A Mean-Variance Optimization Approach for Residential Real Estate Valuation

Guijarro, Francisco

doi:10.2478/remav-2021-0018

Cited by 7 publications

(4 citation statements)

References 35 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…In addition, in terms of investment return, the investment return of the time-varying portfolio optimization model based on risk contagion is significantly higher than that based on Mean VaR The investment return rate of Mean-CVaR time-varying portfolio optimization model. Therefore, from the perspective of investors, the Mean-CVaR time-varying portfolio optimization model based on risk contagion has better operability and practical value and can better achieve portfolio optimization [35,36].…”

Section: Investment Portfolio Optimization Results Under Risk Contagionmentioning

confidence: 99%

Measurement and Control of Risk Contagion in Portfolio Optimization Processes

Qiao,

Qiao

2024

Symmetry

View full text Add to dashboard Cite

The success of an investment portfolio is not only related to its yield, but is also influenced by market risks, especially the contagion risks that may exist between assets. Therefore, effective portfolio optimization requires first studying the risk contagion relationship between financial assets. We selected a total of six financial assets from different stock and exchange rate markets as the research objects, and explored the risk contagion relationships of various assets in the investment portfolio through Vine Copula. Research has shown that there is often a structural mutation in one or some assets of an investment portfolio, leading to significant fluctuations in investment returns. The Vine Copula model can effectively measure the risk contagion between assets caused by asset structural mutations.

show abstract

Section: Investment Portfolio Optimization Results Under Risk Contagionmentioning

confidence: 99%

Measurement and Control of Risk Contagion in Portfolio Optimization Processes

Qiao,

Qiao

2024

Symmetry

View full text Add to dashboard Cite

show abstract

“…Guijarro recently formulated a Quadratic Programming problem similar to the mean-variance portfolio optimization problem [19]. Interestingly, he also argued that the sales comparison model should minimize the adjusted prices' variance, not their coefficient of variation.…”

Section: Literature Reviewmentioning

confidence: 99%

On the Weights for Characteristics and Comparables for Property Valuation using Quality Rating Valuation Estimation

Agustin

Soewandi

Widjojo³

2023

ced

View full text Add to dashboard Cite

This study considers the problem of finding weights for building characteristics and compares buildings in property valuation to provide a more rigorous analytical foundation for a simple yet practical valuation technique knowns as Quality Rating Valuation Estimation (QRVE). Mathematically, we prove that the “best” characteristic weights can be obtained from Multiple Linear Regression Analysis (MRA) coefficients. Furthermore, by applying the Gower Similarity index and the Partition Around Medoid (PAM) clustering technique, the proposed algorithm provides an appropriate similarity of the weighing of compared buildings. The case studies illustrate a way to select a subset of characteristics when there are many of them with two numerical examples, as well as a complete modification of QRVE in conjunction with the grid adjustment technique. The modified QRVE proposal results in a very reasonable and high valuation performance of the building value estimate.

show abstract

“…Por otro lado, los métodos de valoración avanzados se basan en la aplicación de modelos de optimización matemática, estadísticos, o de inteligencia artificial (Ahn et al, 2012;Guijarro, 2021;Kontrimas y Verikas, 2011). En general ofrecen una mayor precisión en las estimaciones, pero como contrapartida son intensivos en tiempo de computación y en la cantidad de información requerida para poder aplicarlos.…”

Section: Revisión De La Literaturaunclassified

Valoración automática de inmuebles residenciales mediante modelos de Machine Learning

Guijarro¹

2023

ReE

View full text Add to dashboard Cite

La literatura reciente sobre valoración inmobiliaria ha aportado diversas evidencias en el ámbito internacional sobre el buen desempeño de los modelos de machine learning en la predicción del comportamiento de los precios, sobre todo si se comparan con los obtenidos por los denominados métodos tradicionales valoración, muy extendidos sobre todo en la práctica profesional. Con todo, se siguen remarcando algunas limitaciones como el diseño de caja negra y la dificultad en la interpretación de los resultados proporcionados por estas técnicas. Este trabajo tiene por objeto comparar los resultados y el desempeño de diferentes modelos de machine learning aplicados en el ámbito de la valoración inmobiliaria residencial. Para ello se ha recopilado una amplia base de datos con ofertas de inmuebles en la ciudad de Madrid, que permite dividir la muestra en los grupos de entrenamiento y test. La comparación entre los modelos se ha llevado a cabo a través de diferentes métricas, entre las que destaca el MAPE (Mean Absolute Percentage Error) por ser uno de los preferidos por las sociedades de tasación. Las métricas utilizadas confirman un buen rendimiento generalizado para el conjunto de modelos entrenados, con variaciones relativamente pequeñas tras el proceso de validación.

show abstract

A Mean-Variance Optimization Approach for Residential Real Estate Valuation

Cited by 7 publications

References 35 publications

Measurement and Control of Risk Contagion in Portfolio Optimization Processes

Measurement and Control of Risk Contagion in Portfolio Optimization Processes

On the Weights for Characteristics and Comparables for Property Valuation using Quality Rating Valuation Estimation

Valoración automática de inmuebles residenciales mediante modelos de Machine Learning

Contact Info

Product

Resources

About