Optimal portfolio choice with housing and tenure decisions:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | II, 120 S. graph. Darst. |
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Record in the Search Index
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| adam_text | Titel: Optimal portfolio choice with housing and tenure decisions
Autor: Coggi, Patrick
Jahr: 2009
Contents
Abstract iii
Zusammenfassung iv
I Portfolio choice with durable goods 1
1 Introduction 3
1.1 Motivation................................. 3
1.2 Review of the literature.......................... 5
1.2.1 Housing and portfolio theory................... 6
1.2.2 Tenure choice........................... 12
1.2.3 Optimal mortgage choice..................... 14
2 Technical introduction 17
2.1 General technical assumptions...................... 17
2.2 Basic portfolio choice problem...................... 18
2.2.1 Formulation of the model..................... 19
2.2.2 Stochastic control approach ................... 24
2.2.3 Martingale approach....................... 31
2.2.4 Uncertainty about future investment opportunities........ 37
2.3 Appendix................................. 43
3 A model of portfolio choice with durability 47
3.1 Setup ................................... 47
3.2 Analytical results without transaction costs ............... 48
3.2.1 The homeowner s problem.................... 49
3.2.2 The real estate investor s problem............... 52
3.3 Discussion of results with transaction costs ............... 53
3.4 Conclusions................................ 58
3.5 Appendix................................. 59
CONTENTS
II Optimal portfolio, housing and tenure choice: a real options ap-
proach 67
4 Introduction to investment decisions under uncertainty 69
4.1 Risk neutrality and complete markets................... 70
4.2 Real options and risk aversion ...................... 72
5 A model of optimal portfolio and tenure choice 75
5.1 Equilibrium in the real estate market................... 75
5.2 Tenure choice............................... 82
5.2.1 Equilibrium choice of tenure................... 83
5.2.2 Model setup............................ 85
5.2.3 Benchmark case: idiosyncratic risk not priced.......... 94
5.2.4 Some numerical results...................... 97
5.3 Conclusions and suggestions for further research ............ 103
5.4 Appendix................................. 108
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| author | Coggi, Patrick 1976- |
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| bvnumber | BV035404437 |
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| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| indexdate | 2024-07-09T21:34:28Z |
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| language | English |
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| physical | II, 120 S. graph. Darst. |
| publishDate | 2009 |
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| spelling | Coggi, Patrick 1976- Verfasser (DE-588)138065934 aut Optimal portfolio choice with housing and tenure decisions Patrick Coggi 2009 II, 120 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2008 Entscheidung bei Risiko stw Haushaltsökonomik stw Investitionsgut stw Konsumgut stw Portfolio-Management stw Realoption stw Tenure Choice stw Theorie stw Wohnung stw Portfolio-Investition (DE-588)4175391-4 gnd rswk-swf Gebrauchsgut (DE-588)4019561-2 gnd rswk-swf Verbraucherverhalten (DE-588)4062644-1 gnd rswk-swf Hauskauf (DE-588)4023774-6 gnd rswk-swf Miete (DE-588)4169785-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Verbraucherverhalten (DE-588)4062644-1 s Gebrauchsgut (DE-588)4019561-2 s Portfolio-Investition (DE-588)4175391-4 s DE-604 Hauskauf (DE-588)4023774-6 s DE-188 Miete (DE-588)4169785-6 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017325026&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Coggi, Patrick 1976- Optimal portfolio choice with housing and tenure decisions Entscheidung bei Risiko stw Haushaltsökonomik stw Investitionsgut stw Konsumgut stw Portfolio-Management stw Realoption stw Tenure Choice stw Theorie stw Wohnung stw Portfolio-Investition (DE-588)4175391-4 gnd Gebrauchsgut (DE-588)4019561-2 gnd Verbraucherverhalten (DE-588)4062644-1 gnd Hauskauf (DE-588)4023774-6 gnd Miete (DE-588)4169785-6 gnd |
| subject_GND | (DE-588)4175391-4 (DE-588)4019561-2 (DE-588)4062644-1 (DE-588)4023774-6 (DE-588)4169785-6 (DE-588)4113937-9 |
| title | Optimal portfolio choice with housing and tenure decisions |
| title_auth | Optimal portfolio choice with housing and tenure decisions |
| title_exact_search | Optimal portfolio choice with housing and tenure decisions |
| title_full | Optimal portfolio choice with housing and tenure decisions Patrick Coggi |
| title_fullStr | Optimal portfolio choice with housing and tenure decisions Patrick Coggi |
| title_full_unstemmed | Optimal portfolio choice with housing and tenure decisions Patrick Coggi |
| title_short | Optimal portfolio choice with housing and tenure decisions |
| title_sort | optimal portfolio choice with housing and tenure decisions |
| topic | Entscheidung bei Risiko stw Haushaltsökonomik stw Investitionsgut stw Konsumgut stw Portfolio-Management stw Realoption stw Tenure Choice stw Theorie stw Wohnung stw Portfolio-Investition (DE-588)4175391-4 gnd Gebrauchsgut (DE-588)4019561-2 gnd Verbraucherverhalten (DE-588)4062644-1 gnd Hauskauf (DE-588)4023774-6 gnd Miete (DE-588)4169785-6 gnd |
| topic_facet | Entscheidung bei Risiko Haushaltsökonomik Investitionsgut Konsumgut Portfolio-Management Realoption Tenure Choice Theorie Wohnung Portfolio-Investition Gebrauchsgut Verbraucherverhalten Hauskauf Miete Hochschulschrift |
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