Modern Real Estate Portfolio Management (MREPM): Applications in Modern and Post-Modern Real Estate Portfolio Theory (MREPT/PMREPT).

摘要

Modern Real Estate Portfolio Management Applications in Modern & Post Modern Portfolio Theory.;Introduction.;Modern Real Estate Portfolio Management (MREPM): Applications in Modern and Post-Modem Real Estate Portfolio Theory (MREPTJPMREPT) is a comprehensive-integrated research and strategic approach to building and managing institutional grade commercial real estate portfolios. The research looks at real estate in a policy context and a competitive capital market context; applies modem portfolio diversification, optimization and concentration analysis to determine portfolio allocation based on risk, return and cycle analysis; applies ex-post portfolio performance measures for benchmarking and exit strategies; and introduces the development of transaction based indices for portfolio hedging and diversification using property derivatives.;Central Thesis.;The central thesis of the research is to provide a road map and a business plan for those academics and professionals interested in researching and applying modem real estate portfolio theory to institutional commercial real estate portfolios. In this case, starting out with housing policy analysis; a western regional, institutional grade apartment portfolio, for a publicly traded Real Estate Investment Trust (REIT); and then go beyond standard modem real estate portfolio theory to post-modern applications: index development and applying portfolio insurance-diversification (hedging strategies) through the use of property derivatives and structured product.;Methodology Employed.;The primary goals of this research is to present the methodology associated with constructing a model institutional-grade commercial real estate portfolio, utilizing Modem -- Real Estate -Portfolio Theory (MREPT) and its applications; applying capital market theory to real estate portfolio construction; and identifying and selecting portfolios (asset classes and locations) that exhibited high risk-adjusted rates of return over time.;The methodology focuses on five areas. First, putting real estate and housing into a political, philosophical, and policy context; second, putting commercial real estate in a competitive capital markets context; third, conducting portfolio diversification analysis through geographic and economic base analysis; fourth, applying modem portfolio theory (quadratic index optimization, model-target portfolio determination, and variance analysis) to arrive at optimal portfolio weights and allocations; and fifth, discuss the process of portfolio benchmarking, exit strategies, time diversification strategies, index development and property derivative applications to commercial real estate portfolio management. The component parts of the methodology include:;Stated Research Mission, Goals and Objectives; Research Questions/Hypothesis; Literature Review; Data; Research Assumptions and Methodology; Real Estate in a Capital Markets Context: Efficient Frontier; Modem Real Estate Portfolio Theory (MREPT): Optimal Construction; Research Plan, Market Selection Process, Underlying Supply-Demand; and Market Return Forecast and Back-Testing; Portfolio Determination, Optimization and Concentration; Ex-Post Portfolio Management: Hold-Sell Analysis (Exit Strategy); Time Diversification Strategies: Cycle and Investment Timing; Post-Modem Real Estate Portfolio Theory (PMREPT); Benchmarking, Attribution, Insurance and Structured Product; Conclusions.;The last two components of the dissertation methodology are extremely important and relevant, in that it takes MREPT to the next phase in institutional commercial real estate portfolio development, the theoretical applications of Post-Modem Real Estate Portfolio Theory (PMREPT). These sections address the design, construction and publication of a transaction-based, price-distributional, stratified-weighted, geographic-weighted series of commercial real estate indices. These indices -- along with others -- can be used for benchmarking, portfolio attribution and insurance. Exchange-based (EXH) and Over-The-Counter (OTC) property derivative contracts can be used to hedge the Value-At-Risk (VAR) of institutional grade commercial real estate-backed securities, loans and property portfolios. These capital market products can also be used for synthetic portfolio construction and structured product, allowing institutional investors to take exposures immediately, time real asset acquisitions through derivative liquidation and cash management, and gain exposures and diversification via the structured product (Index -- Exchange Traded-- Linked Notes - ETN) markets. Currently, these markets are under development, not developed or delayed; but it is forecast that a third wave of commercial real estate capital market development and product innovation is in the making; although delayed, and will occur at some point. However, it may take up to 12-to-14 years for the structured product development phase of the cycle to reach early majority adoption.;Contribution.;The contribution Modem Real Estate Portfolio Management (MREPM): Applications in Modern and Post-Modem Real Estate Portfolio Theory (MREPT/PMREPT) provides is further development of the theory and literature surrounding institutional applications of modem portfolio theory to commercial real estate investment management. What is unique about the research is it is applied in nature, providing industry and the academy with a comprehensive-integrated approach to building and managing institutional grade commercial real estate portfolios. The research applies policy analysis, and modern portfolio theory through diversification analysis, optimization techniques and concentration analysis to determine a target/model portfolio allocation specifically for a publicly traded Real Estate Investment Trust (REIT). Another contribution is the analysis does not end there, it follows the portfolio management process through to performance benchmarking, acquisition and disposition decision making, and the application of portfolio insurance to hedge market risk.