Property portfolio allocation: a multi-factor model
Language: English Series: Land Development Studies ; (4) May 1987, 145-156(12)Publication details: 1987Subject(s): Summary: The objective of this paper is describe a method of portfolio allocation currently being developed in the property sector. The model applies a multi-index approach to portfolio decision making and enables investors to explore the effects of changing their allocational decisions. In estimating the parameters required for the model, we explain the method which can be used to adjust for smoothing effects on returns caused by the valuation process. Although the model is still at the development stage, the approach is general and can be applied both to allocating funds within a mixed-asset portfolio or between different types of property within a wholly property-orientated portfolio. (Journal abstract)| Item type | Current library | Call number | Copy number | Status | Barcode | |
|---|---|---|---|---|---|---|
| Journal article | London Journal article | ABS38475 (Browse shelf(Opens below)) | 1 | Available | 10881-1001 |
The objective of this paper is describe a method of portfolio allocation currently being developed in the property sector. The model applies a multi-index approach to portfolio decision making and enables investors to explore the effects of changing their allocational decisions. In estimating the parameters required for the model, we explain the method which can be used to adjust for smoothing effects on returns caused by the valuation process. Although the model is still at the development stage, the approach is general and can be applied both to allocating funds within a mixed-asset portfolio or between different types of property within a wholly property-orientated portfolio. (Journal abstract)