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Title
Advanced REIT portfolio optimization : innovative tools for risk management / W. Brent Lindquist, Svetlozar T. Rachev, Yuan Hu, Abootaleb Shirvani.
ISBN
9783031152863 (electronic bk.)
3031152867 (electronic bk.)
9783031152856
3031152859
Published
Cham : Springer, [2022]
Copyright
©2022
Language
English
Description
1 online resource (xiv, 258 pages : illustrations).
Other Standard Identifiers
10.1007/978-3-031-15286-3 doi
Call Number
HG4529.5 L56 2022eb
Dewey Decimal Classification
332.6
Summary
This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including: portfolio optimization using both historic and predictive return estimation; model backtesting; a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis; derivative valuation; and incorporating ESG ratings into REIT investment. These quantitative finance models are presented in a unified framework consistent with dynamic asset pricing (rational finance). Given its scope and practical orientation, this book will appeal to investors interested in portfolio optimization and innovative tools for investment risk assessment.
Bibliography, etc. Note
Includes bibliographical references.
Access Note
Access limited to authorized users.
Source of Description
Online resource; title from PDF title page (SpringerLink, viewed November 16, 2022).
Series
Dynamic modeling and econometrics in economics and finance ; v. 30.
Available in Other Form
Print version: 9783031152856
The Real Estate Investment Market: The Current State and Why Advances Are Needed
The Data
Modern Portfolio Theory
Modern portfolio theory
Diversification with International REITs
Black-Litterman Optimization Results
Dynamic Portfolio Optimization: Beyond MPT
Backtesting
Diversification with Real Estate Stocks
Risk Information and Management
Optimization with performance-attribution constraints
Option pricing
Inclusion of ESG ratings in optimization
Inclusion of ESG ratings in option pricing.
