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.
