Risk diversification in a real estate portfolio: evidence from the Italian market

Giannotti, Claudio; Mattarocci, Gianluca

doi:10.1108/17539260810924409

Cited by 18 publications

(11 citation statements)

References 48 publications

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“…In order to complete the diversification analysis in the Italian hotel sector, further developments in research could account for, as already carried out for the overall real estate market (Cacciamani, 2003;Giannotti and Mattarocci, 2008), the possibility of itemising criteria for the classification of investments, considering specific property risk factors. The chance to realise such an approach presumes the availability of a wider database in terms of registered information and hotels.…”

Section: Discussionmentioning

confidence: 99%

The role of portfolio diversification in the hotel industry

Giannotti

Mattarocci

Spinelli

2011

EuroMed Journal of Business

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Purpose -The purpose of this paper is to study whether geographic and sector diversification allow for a significant reduction in the risk exposure of a portfolio of hotel investments in one of the major tourist markets, the Italian market. Design/methodology/approach -This paper evaluates the benefits related to a Markowitz diversification approach for the construction of a specialised portfolio in the hotel real estate market. The portfolio analysis considers the degree of efficiency of each portfolio, the type of diversification adopted by a more efficient portfolio, the persistence of results over time and the impact of diversification constraints. Findings -The results demonstrate that, while standard geographic and sector diversification allow for good results, the more efficient portfolios are more concentrated. The trade-off is worse if some concentration constraints are established, but the portfolios identified are characterised by higher performance persistence.Research limitations/implications -The analysis only considers high-quality hotels in the Italian market. Unfortunately, some information on costs is not as detailed as would be desired. The availability of a more complete database could increase the significance of the results obtained. Practical implications -The results are relevant for constructing all hotels' portfolios, like those managed by a real estate fund manager, in order to define the type and degree of diversification that allow for minimal risk exposure. Originality/value -This paper is the first to apply the Markowitz theory to the Italian hotel industry in order to identify the best diversification criteria.

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Section: Discussionmentioning

confidence: 99%

The role of portfolio diversification in the hotel industry

Giannotti

Mattarocci

Spinelli

2011

EuroMed Journal of Business

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“…The results could be useful for the hotel chains and for the institutional investor specialized in this sector (Bader et al, 2008;Peters and Frehse, 2005), in order to define a first guideline for the property selection process and diversification portfolio strategy, which can be applied in the Italian market (Giannotti and Mattarocci, 2008).…”

Section: Discussionmentioning

confidence: 99%

The relative importance of sector and regional factors in the hotel industry

Giannotti

Mattarocci

Spinelli

2010

Journal of Property Investment &Amp; Finance

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Purpose -The purpose of the paper is to compare the role of the sector and geographical features in explaining the performance of a hotel structure. Design methodology/approach -The paper constructs a measure of net profit for available room (GOPPAR) for a representative sample of Italian hotels and uses a constrained linear regression model in order to identify the role of sectoral and geographical features. The analysis is released adopting a multiple cross sectional approach and considering not only the average role of sectoral and geographic characteristic, but also the time trend of relation inspected.Findings -Results obtained show that the overall national trend is not significant for explaining the performance of each hotel. Considering geographical and sectoral features, the first of these explain better the disalignment of the performance respect to the national average.Research limitations/implications -The paper proposes an analysis of the hotel industry using a standard geo-sectoral classification. More data about the characteristics of the firms considered in the sample could allow to define a more detailed model that consider also other hotel features that could impact on the demand and supply of the service. Practical implications -Results could be useful for the hotel chains and for institutional investors specialized in the hotel sector, in order to define a first guideline for the property selection process and diversification portfolio strategy. Originality/value -The paper represents the first work that analyse the role of regional and sectoral factors in explaining the performance of the hotel industry and supports the thesis proposed with and empirical evidence on world leading market (Italy).

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“…Here portfolio diversification is seen as a way of investing in two or more good securities because it spreads risk, which means minimizing the risk borne. The more spread of risk that occurs, the lower the volatility of the portfolio [14].…”

Section: Portfolio Diversificationmentioning

confidence: 99%

Value at Risk in the Formation of Optimal Portfolio on Sharia-Based Stocks

Juniar*,

Rahmi,

Rahmawati

et al. 2020

IJRTE

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Abstract: This study aims to formation an optimal portfolio and find out the value of Risk at Sharia-based stocks in the Jakarta Islamic Index. Risk is one of the important things that must be considered by investors to invest. In this case, risk can be minimized by diversification (portfolio). Based on the research period from June 2015 to November 2017 there were 39 companies that became the study population, while the number of companies that were sampled as many as 10 companies were taken Carlo model uses stock return data. This study uses a significance level of 90%, 95% and 99% and uses three time horizons, namely 1 day, 1 week and 1 month. The results of this study indicate that there are eight stocks included in the optimal portfolio with the optimal proportion of funds owned by TLKM and UNVR stocks, each at 25%. The highest at Value at Risk in each stocks at 99% confidence level is from ADRO stocks, namely -7. 24% at 1 day time horizon, -18.98% at 1 week time horizon and -39.17% at time horizon 1 month. While the Value at Risk in the portfolio is smaller than the Value at Risk for each stock and is expected not to exceed -0.43% and this is in accordance with the purpose of establishing a portfolio that is to minimize investment risk. by purposive sampling technique with criteria always consistent in the list of Jakarta Islamic Index during the observation period, consistently having a return positive expectations and have stock price movements. The data analysis technique for optimal portfolio formation uses the Markowitz model and is carried out to obtain certain returns with the lowest risk level and to find out the proportion of funds in each share included in the optimal portfolio. The results of data analysis on portfolio formation are then simulated by measuring Value at Risk with the Monte Carlo model. Measurement of Value at Risk with the Monte

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Risk diversification in a real estate portfolio: evidence from the Italian market

Cited by 18 publications

References 48 publications

The role of portfolio diversification in the hotel industry

The role of portfolio diversification in the hotel industry

The relative importance of sector and regional factors in the hotel industry

Value at Risk in the Formation of Optimal Portfolio on Sharia-Based Stocks

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