Exploring a new technique to determine the optimal real estate portfolio allocation
Thesis: S.M. in Real Estate Development, Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate, 2014.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2014
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| Online Access: | http://hdl.handle.net/1721.1/87611 |
| _version_ | 1826189086234247168 |
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| author | Fu, Tingting |
| author2 | Walter N. Torous. |
| author_facet | Walter N. Torous. Fu, Tingting |
| author_sort | Fu, Tingting |
| collection | MIT |
| description | Thesis: S.M. in Real Estate Development, Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate, 2014. |
| first_indexed | 2024-09-23T08:09:37Z |
| format | Thesis |
| id | mit-1721.1/87611 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T08:09:37Z |
| publishDate | 2014 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/876112019-04-09T16:59:21Z Exploring a new technique to determine the optimal real estate portfolio allocation Fu, Tingting Walter N. Torous. Massachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development. Massachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development. Center for Real Estate. Program in Real Estate Development. Thesis: S.M. in Real Estate Development, Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate, 2014. This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections. Page 53 blank. Cataloged from student-submitted PDF version of thesis. Includes bibliographical references (page 52). Modern Portfolio Theory has been developed over the last fifty years, and there are several studies linking Modern Portfolio Theory with the allocation of real estate property in multi-asset portfolios. However, in reality, most real estate fund managers don't use MPT as a guideline when they are structuring a portfolio and deploying allocation strategy for a real estate fund. The main reason for this gap between theory and reality is that the traditional mean-variance approach of MPT requires accurate data of variances, covariance and expected return over the long term; and those data are quite difficult to collect on an ad hoc base. This Thesis applies a new technique to examine property asset allocation strategies and improve the performance of a real estate investment sample portfolio in the US. We straight-model the portfolio weight in each property type of asset as a function of the asset's characteristics: either physical attributes such as property size, vacancy rate, property type, location etc.; or financial attributes such as Cap Rate. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return over a certain period of years. The aim of this approach is to find a simple and easily modified methodology for real estate portfolio managers when they are deciding on acquisitions and making portfolio policies. In general, this Thesis aims to apply the new technique to help practitioners and other researchers improve the practical implementation of optimal portfolio policies. by Tingting Fu. S.M. in Real Estate Development 2014-06-02T19:28:59Z 2014-06-02T19:28:59Z 2014 2014 Thesis http://hdl.handle.net/1721.1/87611 879666622 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 53 pages application/pdf Massachusetts Institute of Technology |
| spellingShingle | Center for Real Estate. Program in Real Estate Development. Fu, Tingting Exploring a new technique to determine the optimal real estate portfolio allocation |
| title | Exploring a new technique to determine the optimal real estate portfolio allocation |
| title_full | Exploring a new technique to determine the optimal real estate portfolio allocation |
| title_fullStr | Exploring a new technique to determine the optimal real estate portfolio allocation |
| title_full_unstemmed | Exploring a new technique to determine the optimal real estate portfolio allocation |
| title_short | Exploring a new technique to determine the optimal real estate portfolio allocation |
| title_sort | exploring a new technique to determine the optimal real estate portfolio allocation |
| topic | Center for Real Estate. Program in Real Estate Development. |
| url | http://hdl.handle.net/1721.1/87611 |
| work_keys_str_mv | AT futingting exploringanewtechniquetodeterminetheoptimalrealestateportfolioallocation |