The Role of Housing in a Mixed-Asset Portfolio: The Particular Case of Direct Housing Within the Greater Paris Area - HAL Accéder directement au contenu
Article dans une revue Journal of Housing Research Année : 2022

The Role of Housing in a Mixed-Asset Portfolio: The Particular Case of Direct Housing Within the Greater Paris Area

Résumé

his article explores the role of physical residential real estate within the optimal multi-asset portfolio. Specifically, we consider direct housing within the Grand Paris metropolis between 1996 and 2017 as an asset class together with financial assets. Our findings bring several contributions to the residential market literature. First, directly held housing investment brings diversification benefits to the mixed-asset portfolio. Second, using hierarchical clustering technique, we divide the Greater Paris area into five homogenous groups of communes and compute the optimal weight of each commune as well as each group of communes in the tangency portfolio. Third, we check the weights’ stability through time and confirm that residential real estate always catches the highest weight in the optimal portfolio. Finally, we run additional tests to compare listed real estate performances in a mixed asset portfolio with those obtained by considering physical residential real estate. We conclude that listed real estate is not a substitute for direct housing.
Loading...
Fichier non déposé

Dates et versions

halshs-04010367, version 1 (01-03-2023)

Identifiants

Citer

Yasmine Essafi Zouari, Aya Nasreddine, Arnaud Simon. The Role of Housing in a Mixed-Asset Portfolio: The Particular Case of Direct Housing Within the Greater Paris Area. Journal of Housing Research, 2022, 31 (2), pp.196-219. ⟨10.1080/10527001.2022.2026030⟩. ⟨halshs-04010367⟩
9 Consultations
0 Téléchargements
Dernière date de mise à jour le 12/05/2024
comment ces indicateurs sont-ils produits

Altmetric

Partager

Gmail Facebook Twitter LinkedIn Plus