Researcher from Panteion University Provides Details of New Studies and Findings in the Area of Risk Management (Optimal Structure of Real Estate Portfolio Using EVA: A Stochastic Markowitz Model Using Data from Greek Real Estate Market): Insurance – Risk Management

2023 FEB 24 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Researchers detail new data in risk management. According to news reporting from Athens, Greece, by NewsRx journalists, research stated, “The purpose of this paper is to examine the issue of portfolio optimization.”

The news correspondents obtained a quote from the research from Panteion University: “Optimization consists of minimizing the risk for a given rate of return or achieving a bigger return for a given level of risk. We use historical data from the Bank of Greece to calculate the net return and the standard deviation (std) for each type of property that is available. The objective is to maximize the economic value added (EVA) of a property’s assets portfolio under a specific rate of standard deviation, following the classic Markowitz model (M-V). The stochastic procedure entry in the model uses the Monte Carlo Simulation method with debt to equity (DTE) following PERT distribution for the portfolio’s invested budget, and the net return for the normal distribution with the mean of the expected return and std are taken from historical data, correspondingly. The returns verify that they follow the base assumption of normality through the Lilliefors test in the Greek real estate market. We observe the maximization of EVA and the expected return maximizing concurrently, but the minimizing risk of EVA is diversified with the minimization of portfolio risk.”

According to the news reporters, the research concluded: “We observe that the max weight that a residential asset takes is 22.7% because a bigger percent reduces both mean and std. The study provides an explicit portfolio optimization procedure under uncertainty in the real estate market and enriches the academic debate about EVA and revenue.”

For more information on this research see: Optimal Structure of Real Estate Portfolio Using EVA: A Stochastic Markowitz Model Using Data from Greek Real Estate Market. Risks, 2023,11(2). (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/risks11020043.

Our news editors report that more information may be obtained by contacting Theofanis Petropoulos, Department of Economic & Regional Development, Panteion University, 17671 Athens, Greece. Additional authors for this research include Konstantinos Liapis, Eleftherios Thalassinos.

ORCID is an identifier for authors and includes bibliographic information. The following is ORCID information for the author of this research: Eleftherios Thalassinos (http://orcid.org/0000-0003-3526-4930).

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