Detail práce

Traditional Real Estate Portfolio Diversification and Risk Measures: Evidence from the Czech Republic and Slovakia

Autor: Mgr.. Erik Müller
Rok: 2021 - zimní
Vedoucí: PhDr. Pavel Streblov M.Sc.
Konzultant:
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 96
Ocenění:
Odkaz: https://is.cuni.cz/webapps/zzp/detail/213936/
Abstrakt: This thesis evaluates traditional real estate diversification strategy by region and by property
type. Additionally, it provides common risk measures – reduction of total risk and tracking
error. The main contribution is twofold. First, it extends the coverage of common real estate
research to the area of the Czech Republic and Slovakia. To our knowledge, this is the first
study of this kind on the local market. Second, this thesis accounts for non-divisibility of
ownership. This is a specific attribute of real estate, which may deteriorate investors’ efforts for
optimal allocation. Researchers’ methods depart from Capital Asset Pricing Model. Evaluation
techniques include efficient and pseudo-efficient frontiers, quantiles of total risk and tracking
error, both as a function of portfolio size and portfolio value. Main findings include: (i) there is
no strictly superior strategy, but there is a difference for specific subcategories, (ii) impartible
ownership decreases risk-adjusted performance, this might be partially overcome by leverage,
(iii) diversification is costly and index tracking is hardly possible

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance