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Asset allocation versus entrepreneurial decisions in real estate investment

Armonat, Stefan and Pfnür, Andreas (2003):
Asset allocation versus entrepreneurial decisions in real estate investment.
Hamburg, Arbeitsbereich Öffentliche Wirtschaft, Fachbereich Wirtschaftswissenschaften, Universität Hamburg, In: Arbeitspapiere des Arbeitsbereichs Öffentliche Wirtschaft am Fachbereich Wirtschaftswissenschaften der Universität Hamburg, Band Nr. 30, [Online-Edition: http://www.real-estate.bwl.tu-darmstadt.de/media/bwl9/dateie...],
[Report]

Abstract

(Abstract) Although the application of capital market theory is questionable in real estate investment, many institutional investors still perform asset allocation with historic real estate data. Entrepreneurial investment analysis relies on a different information setting. To date it is unclear which approach, or what data set, offers the most efficient solutions for the use of capital. In order to evaluate policy recommendations for decision making in pension fund real estate investment, we describe an empirical investigation of the investment environment in Germany. We find that current market information restricts the application of capital market models. While the use of investment models and capital market models has been strictly separated, there is no theoretically justified reason for this. Investors have to be aware that they can determine performance parameters for real estate only as approximations. Therefore, it may be fruitful to consider and compare alternative parameter estimates for determining optimal real estate allocations in pension fund investment.

Item Type: Report
Erschienen: 2003
Creators: Armonat, Stefan and Pfnür, Andreas
Title: Asset allocation versus entrepreneurial decisions in real estate investment
Language: English
Abstract:

(Abstract) Although the application of capital market theory is questionable in real estate investment, many institutional investors still perform asset allocation with historic real estate data. Entrepreneurial investment analysis relies on a different information setting. To date it is unclear which approach, or what data set, offers the most efficient solutions for the use of capital. In order to evaluate policy recommendations for decision making in pension fund real estate investment, we describe an empirical investigation of the investment environment in Germany. We find that current market information restricts the application of capital market models. While the use of investment models and capital market models has been strictly separated, there is no theoretically justified reason for this. Investors have to be aware that they can determine performance parameters for real estate only as approximations. Therefore, it may be fruitful to consider and compare alternative parameter estimates for determining optimal real estate allocations in pension fund investment.

Series Name: Arbeitspapiere des Arbeitsbereichs Öffentliche Wirtschaft am Fachbereich Wirtschaftswissenschaften der Universität Hamburg, Band Nr. 30
Place of Publication: Hamburg
Publisher: Arbeitsbereich Öffentliche Wirtschaft, Fachbereich Wirtschaftswissenschaften, Universität Hamburg
Divisions: 01 Department of Law and Economics
01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete
01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete > Fachgebiet Immobilienwirtschaft und Baubetriebswirtschaftslehre
Date Deposited: 24 Aug 2009 17:18
Official URL: http://www.real-estate.bwl.tu-darmstadt.de/media/bwl9/dateie...
Additional Information:

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