An asset allocation model for defining optimal property portfolios in terms of risk/return [Un modello valutativo di asset allocation per la definizione di portafogli immobiliari “ottimali” in termini di rischio/rendimento]

Abstract

The widespread uncertainty that characterizes the current world economic situation has also influenced the real estate market, leading investors towards generally lower risk profiles and more stable returns. However, in the absence of adequate skills, it is difficult to carefully manage the main risks factors which occur during the decision-making process. The aim of the research is to define and implement an asset allocation evaluation model able to support public and private investors for the identification of the most suitable allocation of limited financial resources for core/core plus real estate investments. The computational logic of goal programming is applied for detecting the optimal composition of property portfolios in terms of risk/return. The proposed model has been implemented to an Italian case study, proving to be a valid support tool in the definition of efficient real estate investment strategies.

Keywords

• asset allocation model
• goal programming
• real estate funds
• portfolio optimization
• real estate investment strategy