IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/2022_232.html
   My bibliography  Save this paper

The Role of Multi-Family Properties in Hedging Pension Liability Risk: Long-Run Evidence

Author

Listed:
  • Louis Johner
  • Martin Hoesli
  • Jon Lekander

Abstract

Pension funds aim to hold assets that match their future liabilities. We expand extant research by considering a long period encompassing various economic regimes. Using return data for four asset classes in Sweden over a 145-year period, we investigate the out-of-sample performance of portfolios optimized using several approaches and compare them with that of a naïve allocation. We then turn to analyzing the drivers of asset allocations, in particular multi-family properties, over time. The usefulness of holding residential real estate to hedge pension liabilities is assessed. Our analyses make it possible to gauge the benefits of holding residential properties in various economic environments.

Suggested Citation

  • Louis Johner & Martin Hoesli & Jon Lekander, 2022. "The Role of Multi-Family Properties in Hedging Pension Liability Risk: Long-Run Evidence," ERES 2022_232, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:2022_232
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/eres-id-eres2022-232
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Long-term; Multi-Family Properties; Pension fund; Portfolio Allocation;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arz:wpaper:2022_232. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.