Downside risk optimization in securitized real estate markets

Kroencke, Tim‐Alexander; Schindler, Felix

doi:10.1108/14635781011080294

Cited by 15 publications

(10 citation statements)

References 36 publications

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“…Gabaix et al (2016) also mentioned that institutional investment activities played a role in volatility conditions of the market. The results also correspond with findings by Liow (2008), who found some volatility persistence in Malaysian property securitized markets. The recent COVID-19 pandemic has shocked the world with a significant impact on the economy.…”

Section: Resultssupporting

confidence: 91%

Assessing the Impact of Outbreaks on Malaysian Listed Property Companies in Mixed-Asset Portfolios

Razali

Jalil

Shayuti

2021

Real Estate Management and Valuation

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This paper assesses the impact of outbreaks from the perspective of volatility of Malaysian Listed Property Companies in mixed-asset portfolios, concentrating on periods of time between outbreaks. The real issue of this study is the health crisis that has troubled institutional investors, as it has already significantly impacted the returns on investments. Investors need to be better informed on the impact of health outbreaks on investments in order to minimize their impact. To assess the impact of the outbreaks, the GARCH method has been employed to examine the dynamic volatility of listed property companies in mixed-asset portfolios. The volatility level will give investors better information from point of view of the dynamics of volatility of the Malaysian listed property companies’ performance within mixed-asset portfolios. The findings show that listed property companies demonstrate high volatility compared to other mixed-asset portfolios during the periods of outbreaks. This indicates Malaysian listed property companies were the most volatile investment in mixed-asset portfolios. This empirical study will contribute significantly to institutional investors, especially in terms of the investment decision-making process during outbreaks.

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Section: Resultssupporting

confidence: 91%

Assessing the Impact of Outbreaks on Malaysian Listed Property Companies in Mixed-Asset Portfolios

Razali

Jalil

Shayuti

2021

Real Estate Management and Valuation

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“…Goal programming models for the assessment of real estate investment risks have been presented in several studies, available in the scientific reference literature (Byrne and Lee, 1994;Findlay et al, 1979;Hin et al, 2006;Kroencke and Schindler, 2010;Shevchenko et al, 2008;Zhou and Li, 2008).…”

Section: Pm 381mentioning

confidence: 99%

An evaluation model for an effective risk assessment in the rent to buy property market

Tajani

Morano

Salvo

et al. 2019

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Purpose In this research a model for the rationalization of the assessment in a rent to buy contract has been proposed, in order to contextualize the economic amounts involved in the negotiation according to the specific market risk of the area where the property is located. The paper aims to discuss this issue. Design/methodology/approach The model borrows the logical principles of operational research, in order to take into account the convenience constraints of the parties involved (seller and buyer) and to determine the minimum amount of the additional annual rent to be charged as down payment on the final sale price, compensating the investment risk. The procedure proposed for the risk assessment combines the discrete modeling of real option analysis and the exponentially weighted moving average method, in order to weigh appropriately the data available for the specific area in the analysis. Findings Considering the limit conditions of variability of the property market value at the time provided for the notarial deed, the proposed model returns two values (minimum and maximum) for a fixed contract duration and for a specific market area for the annual additional rent, which define the reference range to ensure the compliance with the convenience constraints of the parties involved. Practical implications In order to test the reliability of the developed methodology, the model has been implemented to the 24 “microzones” defined by the Italian Revenue Agency for the city of Bari (Southern Italy). The results obtained were then georeferenced, in order to create thematic maps of convenience for the subjects interested in the rent to buy formula. The developed maps define a useful support to be consulted in the negotiation phase between the seller and the buyer, allowing both to verify the investment conveniences within the limits of their disposable incomes and their needs. Originality/value The tabulated values of the down-payment amounts and the related thematic maps constitute a valid support for both the parties in the initial negotiation phase of the contractual conditions: in fact, if comparable data for the assessment of the market value and the market rent at the time of the stipulation of the contract are ordinarily available, the increase in the rent, to be charged as the annual down payment on the final purchase price, is generally entrusted to the contractual capabilities of the subjects involved, since there is no market reference that can direct an appropriate assessment.

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“…Applications of goal programming for the assessment of real estate investment risks have been proposed by Findlay et al (1979), Zhou and Li (2008), Shevchenko et al (2008). Kroencke and Schindler (2010) have compared the Markowitz approach, based on the meanvariance optimization (Markowitz, 1952), and the downside risk framework elaborated by Estrada (2008) in the definition of optimal securitized real estate porfolios. Hin et al (2006) have used the Markowitz mean-variance constrained optimization to obtain an efficient combination of assets at the lowest level of risk.…”

Section: Pm 362mentioning

confidence: 99%

A model for the elaboration of fair divisional projects in inheritance disputes

Tajani

Morano²

2018

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Purpose The purpose of this paper is to develop a method to support the definition of efficient and fair divisional projects in particularly complex cases concerning inheritance disputes. Design/methodology/approach First, the approach involves an appraisal of the market value of the assets, along with an analysis of the respective conditions of concrete divisibility; then, two mathematical models have been developed for the assignment of the assets to the subjects involved in the divisional projects. The logic underlying of both models has been translated into mathematical algorithms that allow for the minimization of the monetary compensations resulting from the differences between the legal right shares and the actual portions to be attributed to them. Findings Both models have been developed through mathematical formulas that can be easily implemented by using an appropriate calculation software. They can be used in particularly complex inheritance divisions, in which the deceased’s assets are numerous and there are several heirs with similar or different legal right shares. Originality/value The methodology is useful in the disputes that could arise in hereditary successions. The fundamental value is that the models could support the definition of the best solution in particularly complex situations, characterized by a large number of assets to be assigned and/or the existence of “preferential” constraints for the assignment of the assets.

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Downside risk optimization in securitized real estate markets

Cited by 15 publications

References 36 publications

Assessing the Impact of Outbreaks on Malaysian Listed Property Companies in Mixed-Asset Portfolios

Assessing the Impact of Outbreaks on Malaysian Listed Property Companies in Mixed-Asset Portfolios

An evaluation model for an effective risk assessment in the rent to buy property market

A model for the elaboration of fair divisional projects in inheritance disputes

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