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Advanced REIT Portfolio Optimization

Innovative Tools for Risk Management

Svetlozar T. Rachev, Yuan Hu, Abootaleb Shirvani, et al.

PDF
ca. 50,28 €
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Springer International Publishing img Link Publisher

Sozialwissenschaften, Recht, Wirtschaft / Einzelne Wirtschaftszweige, Branchen

Beschreibung

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.

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Kundenbewertungen

Schlagwörter

Derivative pricing for hedging investment risk, Option pricing, Investment risk assessment, REIT investment, Risk budgeting, Innovative investment tools, Quantitative finance, Portfolio investment, Real estate stocks, Modern portfolio theory, Real Estate Investment Market, Real estate investment trusts, Portfolio optimization