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Paper: eres2007_286
| Paper title: | Risk Diversification in a Real Estate Portfolio: Evidence from the Italian Market |
| Authors: | Giannotti, Claudio; Gianluca Mattarocci |
| Summary: | Real estate investment is different from financial investment and such difference can affect the results of traditional mean -variance models. The literature on property finance summarises the differences of expected return and expected risk among individual real estate investments into four risk profiles: tenant, endogenous, exogenous and financial risks. The aim of this paper is to examine how the differences reported in the literature can affect the composition of a real estate portfolio based on Markowitz optimisation standards. The results stemming from the use of a real estate database supplied by Fimit SGR showed that an ex-ante study of risk profiles can help to identify those investment opportunities which are more or less near to the efficient frontier, although there is no prevailing criterion to identify a portfolio able to maximise investment diversification benefits. |
| Type: | |
| Year of publication: | 2007 |
| Series: | ERES:conference |
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| Citation: | Giannotti, Claudio; Gianluca Mattarocci (2007). Risk Diversification in a Real Estate Portfolio: Evidence from the Italian Market. 14th Annual European Real Estate Society Conference in London, UK, http://itc.scix.net/paper/eres2007_286 |
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W78
inspired by SciX, ported by Robert Klinc [2019]