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首页> 外文期刊>Journal of Property Investment & Finance >Combining Monte Carlo simulations and options to manage the risk of real estate portfolios
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Combining Monte Carlo simulations and options to manage the risk of real estate portfolios

机译：结合蒙特卡洛模拟和期权来管理房地产投资组合的风险

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Purpose - This paper aims to show that the accuracy of real estate portfolio valuations and of real estate risk management can be improved through the simultaneous use of Monte Carlo simulations and options theory. Design/methodology/approach - The authors' method considers the options embedded in Continental European lease contracts drawn up with tenants who may move before the end of the contract. The authors combine Monte Carlo simulations for both market prices and rental values with an optional model that takes into account a rational tenant's behaviour. They analyze how the options significantly affect the owner's income. Findings - The authors' main findings are that simulated cash flows which take account of such options are more reliable that those usually computed by the traditional method of discounted cash flow. Research limitations/implications - Some limitations are inherent to the authors' model: these include the assumption of the rationality of tenant's decisions and the difficulty of calibrating the model given the lack of data in many markets. Originality/value - The main contribution of the paper is both by accounting for market risk (Monte Carlo simulations for the prices and market rental values) and for accounting for the idiosyncratic risk (the leasing risk).
机译：目的-本文旨在表明，通过同时使用蒙特卡洛模拟和期权理论，可以提高房地产投资组合估值和房地产风险管理的准确性。设计/方法/方法-作者的方法考虑了与可能在合同期满前搬迁的租户草拟的欧洲大陆租赁合同中包含的选项。作者将针对市场价格和租金价值的蒙特卡洛模拟与考虑了理性租户行为的可选模型结合在一起。他们分析了这些选择如何显着影响所有者的收入。发现-作者的主要发现是，考虑到这种选择的模拟现金流比通常通过传统折现现金流方法计算的现金流更为可靠。研究局限性/含义-作者模型的固有局限性：包括假设租户决策的合理性以及由于许多市场缺乏数据而难以校准模型。原创性/价值-本文的主要贡献在于，既要考虑市场风险（对价格和市场租金价值进行蒙特卡罗模拟）又要考虑特殊风险（租赁风险）。

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