The Role of Housing in a Mixed-Asset Portfolio: The Particular Case of Direct Housing within the Greater Paris Region
Author
Abstract
Suggested Citation
Note: View the original document on HAL open archive server: https://hal.science/hal-02537087
Download full text from publisher
References listed on IDEAS
- Jeff Fisher & David Geltner & Henry Pollakowski, 2007. "A Quarterly Transactions-based Index of Institutional Real Estate Investment Performance and Movements in Supply and Demand," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 5-33, January.
- repec:arz:wpaper:eres1995-134 is not listed on IDEAS
- Martin Hoesli & Bryan D. Macgregor & N. Nanthakumaran, 1995. "The Inflation Hedging Characteristics of UK Real Estate (Some Conceptual and Empirical Elaborations)," ERES eres1995_134, European Real Estate Society (ERES).
- Foort Hamelink & Martin Hoesli, 2004.
"Maximum drawdown and the allocation to real estate,"
Journal of Property Research, Taylor & Francis Journals, vol. 21(1), pages 5-29, January.
- Foort HAMELINK & Martin HOESLI, 2003. "Maximum Drawdown and the Allocation to Real Estate," FAME Research Paper Series rp87, International Center for Financial Asset Management and Engineering.
- Ali Anari & James Kolari, 2002. "House Prices and Inflation," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(1), pages 67-84.
- Chaudhry, Mukesh K & Myer, F C Neil & Webb, James R, 1999. "Stationarity and Cointegration in Systems with Real Estate and Financial Assets," The Journal of Real Estate Finance and Economics, Springer, vol. 18(3), pages 339-349, May.
- Roger G. Ibbotson & Laurence B. Siegel, 1984. "Real Estate Returns: A Comparison with Other Investments," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 219-242, September.
- Hoesli, M, 1997. "An Examination of the Role of Geneva and Zurich Housing in Swiss Institutional Portfolios," Papers 97.03, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Fogler, H Russell & Granito, Michael R & Smith, Laurence R, 1985. "A Theoretical Analysis of Real Estate Returns," Journal of Finance, American Finance Association, vol. 40(3), pages 711-719, July.
- Joaquim Montezuma & Kenneth Gibb, 2006. "Residential Property as an Institutional Asset: The Swiss and Dutch Cases," Journal of Property Research, Taylor & Francis Journals, vol. 23(4), pages 323-345, October.
- David Hartzell & John Hekman & Mike Miles, 1986. "Diversification Categories in Investment Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(2), pages 230-254, June.
- Martin Hoesli & Jon Lekander & Witold Witkiewicz, 2004. "New International Evidence on Real Estate as a Portfolio Diversifier," Journal of Real Estate Research, American Real Estate Society, vol. 26(2), pages 161-206.
- Rafiq Bhuyan & James Kuhle & Talla Mohammed Al-Deehani & Munir Mahmood, 2015. "Portfolio Diversification Benefits Using Real Estate Investment Trusts An Experiment with US Common Stocks, Equity Real Estate Investment Trusts, and Mortgage Real Estate Investment Trusts," International Journal of Economics and Financial Issues, Econjournals, vol. 5(4), pages 922-928.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Carsten Lausberg & Stephen Lee & Moritz Müller & Cay Oertel & Tobias Schultheiß, 2020. "Risk measures for direct real estate investments with non-normal or unknown return distributions," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 6(1), pages 3-27, April.
- Armonat, Stefan & Pfnür, Andreas, 2002. "Basel II and the German credit crunch?," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35585, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy & Wohar, Mark E., 2018.
"Do house prices hedge inflation in the US? A quantile cointegration approach,"
International Review of Economics & Finance, Elsevier, vol. 54(C), pages 15-26.
- Christina Christou & Rangan Gupta & Wendy Nyakabawo & Mark E. Wohar, 2017. "Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach," Working Papers 201707, University of Pretoria, Department of Economics.
- Brent W. Ambrose & Hugh O. Nourse, 1993. "Factors Influencing Capitalization Rates," Journal of Real Estate Research, American Real Estate Society, vol. 8(2), pages 221-238.
- Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy.
- Zaleczna Magdalena & Wolski Rafał, 2010. "Polish Pension Funds Investment - is There A Place For Real Property in A Portfolio?," Folia Oeconomica Stetinensia, Sciendo, vol. 9(1), pages 151-166, January.
- David Geltner, 1989. "Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal‐Based Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(4), pages 463-481, December.
- Paul Gallimore & J. Andrew Hansz & Wikrom Prombutr & Ying Zhang, 2014. "Long-term Cointegrative and Short-term Causal Relations among U.S. Real Estate Sectors," International Real Estate Review, Global Social Science Institute, vol. 17(3), pages 359-394.
- Joseph Gyourko & Peter Linneman, 1990. "Analysing the Risk of Income-producing Real Estate," Urban Studies, Urban Studies Journal Limited, vol. 27(4), pages 497-508, August.
- G. Donald Jud & John D. Benjamin & G. Stacy Sirmans, 1996. "What Do We Know about Apartments and Their Markets?," Journal of Real Estate Research, American Real Estate Society, vol. 11(3), pages 243-258.
- Martin Hoesli & Eva Liljeblom & Anders Loflund, 2014.
"The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight,"
International Real Estate Review, Global Social Science Institute, vol. 17(1), pages 1-22.
- Martin Hoesli & Eva Liljeblom & Anders Löflund, 2012. "The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight," Swiss Finance Institute Research Paper Series 12-22, Swiss Finance Institute.
- Robert Edelstein & Daniel Quan, 2006. "How Does Appraisal Smoothing Bias Real Estate Returns Measurement?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 41-60, February.
- Mike Miles & John Pringle & Brian Webb, 1989. "Modeling the Corporate Real Estate Decision," Journal of Real Estate Research, American Real Estate Society, vol. 4(3), pages 47-66.
- William Goetzmann & Eduardas Valaitis, 2006. "Simulating Real Estate in the Investment Portfolio: Model Uncertainty and Inflation Hedging," Yale School of Management Working Papers amz2476, Yale School of Management, revised 01 May 2006.
- Cohen Viktorija & Burinskas Arūnas, 2020. "The Evaluation of the Impact of Macroeconomic Indicators on the Performance of Listed Real Estate Companies and Reits," Ekonomika (Economics), Sciendo, vol. 99(1), pages 79-92, June.
- Justin D. Benefield & Randy I. Anderson & Leonard V. Zumpano, 2009. "Performance differences in property‐type diversified versus specialized real estate investment trusts (REITs)," Review of Financial Economics, John Wiley & Sons, vol. 18(2), pages 70-79, April.
- Jean‐Christophe Delfim & Martin Hoesli, 2021.
"Robust desmoothed real estate returns,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 75-105, March.
- Jean-Christophe Delfim & Martin Hoesli, 2019. "Robust Desmoothed Real Estate Returns," Swiss Finance Institute Research Paper Series 19-32, Swiss Finance Institute.
- David J. Hartzell & Robert H. Pittman & David H. Downs, 1994. "An Updated Look at the Size of the U.S. Real Estate Market Portfolio," Journal of Real Estate Research, American Real Estate Society, vol. 9(2), pages 197-212.
- Gary John Rangel & Jason Wei Jian Ng, 2017. "Macroeconomic Drivers of Singapore Private Residential Prices: A Markov-Switching Approach," Capital Markets Review, Malaysian Finance Association, vol. 25(2), pages 15-31.
- Patric H. Hendershott & Thomas G. Thibodeau & Halbert C. Smith, 2009. "Evolution of the American Real Estate and Urban Economics Association1," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(4), pages 559-598, December.
More about this item
Keywords
Direct housing; Grand Paris metropolis; inflation hedge; diversification; Sharpe maximizing portfolio allocation;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-URE-2020-04-20 (Urban and Real Estate Economics)
Statistics
Access and download statisticsCorrections
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:hal:wpaper:hal-02537087. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.