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Abstract
Plazzi,Torous, andValkanov use a parametric portfolio approach to estimate optimal commercial real estate portfolio policies. They do so by relying on the NCREIF dataset of commercial properties over the sample period 1984 Q2–2009 Q1.The richness of this extensive dataset and the flexibility of the parametric portfolio approach allow the authors to consider: 1) a large cross section of individual properties across various regions and property types, 2) several property-specific conditioning variables such as cap rates, appraisal values, and vacancy rates, and 3) various macroeconomic factors. Property-specific conditioning information is found to be economically important even for portfolios that are well diversified.
TOPICS: Real estate, CMBS and commercial mortgage loans, pension funds
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