Advanced REIT portfolio optimization: innovative tools for risk management
Gespeichert in:
| Hauptverfasser: | , , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham
Springer
[2022]
|
| Schriftenreihe: | Dynamic modeling and econometrics in economics and finance
30 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xiv, 258 Seiten |
| ISBN: | 9783031152856 |
Internformat
MARC
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| 245 | 1 | 0 | |a Advanced REIT portfolio optimization |b innovative tools for risk management |c W. Brent Lindquist, Svetlozar T. Rachev, Yuan Hu, Abootaleb Shirvani |
| 264 | 1 | |a Cham |b Springer |c [2022] | |
| 300 | |a xiv, 258 Seiten | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Dynamic modeling and econometrics in economics and finance |v 30 | |
| 653 | 0 | |a Real estate business. | |
| 653 | 0 | |a Valuation. | |
| 653 | 0 | |a Financial risk management. | |
| 653 | 0 | |a Economics—Computer programs. | |
| 653 | 0 | |a Finance. | |
| 653 | 0 | |a Real estate investment trusts | |
| 653 | 0 | |a Portfolio optimization | |
| 653 | 0 | |a Investment risk assessment | |
| 653 | 0 | |a Derivative pricing for hedging investment risk | |
| 653 | 0 | |a Portfolio investment | |
| 653 | 0 | |a REIT investment | |
| 653 | 0 | |a Innovative investment tools | |
| 653 | 0 | |a Quantitative finance | |
| 653 | 0 | |a Risk budgeting | |
| 653 | 0 | |a REIT investment | |
| 653 | 0 | |a Real Estate Investment Market | |
| 653 | 0 | |a Modern portfolio theory | |
| 653 | 0 | |a Real estate stocks | |
| 653 | 0 | |a Option pricing | |
| 700 | 1 | |a Račev, Svetlozar T. |d 1951- |e Verfasser |0 (DE-588)12022979X |4 aut | |
| 700 | 1 | |a Hu, Yuan |e Verfasser |0 (DE-588)1231258101 |4 aut | |
| 700 | 1 | |a Shirvani, Abootaleb |e Verfasser |4 aut | |
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Datensatz im Suchindex
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| adam_text | Contents The Real Estate Investment Market: The Current State and Why Advances Are Needed................................................................................ References..................................................................................................... 1 11 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 TradedFunds...................................................... 2.3.3 Mutual Funds....................................................................... 2.4 Additional Assets and Indices.......................................................... 2.5 Data Observations.............................................................................. References..................................................................................................... 13 13 13 19 21 23 23 24 24 25 27 27 3 Modern Portfolio Theory............................................................................ 3.1 Return Time
Series............................................................................ 3.2 МРТ-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 CVaRa Tangent Portfolio.............................................................................. 3.2.5 Criticisms of Mean-Variance Optimization..................... 3.3 Black-Litterman Model.................................................................... 3.4 Historical Optimization..................................................................... References..................................................................................................... 29 29 31 32 1 35 37 41 42 42 46 48 ix
Contents x 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...................................................................................................... 49 50 51 52 53 55 56 63 70 71 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...................................................................................................... 73 74 74 77 80 80 80 85 86 6 Black-Litterman Optimization Results.................................................... 6.1 DomesticPortfolios........................................................................... 6.2 Global Portfolios................................................................................ 87 87 90 7 Dynamic Portfolio Optimization: Beyond MPT.................................... 7.1 Dynamic Optimization....................................................................... 7.1.1 ARMACI,1)-GARCH(1,1) with Student’s i-Distribution....................................................................... 7.1.2 Multivariate t-Distributionand t-Copulas.......................... 7.1.3 Generation of Dynamic Returns........................................ 7.1.4 Combining the Dynamic Approach with Black-Litterman Optimization........................... 98 7.2 Portfolio Optimization Using Dynamic Retums............................. 7.2.1 Dynamic Long-Only Portfolios......................................... 7.2.2 Dynamic Jacobs et al. Long-Short Portfolios.................. 7.2.3Dynamic Lo-Patel Long-Short Portfolios.............................. 7.3 Dynamic Optimization with the Black-Litterman Model.............. References...................................................................................................... 93 94 99 99 105 108 110 112
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.......................................................... 113 115 115 116 117 119 8 94 96 96
Contents xi 8.1.5 Haas’s Tests....................................................................... Backtest Results................................................................................ 8.2.1 Historical Optimization..................................................... 8.2.2 Dynamic Optimizations..................................................... References..................................................................................................... 120 122 122 127 129 Diversification with Real EstateStocks.................................................... 131 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-LossRatio......................... 10.1.3 Early Warning Based on MahalanobisDistance.............. 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.....................................................................................................
