Thesis (Selection of subject)Thesis (Selection of subject)(version: 368)
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Traditional Real Estate Portfolio Diversification and Risk Measures: Evidence from the Czech Republic and Slovakia
Thesis title in Czech: Tradiční diversifikace realitních porfolií a měření rizika: Zkušenosti z České republiky a Slovenska
Thesis title in English: Traditional Real Estate Portfolio Diversification and Risk Measures: Evidence from the Czech Republic and Slovakia
Key words: nemovitostní diverzifikace, přímá investice, riziko, nedělitelnost vlastnictví
English key words: real estate diversification, direct investments, risk, ownership non-divisibility
Academic year of topic announcement: 2018/2019
Thesis type: diploma thesis
Thesis language: angličtina
Department: Institute of Economic Studies (23-IES)
Supervisor: PhDr. Pavel Streblov
Author: hidden - assigned by the advisor
Date of registration: 24.05.2019
Date of assignment: 24.05.2019
Date and time of defence: 03.02.2021 09:00
Date of electronic submission:06.01.2021
Date of proceeded defence: 03.02.2021
Opponents: PhDr. Michal Hlaváček, Ph.D.
 
 
 
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References
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Preliminary scope of work
Tato práce vyhodnocuje účinnost tradičních nemovitostních diversifikačních strategií podle regionu a typu budovy. Dále publikuje běžné ukazatele rizika – redukce celkového rizika a sledování chyby. Hlavní přínos práce je dvojí. Zaprvé, práce rozšiřuje běžný nemovitostní výzkum na oblast České republiky a Slovenska. V rozsahu našich vědomostí, je práce první svého druhu pro lokální trh. Zadruhé, práce zohledňuje nedělitelnost vlastnictví. Jedná se o specifickou vlastnost nemovitostí, která může znehodnotit snahy investorů o dosažení optimální alokace. Vědecké metody mají počátek v modelu oceňování kapitálových aktiv. Použité techniky k vyhodnocování zahrnují: efektivní a pseudo-efektivní hranice, kvantily celkového rizika a sledování chyby, oba vyjádřeny jako funkce velikosti portfolia a hodnoty portfolia. Hlavní závěry zahrnují: (i) žádná z diversifikačních strategií není striktně dominující, avšak existují rozdíly pro dílčí kategorie, (ii) nedělitelnost vlastnictví snižuje rizikově upravenou výnosnost, toto může být částečně překonáno díky dluhové páce, (iii) diverzifikace je drahá a sledování indexu je velmi obtížné.
Preliminary scope of work in English
This thesis evaluates traditional real estate diversification strategy by region and by property type. Additionally, it provides common risk measures – reduction of total risk and tracking error. The main contribution is twofold. First, it extends the coverage of common real estate research to the area of the Czech Republic and Slovakia. To our knowledge, this is the first study of this kind on the local market. Second, this thesis accounts for non-divisibility of ownership. This is a specific attribute of real estate, which may deteriorate investors’ efforts for optimal allocation. Researchers’ methods depart from Capital Asset Pricing Model. Evaluation techniques include efficient and pseudo-efficient frontiers, quantiles of total risk and tracking error, both as a function of portfolio size and portfolio value. Main findings include: (i) there is no strictly superior strategy, but there is a difference for specific subcategories, (ii) impartible ownership decreases risk-adjusted performance, this might be partially overcome by leverage, (iii) diversification is costly and index tracking is hardly possible.
 
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