Measures of Downside Risk Under Conditions of Downturn in the Real Estate Market

• Autorzy: Rafał Wolski
• Języki publikacji: EN

Abstrakty

EN

Some authors suggest that the use of standard deviation as a measure of total risk for returns on real estate leads to risk overestimation, as the classical Markowitz model does not account for the skewness of financial data, thus making the results unreliable. According to the available literature, risk calculated on the basis of standard semideviation may actually better reflect the nature of property investment. However, in this context, the question of whether or not this measure will lead to risk underestimation at a time of a downturn in the real estate market, resulting in inadequate investment decisions aggravating investor losses arises. Therefore, the present paper presents portfolios constructed using either classical risk measures or measures based on "downside deviations" of rates of return. The results of investment in these portfolios are analyzed.(original abstract)

Słowa kluczowe

EN

Risk measures; Portfolio theory; Real estate

PL

Pomiar ryzyka; Teoria portfolio; Nieruchomości

• Czasopismo: Real Estate Management and Valuation
• Rocznik: 2013
• Numer: vol. 21, iss. 3
• Strony: 81--87

Twórcy

autor

Rafał Wolski

• University of Lodz, Poland

Bibliografia

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Identyfikatory

DOI

10.2478/remav-2013-0029