Correlation Shifts and Real Estate Portfolio Management
- Topics:
- Real Estate Services,
- Regulations
- Tags:
- Asset Management,
- Business Operations,
- Correlation,
- Operational Planning,
- Real Estate,
- Real Estate Portfolio Management,
- University Of Reading
- Source:
- University of Reading
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Overview: There is a tendency for the average correlation among assets to increase when the market falls and vice-versa. Thus, assuming that the correlation between assets is a constant over time seems unrealistic. Nonetheless, these changes in the correlation structure as a consequence of changes in the market's return suggests that correlation shifts can be modeled as a function of the market return. This is the idea behind the model of Spurgin et al (2000). In this paper the Spurgin et al (2000) model is applied to 31 real estate market segments in the UK using monthly data over the period 1987:1 to 2000:12.
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Format: PDF | Size: 60KB | Date: Apr 2002 | Pages: 18
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