1 / 18

Real Estate Finance Case 3. Sub-case 2.

Real Estate Finance Case 3. Sub-case 2. Alexander Nagornov Alexander Parkhomenko Sohail Ahmed Jali Bakoro. Smoothing of the returns. Design #2. Weak form of market efficiency Find appropriate empirical model for returns (how many lags?). Design. Weak form of market efficiency

lesley
Download Presentation

Real Estate Finance Case 3. Sub-case 2.

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Real Estate FinanceCase 3. Sub-case 2. Alexander Nagornov Alexander Parkhomenko Sohail Ahmed Jali Bakoro

  2. Smoothing of the returns

  3. Design #2 • Weak form of market efficiency • Find appropriate empirical model for returns (how many lags?)

  4. Design • Weak form of market efficiency • Find appropriate empirical model for returns (how many lags?) • UnSmooth Returns.

  5. Design #2 • U – average rate of growth of prices (returns) sample estimate • W – is a scale parameter, by assumption is 5% st.dev. Scale:

  6. Smooth & Unsmooth

  7. Portfolio optimizationand other risk-return things

  8. The parameters really differ within subsamples

  9. The parameters really differ within subsamples

  10. Equally weighted is doing really well, isn’t it?

  11. What about efficiency frontier?

  12. Then, what about weights? • From the whole period estimates we get that about 20% should be invested in West. • From last 6 years estimates we get that 0% should be invested in West.

  13. A bit different story now… • Fund turns out to be diversified among different types of property. • However, we can’t show any results linked to the operation only in the West, because the data is for the whole country. • So let’s just have a look out of the curiosity…

  14. The same story in fact…

  15. So, how’s our eq. weighted guy doing?

  16. Thank you for the attention

More Related