Advanced REIT portfolio optimization : innovative tools for risk management / / W. Brent Lindquist [and three others]

• Autore: Lindquist W. Brent
• Pubblicazione: Cham, Switzerland : , : Springer, , [2022]; ©2022
• Descrizione fisica: 1 online resource (268 pages)
• Disciplina: 658.155
• Soggetto topico: Financial risk management; Portfolio management; Portfolio management - Mathematical models
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Intro -- Foreword -- About This Book -- Contents -- Abbreviations -- Chapter 1: The Real Estate Investment Market: The Current State and Why Advances Are Needed -- References -- Chapter 2: The Data -- 2.1 REIT Asset Descriptions -- 2.1.1 Domestic REITs -- 2.1.2 International REITs -- 2.2 Real Estate Stock Descriptions -- 2.3 Benchmarks -- 2.3.1 Indices -- 2.3.2 Exchange Traded Funds -- 2.3.3 Mutual Funds -- 2.4 Additional Assets and Indices -- 2.5 Data Observations -- References -- Chapter 3: Modern Portfolio Theory -- 3.1 Return Time Series -- 3.2 MPT-Based Portfolios -- 3.2.1 Markowitz Mean-Variance Portfolio -- 3.2.2 Capital Market Line and the Markowitz Mean-Variance Tangent Portfolio -- 3.2.3 CVaR-Minimizing Portfolios -- 3.2.4 Capital Market Line and the CVaRα Tangent Portfolio -- 3.2.5 Criticisms of Mean-Variance Optimization -- 3.3 Black-Litterman Model -- 3.4 Historical Optimization -- References -- Chapter 4: Historical Portfolio Optimization: Domestic REITs -- 4.1 Basic Strategies, Price, and Return Performance -- 4.1.1 Long-Only Strategy -- 4.1.2 Jacobs et al. Long-Short Strategy -- 4.1.3 Lo-Patel Long-Short Strategy -- 4.1.4 Long-Short Momentum Strategy -- 4.2 Performance Under Turnover Constraints -- 4.3 Performance-Risk Measures -- 4.4 Observations -- References -- Chapter 5: Diversification with International REITs -- 5.1 International Portfolio Performance -- 5.1.1 Long-Only International Portfolios -- 5.1.2 Jacobs et al. Long-Short International Portfolios -- 5.1.3 Lo-Patel Long-Short International Portfolios -- 5.2 Global Portfolio Performance -- 5.2.1 Long-Only Global Portfolios -- 5.2.2 Jacobs et al. Long-Short Global Portfolios -- References -- Chapter 6: Black-Litterman Optimization Results -- 6.1 Domestic Portfolios -- 6.2 Global Portfolios -- Chapter 7: Dynamic Portfolio Optimization: Beyond MPT. ; 7.1 Dynamic Optimization -- 7.1.1 ARMA(1,1)-GARCH(1,1) with Student´s t-Distribution -- 7.1.2 Multivariate t-Distribution and t-Copulas -- 7.1.3 Generation of Dynamic Returns -- 7.1.4 Combining the Dynamic Approach with Black-Litterman Optimization -- 7.2 Portfolio Optimization Using Dynamic Returns -- 7.2.1 Dynamic Long-Only Portfolios -- 7.2.2 Dynamic Jacobs et al. Long-Short Portfolios -- 7.2.3 Dynamic Lo-Patel Long-Short Portfolios -- 7.3 Dynamic Optimization with the Black-Litterman Model -- References -- Chapter 8: Backtesting -- 8.1 VaR Tests -- 8.1.1 Binomial Test -- 8.1.2 Traffic Light Test -- 8.1.3 Kupiec´s Tests -- 8.1.4 Christoffersen´s Tests -- 8.1.5 Haas´s Tests -- 8.2 Backtest Results -- 8.2.1 Historical Optimization -- 8.2.2 Dynamic Optimizations -- References -- Chapter 9: Diversification with Real Estate Stocks -- Chapter 10: Risk Information and Management -- 10.1 Early Warning Systems -- 10.1.1 Chow Test for a Structural Break -- 10.1.2 Early Warning Based on Tail-Loss Ratio -- 10.1.3 Early Warning Based on Mahalanobis Distance -- 10.1.3.1 Copulas -- 10.1.3.2 Mahalanobis Distance -- 10.2 Asset Weighting -- 10.3 Risk Budgets: Incremental and Component Risk -- 10.3.1 Incremental, Marginal, and Component VaR -- 10.3.2 Computing VaR, IVaR, MVaR, and ciVaR -- 10.3.3 Portfolio Results -- 10.4 Factor Analysis -- References -- Chapter 11: Optimization with Performance-Attribution Constraints -- 11.1 Performance-Attribute Constraints -- 11.2 Application to Domestic REIT Portfolio -- References -- Chapter 12: Option Pricing -- 12.1 Double Subordinated Pricing Models -- 12.2 Option Pricing Under the Double Subordinated IG Model -- 12.3 Empirical Example -- 12.3.1 Choice of a and vmax -- 12.3.2 Option Price and Implied Volatility Surfaces -- 12.4 Volatility Measures -- Appendix 1 -- Appendix 2 -- References. ; Chapter 13: Inclusion of ESG Ratings in Optimization -- 13.1 REIT ESG Data -- 13.2 ESG-Valued Returns -- 13.3 ESG-Valued Optimization -- 13.4 The ESG Efficient Frontier -- 13.5 ESG-Valued Tangent Portfolios -- 13.5.1 Tangent Portfolio Performance over Time -- 13.6 ESG-Valued Reward-Risk Measures -- References -- Chapter 14: Inclusion of ESG Ratings in Option Pricing -- 14.1 Discrete Return Binomial Pricing Model -- 14.2 ESG-Valued Return Binomial Pricing Model -- 14.3 ESG-Valued Option Pricing Using a REIT Portfolio as the Underlying -- References.
• Titolo autorizzato: Advanced REIT portfolio optimization
• ISBN: 3-031-15286-7
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910624311803321
• Lo trovi qui: Univ. Federico II
• Serie: Dynamic modeling and econometrics in economics and finance ; ; Volume 30.