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Risk-Hedging in Real Estate Markets

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  • Abel Cadenillas
  • Robert Elliott
  • Hong Miao
  • Zhenyu Wu

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Suggested Citation

  • Abel Cadenillas & Robert Elliott & Hong Miao & Zhenyu Wu, 2009. "Risk-Hedging in Real Estate Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 265-285, December.
    • Handle: RePEc:kap:apfinm:v:16:y:2009:i:4:p:265-285
    DOI: 10.1007/s10690-009-9095-3
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    References listed on IDEAS

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    2. Goetzmann, William N & Spiegel, Matthew, 1995. "Non-temporal Components of Residential Real Estate Appreciation," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 199-206, February.
    3. Rose Lai & Ko Wang & Jing Yang, 2007. "Stickiness of Rental Rates and Developers’ Option Exercise Strategies," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 159-188, January.
    4. Robert Elliott & Leunglung Chan, 2004. "Perpetual American options with fractional Brownian motion," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 123-128.
    5. Gatzlaff, Dean H. & Haurin, Donald R., 1998. "Sample Selection and Biases in Local House Value Indices," Journal of Urban Economics, Elsevier, vol. 43(2), pages 199-222, March.
    6. Robert J. Shiller & Karl E. Case & Allan N. Weiss, 1995. "Mortgage Default Risk and Real Estate Prices: The Use of Index-Based Futures and Options in Real Estate," Cowles Foundation Discussion Papers 1098, Cowles Foundation for Research in Economics, Yale University.
    7. David Genesove & Christopher Mayer, 2001. "Loss Aversion and Seller Behavior: Evidence from the Housing Market," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 116(4), pages 1233-1260.
    8. Kettani, Ossama & Khelifi, Karim, 2001. "PariTOP: A goal programming-based software for real estate assessment," European Journal of Operational Research, Elsevier, vol. 133(2), pages 362-376, January.
    9. Zhao, Yonggan & Ziemba, William T., 2008. "Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1525-1540, March.
    10. Goetzmann, William Nelson, 1993. "The Single Family Home in the Investment Portfolio," The Journal of Real Estate Finance and Economics, Springer, vol. 6(3), pages 201-222, May.
    11. Ashenfelter, Orley & Genesove, David, 1992. "Testing for Price Anomalies in Real-Estate Auctions," American Economic Review, American Economic Association, vol. 82(2), pages 501-505, May.
    12. Abdullah Yavas & C. Sirmans, 2005. "Real Options: Experimental Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 31(1), pages 27-52, August.
    13. William Goetzmann & Liang Peng, 2006. "Estimating House Price Indexes in the Presence of Seller Reservation Prices," The Review of Economics and Statistics, MIT Press, vol. 88(1), pages 100-112, February.
    14. Fusai, Gianluca & Luciano, Elisa, 2001. "Dynamic value at risk under optimal and suboptimal portfolio policies," European Journal of Operational Research, Elsevier, vol. 135(2), pages 249-269, December.
    15. Patrick Jaillet & Ehud I. Ronn & Stathis Tompaidis, 2004. "Valuation of Commodity-Based Swing Options," Management Science, INFORMS, vol. 50(7), pages 909-921, July.
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    17. Dohi, Tadashi & Osaki, Shunji & Nikolaos Limnios, 2006. "Mathematical Finance and Risk Assessment," European Journal of Operational Research, Elsevier, vol. 168(2), pages 279-280, January.
    18. Goh, Mark & Lim, Joseph Y.S. & Meng, Fanwen, 2007. "A stochastic model for risk management in global supply chain networks," European Journal of Operational Research, Elsevier, vol. 182(1), pages 164-173, October.
    19. Ambrose, Brent W & Buttimer, Richard J, Jr & Capone, Charles A, 1997. "Pricing Mortgage Default and Foreclosure Delay," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 314-325, August.
    20. Dean Paxson, 2007. "Sequential American Exchange Property Options," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 135-157, January.
    21. Karl E. Case & Robert J. Shiller & Allan N. Weiss, 1991. "Index-Based Futures and Options Markets in Real Estate," Cowles Foundation Discussion Papers 1006, Cowles Foundation for Research in Economics, Yale University.
    22. Dayanik, Savas & Karatzas, Ioannis, 2003. "On the optimal stopping problem for one-dimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 107(2), pages 173-212, October.
    23. Norman G. Miller & Michael A. Sklarz, 1987. "Pricing Strategies and Residential Property Selling Prices," Journal of Real Estate Research, American Real Estate Society, vol. 2(1), pages 31-40.
    24. Meese, Richard A & Wallace, Nancy E, 1997. "The Construction of Residential Housing Price Indices: A Comparison of Repeat-Sales, Hedonic-Regression and Hybrid Approaches," The Journal of Real Estate Finance and Economics, Springer, vol. 14(1-2), pages 51-73, Jan.-Marc.
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