Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Additional contact information
Walter N. Torous: University of California
Rossen I. Valkanov: University of California

No 11-07, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We use a parametric portfolio approach to estimate optimal commercial real estate portfolio policies. We do so using the NCREIF data set of commercial properties over the sample period 1984:Q2 to 2009:Q1. The richness of this extensive data set and the flexibility of the parametric portfolio approach allow us to consider: (i) a large cross-section of individual properties across various regions and property types; (ii) several property-specific conditioning variables, such as cap rates, leverage, value, and vacancy rates; and (iii) various macro-economic factors. Property-specific conditioning information is found to be economically important even for portfolios that are well-diversified across geographical regions and property types.

Keywords: Dynamic portfolio choice; real estate; cap rate (search for similar items in EconPapers)
JEL-codes: G1 G11 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2011-01
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Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation (2011)
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