EconPapers    
Economics at your fingertips  
 

Optimal portfolio allocation using transaction-based data

Tommaso Gabrieli () and Davide Manstretta

ERES from European Real Estate Society (ERES)

Abstract: In this paper we study optimal portfolio allocation of real estate assets using IPD transaction-based data. Currently, appraisal-based indices represent a standard tool for the analysis of property returns in portfolio decisions. However, appraisal-based indices present a number of shortcomings: they may understate volatility, lag turning points and be affected by client influence. In contrast, transaction-based indices should be a more authentic measure of market returns. Therefore we tackle the natural question of exploring portfolio choices on the basis of such market-based indexes. In particular, we perform a number of quantitative exercises: (1) We investigate the value of a de-smoothing parameter that could re-align appraisal-based to transaction-based indices (2) We compare optimal portfolio allocations based on both indices and the relative performance (3) We investigate whether portfolio allocations based on transaction based indices can improve the efficiency of the real estate market and the implications for market returns

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2012-01-01
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2012-304 (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:arz:wpaper:eres2012_304

Access Statistics for this paper

More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().

 
Page updated 2021-06-21
Handle: RePEc:arz:wpaper:eres2012_304