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Methods for comparing diversification strategies on the Swedish real estate market
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management, Building and Real Estate Economics.
2016 (English)In: International Journal of Strategic Property Management, ISSN 1648-715X, E-ISSN 1648-9179, Vol. 20, no 1, 17-30 p.Article in journal (Refereed) PublishedText
Abstract [en]

This paper compares the effectiveness of different property portfolio diversification strategies using five methods; (1) correlation matrices, (2) efficient frontiers, (3) Sharpe ratios, using three different sub methods, (4) coefficients in equations explaining total returns and (5) R-square values in equations explaining total returns. The evaluation methods are applied to both value weighted and equally weighted indices based on Swedish real estate return data. All methods show that, if any, diversifying over property types is a better strategy on the Swedish market than diversifying over regions. No test yields significant support for regional diversification. The support for the property type strategy is stronger when using equally weighted indices.

Place, publisher, year, edition, pages
Taylor & Francis, 2016. Vol. 20, no 1, 17-30 p.
Keyword [en]
Risk reduction, Property type, Region, Efficient frontiers, Correlation
National Category
Probability Theory and Statistics Economics and Business
URN: urn:nbn:se:kth:diva-187859DOI: 10.3846/1648715X.2015.1120789ISI: 000374876800002ScopusID: 2-s2.0-84963603400OAI: diva2:931737

QC 20160530

Available from: 2016-05-30 Created: 2016-05-30 Last updated: 2016-05-30Bibliographically approved

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Katzler, Sigrid
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