A Class of its Own? The Role of Sustainable Real Estate in a Conditional Value at Risk Multi-Asset Portfolio
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Publication Date
2014Journal Title
SSRN Electronic Journal
ISSN
1556-5068
Publisher
Elsevier BV
Language
en
Type
Article
Metadata
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Geiger, P., Cajias, M., & Fuerst, F. (2014). A Class of its Own? The Role of Sustainable Real Estate in a Conditional Value at Risk Multi-Asset Portfolio. SSRN Electronic Journal https://doi.org/10.2139/ssrn.2497472
Abstract
In this paper, we analyze the effect of socially responsible investments within a multi-asset portfolio optimization model. We also attempt to bridge the gap in the real estate literature between sustainability principles and investment analysis. To this aim, listed real estate companies with an active sustainability agenda, identified through the MSCI ESG database, represent the sustainable real estate asset class. Applying a downside risk approach by using a conditional value at risk (CVaR) optimization technique, we establish empirically whether diversification benefits can be achieved by investing in companies with a proven track record in sustainability. Our results highlight the potential contribution of listed real estate companies with high sustainability ratings to an institutional investor's portfolio taking into account differences in investment style and risk aversion.
Keywords
Social Responsible Investment, Sustainable Real Estate, Portfolio Optimization, Asset Allocation, CVaR
Identifiers
External DOI: https://doi.org/10.2139/ssrn.2497472
This record's URL: https://www.repository.cam.ac.uk/handle/1810/286097
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