Tunaru, Radu, Fabozzi, Frank J., Shiller, Robert (2009) Hedging Real Estate Risk. Journal of Portfolio Management, 35 (5). pp. 92-103. ISSN 0095-4918. (doi:10.3905/JPM.2009.35.5.092) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:25097)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| Official URL: http://dx.doi.org/10.3905/JPM.2009.35.5.092 |
Abstract
A number of real estate derivatives are available worldwide. The authors discuss the issues related to the pricing of these instruments and to the managing of hedging instruments over time. The property derivatives are classified by the type of real estate risk they hedge: 1) housing price risk, 2) commercial property price risk, and 3) mortgage loan portfolio amortizing risk. Given the special characteristics of the real estate asset class-an incomplete market, difficult to hedge, and reversion to a long-term trend-the authors emphasize the main points that should be taken into account when pricing property derivatives.
| Item Type: | Article |
|---|---|
| DOI/Identification number: | 10.3905/JPM.2009.35.5.092 |
| Additional information: | Special Issue in Real-Estate |
| Subjects: | H Social Sciences > H Social Sciences (General) |
| Divisions: | Divisions > Kent Business School - Division > Department of Accounting and Finance |
| Depositing User: | Jennifer Knapp |
| Date Deposited: | 19 Jul 2010 09:54 UTC |
| Last Modified: | 05 Nov 2024 10:05 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/25097 (The current URI for this page, for reference purposes) |
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