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dc.contributor.authorGeiger, Peter
dc.contributor.authorCajias, Marcelo
dc.contributor.authorFuerst, Franz
dc.date.accessioned2018-11-30T00:30:57Z
dc.date.available2018-11-30T00:30:57Z
dc.date.issued2014
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/286097
dc.description.abstractIn 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.
dc.languageen
dc.publisherElsevier BV
dc.titleA Class of its Own? The Role of Sustainable Real Estate in a Conditional Value at Risk Multi-Asset Portfolio
dc.typeArticle
prism.publicationNameSSRN Electronic Journal
dc.identifier.doi10.17863/CAM.33412
rioxxterms.versionofrecord10.2139/ssrn.2497472
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserved
dc.contributor.orcidFuerst, Franz [0000-0001-5317-1469]
dc.identifier.eissn1556-5068
rioxxterms.typeJournal Article/Review
rioxxterms.freetoread.startdate2015-12-25


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