investors, because the uncertainties created by this universe compose the risk of real estate investment. We suggest modelling risks across a sum of risk unit appraisal, on one hand, in constructing portfolio analysis, and on the other hand, through the office market risk premium modelling. Our doctoral study proposes to adapt financial theorems to risk modelling in the main European office markets. Our thesis will be written in Englishand its body will be articulated around three axes whereby those will be illustrated under the form of article.

Keywords: Immobilier; Markowitz; Estimateur à rétrécissement; Prime de risque; Real Estate; Shrinkage Estimator; Risk Premium (search for similar items in EconPapers)
JEL-codes: L19 L29 M19 (search for similar items in EconPapers)
Date: 2014 Written 2014
Note: dissertation
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