137 138 138 139 146 150 155 156 158 161 169 178 11 Optimization with Performance-Attribution Constraints................... 11.1 Performance-Attribute Constraints.................................................. 11.2 Application to Domestic REIT Portfolio................................. References..................................................................................................... 181 182 187 196 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..................................................................................................... 197 203 205 208 211 217 218 222 224 225 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..................................................................................................... 227 229 230 232 234 240 241 244 244 8.2 9
xii 14 Contents Inclusion of ESG Ratings in Option Pricing.......................................... 14.1 Discrete Return BinomialPricing Model........................................ 14.2 ESG-Valued Return BinomialPricing Model................................ 14.3 ESG-Valued Option Pricing Using a REIT Portfolio as the Underlying.......................................................................................... References...................................................................................................... 247 248 251 252 258
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| adam_txt |
Contents The Real Estate Investment Market: The Current State and Why Advances Are Needed. References. 1 11 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 TradedFunds. 2.3.3 Mutual Funds. 2.4 Additional Assets and Indices. 2.5 Data Observations. References. 13 13 13 19 21 23 23 24 24 25 27 27 3 Modern Portfolio Theory. 3.1 Return Time
Series. 3.2 МРТ-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 CVaRa Tangent Portfolio. 3.2.5 Criticisms of Mean-Variance Optimization. 3.3 Black-Litterman Model. 3.4 Historical Optimization. References. 29 29 31 32 1 35 37 41 42 42 46 48 ix
Contents x 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. 49 50 51 52 53 55 56 63 70 71 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. 73 74 74 77 80 80 80 85 86 6 Black-Litterman Optimization Results. 6.1 DomesticPortfolios. 6.2 Global Portfolios. 87 87 90 7 Dynamic Portfolio Optimization: Beyond MPT. 7.1 Dynamic Optimization. 7.1.1 ARMACI,1)-GARCH(1,1) with Student’s i-Distribution. 7.1.2 Multivariate t-Distributionand t-Copulas. 7.1.3 Generation of Dynamic Returns. 7.1.4 Combining the Dynamic Approach with Black-Litterman Optimization. 98 7.2 Portfolio Optimization Using Dynamic Retums. 7.2.1 Dynamic Long-Only Portfolios. 7.2.2 Dynamic Jacobs et al. Long-Short Portfolios. 7.2.3Dynamic Lo-Patel Long-Short Portfolios. 7.3 Dynamic Optimization with the Black-Litterman Model. References. 93 94 99 99 105 108 110 112
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. 113 115 115 116 117 119 8 94 96 96
Contents xi 8.1.5 Haas’s Tests. Backtest Results. 8.2.1 Historical Optimization. 8.2.2 Dynamic Optimizations. References. 120 122 122 127 129 Diversification with Real EstateStocks. 131 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-LossRatio. 10.1.3 Early Warning Based on MahalanobisDistance. 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.
137 138 138 139 146 150 155 156 158 161 169 178 11 Optimization with Performance-Attribution Constraints. 11.1 Performance-Attribute Constraints. 11.2 Application to Domestic REIT Portfolio. References. 181 182 187 196 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. 197 203 205 208 211 217 218 222 224 225 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. 227 229 230 232 234 240 241 244 244 8.2 9
xii 14 Contents Inclusion of ESG Ratings in Option Pricing. 14.1 Discrete Return BinomialPricing Model. 14.2 ESG-Valued Return BinomialPricing Model. 14.3 ESG-Valued Option Pricing Using a REIT Portfolio as the Underlying. References. 247 248 251 252 258 |
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| id | DE-604.BV048619755 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T21:13:33Z |
| indexdate | 2024-07-10T09:43:11Z |
| institution | BVB |
| isbn | 9783031152856 |
| language | English |
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| series2 | Dynamic modeling and econometrics in economics and finance |
| spelling | Lindquist, W. Brent Verfasser (DE-588)1070878200 aut Advanced REIT portfolio optimization innovative tools for risk management W. Brent Lindquist, Svetlozar T. Rachev, Yuan Hu, Abootaleb Shirvani Cham Springer [2022] xiv, 258 Seiten txt rdacontent n rdamedia nc rdacarrier Dynamic modeling and econometrics in economics and finance 30 Real estate business. Valuation. Financial risk management. Economics—Computer programs. Finance. Real estate investment trusts Portfolio optimization Investment risk assessment Derivative pricing for hedging investment risk Portfolio investment REIT investment Innovative investment tools Quantitative finance Risk budgeting Real Estate Investment Market Modern portfolio theory Real estate stocks Option pricing Račev, Svetlozar T. 1951- Verfasser (DE-588)12022979X aut Hu, Yuan Verfasser (DE-588)1231258101 aut Shirvani, Abootaleb Verfasser aut Erscheint auch als Online-Ausgabe 978-3-031-15286-3 Dynamic modeling and econometrics in economics and finance 30 (DE-604)BV012605915 30 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=033994992&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lindquist, W. Brent Račev, Svetlozar T. 1951- Hu, Yuan Shirvani, Abootaleb Advanced REIT portfolio optimization innovative tools for risk management Dynamic modeling and econometrics in economics and finance |
| title | Advanced REIT portfolio optimization innovative tools for risk management |
| title_auth | Advanced REIT portfolio optimization innovative tools for risk management |
| title_exact_search | Advanced REIT portfolio optimization innovative tools for risk management |
| title_exact_search_txtP | Advanced REIT portfolio optimization innovative tools for risk management |
| title_full | Advanced REIT portfolio optimization innovative tools for risk management W. Brent Lindquist, Svetlozar T. Rachev, Yuan Hu, Abootaleb Shirvani |
| title_fullStr | Advanced REIT portfolio optimization innovative tools for risk management W. Brent Lindquist, Svetlozar T. Rachev, Yuan Hu, Abootaleb Shirvani |
| title_full_unstemmed | Advanced REIT portfolio optimization innovative tools for risk management W. Brent Lindquist, Svetlozar T. Rachev, Yuan Hu, Abootaleb Shirvani |
| title_short | Advanced REIT portfolio optimization |
| title_sort | advanced reit portfolio optimization innovative tools for risk management |
| title_sub | innovative tools for risk management |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=033994992&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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