Return Distributions of Private Real Estate Investments
Open Access
- Author:
- Brown, Roger J.
- Graduate Program:
- Business Administration
- Degree:
- Doctor of Philosophy
- Document Type:
- Dissertation
- Date of Defense:
- December 08, 1999
- Committee Members:
- Jeffery M Sharp, Committee Member
Kenneth Michael Lusht, Committee Chair/Co-Chair
N Edward Coulson, Committee Member
Austin Jay Jaffe, Committee Member - Keywords:
- normal distribution
investments return
holding period
stable distributions
Real estate
modern portfolio theory - Abstract:
- Note: This dissertation is supplemented by four (4) Mathematica Notebooks in the Appendices, requiring the use of MathReader by Mathematica to view them. This dissertation investigates the distribution of returns accruing to individual owners of investment real estate property. Previously, most research in investment real estate concentrated upon large institutional owners using finance paradigms, tools and methodology. Other researchers have questioned the use of finance models, predominantly Modern Portfolio Theory (MPT), for real estate research. None have yet offered an alternative. This dissertation extends the literature by (a) offering a theory of risk based on the assumption of non-normal probability distributions and an economic tradeoff different from the mean-variance rule of MPT; and (b) introducing a data set covering property rarely studied that supports the theory advanced herein.
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