Overview
- Provides ‘state of the science’ methods in REIT portfolio investment, risk assessment and management
- Incorporates derivative valuation for hedging foreseeable REIT investment risk
- Extends the mathematical basis of REIT investment to consider ESG concerns
Part of the book series: Dynamic Modeling and Econometrics in Economics and Finance (DMEF, volume 30)
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Table of contents (14 chapters)
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Front Matter
Keywords
- Real estate investment trusts
- Portfolio optimization
- Investment risk assessment
- Derivative pricing for hedging investment risk
- Portfolio investment
- REIT investment
- Innovative investment tools
- Quantitative finance
- Risk budgeting
- REIT investment
- Real Estate Investment Market
- Modern portfolio theory
- Real estate stocks
- Option pricing
About this book
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.
Authors and Affiliations
About the authors
Yuan Hu received her Ph.D. from Texas Tech University (USA) in 2022. Her current research considers approaches to discrete option pricing; risk management and option valuation of crypto assets; and portfolio optimization constrained by performance attribution. She is currently the Stefan E. Warschawski Visiting Assistant Professor in the Department of Mathematics at the University of California San Diego (USA).
Dr. Abootaleb Shirvani received his Ph.D. from Texas Tech University (USA) in 2021. His general research interests include financial mathematics, statistics, and actuarial mathematics. He is currently an assistant professor in Statistics and Actuarial Science in the Department of Mathematics at Kean University (USA).
Prof. Svetlozar (Zari) Rachev is a Professor at the Department of Mathematics and Statistics at Texas Tech University (USA) and one of the world’s foremost authorities in the application of heavy-tailed distributions in finance. He was a co-founder and President of Bravo Risk Management Group, originator of the Cognity methodology. Bravo was acquired by FinAnalytica, where Zari served as Chief Scientist.
Bibliographic Information
Book Title: Advanced REIT Portfolio Optimization
Book Subtitle: Innovative Tools for Risk Management
Authors: W. Brent Lindquist, Svetlozar T. Rachev, Yuan Hu, Abootaleb Shirvani
Series Title: Dynamic Modeling and Econometrics in Economics and Finance
DOI: https://doi.org/10.1007/978-3-031-15286-3
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2022
Hardcover ISBN: 978-3-031-15285-6Published: 10 November 2022
Softcover ISBN: 978-3-031-15288-7Published: 11 November 2023
eBook ISBN: 978-3-031-15286-3Published: 09 November 2022
Series ISSN: 1566-0419
Series E-ISSN: 2363-8370
Edition Number: 1
Number of Pages: XIV, 258
Number of Illustrations: 1 b/w illustrations
Topics: Real Estate Management, Investment Appraisal, Risk Management, Economic Theory/Quantitative Economics/Mathematical Methods, Macroeconomics/Monetary Economics//Financial Economics