The Optimal Portfolio Weight for Real Estate with Liquidity Risk and Uncertainty Aversion

2010 ◽  
Author(s):  
Shaun A. Bond ◽  
Steve L. Slezak
Keyword(s):  
Real Estate ◽  
Liquidity Risk ◽  
Optimal Portfolio ◽  
Uncertainty Aversion ◽  
Risk And Uncertainty ◽  
Portfolio Weight

Valuation paradigm: a rationality and (un)certainty spectrum

2017 ◽  
Vol 35 (2) ◽  
pp. 228-239 ◽  
Author(s):  
David Jansen van Vuuren
Keyword(s):  
Real Estate ◽  
Design Methodology ◽  
Confidence Score ◽  
Valuation Theory ◽  
Practical Application ◽  
End User ◽  
Risk And Uncertainty ◽  
Content Type ◽  
Secondary Purpose ◽  
Practical Implications

Purpose The purpose of this paper is threefold: the primary purpose is to suggest a real estate paradigm spectrum to act as reference for the contextualisation of observed market phenomenon in system terms; the secondary purpose is for the spectrum to contextualise the efficacy of real estate and valuation theory, methods and techniques; and the tertiary purpose is to propose a confidence score for reporting uncertainty to the end user of a valuation report. Design/methodology/approach Literature was reviewed on the concepts of risk and uncertainty, rationality and several systems thinking domains. Findings The framework can provide context to observed market phenomenon and distinguishes between agency and mechanism in contributing to conditions of certainty and uncertainty. The argument followed in this paper is that it is necessary to contextualise the efficacy of real estate and valuation theory, methods and models under conditions of certainty, normal uncertainty and abnormal uncertainty. The characteristics of conditions can be used as basis to develop new theory and practical application or modify existing. Practical implications Real estate economic theory can be organised in terms of the spectrum and the framework can potentially identify where further research is required and the requirements it must meet as measured against the characteristics of the framework. Current valuation methods and models can continue to be used when valuing under conditions of certainty, however, modifications to methods and models are required to account for complexity when valuing under conditions of normal uncertainty and abnormal uncertainty. The confidence score included in this paper can also be used to report the conditions of certainty/uncertainty under which the valuation was performed. Originality/value This paper aims to set the basis for new theoretical and practical developments of insights into real estate economic and valuation theory, methods and models while also contributing to the reporting of uncertainty through the proposed confidence score.

Liquidity Risk of Private Assets: Evidence from Real Estate Markets

2013 ◽  
Vol 48 (4) ◽  
pp. 671-696 ◽  
Author(s):  
Ping Cheng ◽  
Zhenguo Lin ◽  
Yingchun Liu
Keyword(s):  
Real Estate ◽  
Liquidity Risk ◽  
Real Estate Markets

scholarly journals Real Estate Credit and Liquidity Risk with Ownership Structure as Moderating Variables in Banking Companies Listed on The Indonesia Stock Exchange

2021 ◽  
Vol 14 (2) ◽  
pp. 166
Author(s):  
Muhammad Madyan ◽  
Ilham Ramadhani ◽  
Rayindha Galuh Setyowati
Keyword(s):  
Real Estate ◽  
Stock Exchange ◽  
Estimation Method ◽  
Liquidity Risk ◽  
Multiple Linear Regression Model ◽  
Foreign Ownership ◽  
Least Square ◽  
Government Ownership ◽  
Role Of Government ◽  
Positive Effect

The purpose of this study is to investigate the effect of real estate credit on liquidity risk. This study also looked at the role of government ownership and foreign ownership in moderating the effect of real estate credit on bank liquidity risk. There are 43 banking companies listed on the Indonesia Stock Exchange for the 2014-2018 period used as samples. This study used a multiple linear regression model with the Ordinary Least Square (OLS) estimation method and robustness tests using the Maximum Likelihood (MLE) estimation method. The results of this study concluded that real estate credit has a significant positive effect on liquidity risk. Government ownership strengthens the positive effect of real estate credit on liquidity risk, while foreign ownership weakens the positive effect of real estate credit on liquidity risk.

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