Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Mixed-Asset Portfolio Optimization with Private and Public Hotel Real Estate
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
KTH, School of Architecture and the Built Environment (ABE), Real Estate and Construction Management.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

There has been a renewed interest by international institutional investors in the US hotel property market and increased interest in Real Estate Investment Trusts. One challenge these investors face is if it is feasible to simultaneously invest in a specific property type, both privately and publicly. In order to determine if their portfolios would benefit from the inclusion of private and public hotel real estate investors will have to carefully take into consideration: expectations for returns, tolerance for risk, allocation of assets, and the correlations between the assets.

This study analyzed the performance of simulated mixed-asset portfolios using average annual returns from 1994 to 2012. The portfolios were constructed by using modern portfolio theory. The purpose was to analyze whether the inclusion of privately owned US hotel real estate and publicly traded US hotel real estate in a mixed-asset portfolio enhances the portfolio frontier.

The results showed: the separate inclusion of private hotel real estate enhanced the frontier, the separate inclusion of public hotel real estate did not enhance the frontier, and the simultaneous inclusion of both private and public hotel real estate enhanced the frontier.

Place, publisher, year, edition, pages
2013.
Keyword [en]
Mixed-asset portfolio, modern portfolio theory, hotel, real estate, property, REIT
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:kth:diva-124113OAI: oai:DiVA.org:kth-124113DiVA: diva2:632852
Supervisors
Examiners
Available from: 2013-06-25 Created: 2013-06-25 Last updated: 2013-06-25Bibliographically approved

Open Access in DiVA

Kwamie Williams, James Wippel(1100 kB)724 downloads
File information
File name FULLTEXT01.pdfFile size 1100 kBChecksum SHA-512
0351dcc58a97b1c0bff16716c7c19dcd9a82f60ca88d39b1b4a64ae60c6fa7fd4140e66b18825fd3ff644b0a7998b7c42399b2968fa7145dc5211825a4358053
Type fulltextMimetype application/pdf

By organisation
Real Estate and Construction Management
Engineering and Technology

Search outside of DiVA

GoogleGoogle Scholar
Total: 724 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 280 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf