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Real estate investment: Market volatility and optimal holding period under risk aversion

机译：房地产投资：避险情绪下的市场波动和最优持有期

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This paper deals with real estate portfolio optimization when investors are risk averse. In this framework, we examine an important decision making problem, namely the determination of the optimal time to sell a diversified real estate portfolio. The optimization problem corresponds to the maximization of a concave utility function defined on both the free cash flows and the terminal value of the portfolio. We determine several types of optimal times to sell and analyze their properties. We extend previous results, established for the quasi linear utility case, where investors are risk neutral. We consider four cases. In the first one, the investor knows the probability distribution of the real estate index. In the second one, the investor is perfectly informed about the real estate market dynamics. In the third case, the investor uses an intertemporal optimization approach which looks like an American option problem. Finally, the buy-and-hold strategy is considered. For these four cases, we analyze in particular how the solutions depend on the market volatility and we compare them with those of the quasi linear case. We show that the introduction of risk aversion allows to better account for the real estate market volatility. We also introduce the notion of compensating variation to better measure the impacts of both the risk aversion and the volatility. (C) 2015 Elsevier B.V. All rights reserved.
机译：当投资者厌恶风险时，本文涉及房地产投资组合优化。在这个框架中，我们研究了一个重要的决策问题，即确定出售多元化房地产投资组合的最佳时间。最优化问题对应于在自由现金流量和投资组合终值上定义的凹效用函数的最大化。我们确定几种类型的最佳时间来出售和分析其属性。我们扩展了为准线性效用案例建立的先前结果，在这种情况下，投资者对风险没有风险。我们考虑四种情况。在第一个中，投资者了解房地产指数的概率分布。在第二篇中，向投资者全面介绍了房地产市场动态。在第三种情况下，投资者使用跨期优化方法，该方法看起来像美式期权问题。最后，考虑购买和持有策略。对于这四种情况，我们特别分析了解决方案如何取决于市场波动，并将它们与准线性情况进行比较。我们表明，引入风险规避可以更好地说明房地产市场的波动性。我们还介绍了补偿变化的概念，以更好地衡量风险规避和波动性的影响。 （C）2015 Elsevier B.V.保留所有权利。

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