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The purpose of this paper is to address the heterogeneity of real estate assets with regard to investment risk measurement, with Paris’ apartment market as a case study.

Quantile regression is used to handle the fact that willingness to pay for housing attributes may vary greatly over both space and asset value categories. The method is alternately applied on central and peripheral districts of Paris, or “arrondissements”, with hedonic indices built for nine deciles over a 17-year period (1990-2006). Portfolio allocation is subsequently analysed with deciles being the assets.

The findings suggest that during the slump, peripheral districts show better resilience and define the efficient frontier while also exhibiting a lower volatility. In addition, higher returns are observed for lower-priced apartments, both central and peripheral. During the recovery and boom stages of the cycle, the highest returns are experienced for the cheapest apartments in central locations, whereas upper-priced, centrally located units yield the lowest returns.

The originality of this research resides in the application of quantile regression in a real estate investment and risk management context. The methodology may raise individual investors’ and practitioners’ attention, especially index providers’.

The purpose of this paper is to demonstrate the impact of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio.

The authors use a Monte Carlo simulation framework to simulate a real estate asset’s cash flows in which lease structures (rent, indexation pattern, overall lease duration and break options) are explicitly taken into account. The authors assume that a tenant exercises his/her option to break a lease if the rent paid is higher than the market rental value (MRV) of similar properties. The authors also model vacancy duration stochastically. Finally, capital values and MRVs, assumed to be correlated, are simulated using specific stochastic processes. The authors derive the optimal holding period for the asset as the value that maximizes its discounted value.

The authors demonstrate that, consistent with existing capital markets literature and real estate business practice, break options in leases can dramatically alter optimal holding periods for real estate assets and, by extension, portfolios. The paper shows that, everything else being equal, shorter lease durations, higher MRV volatility, increasing negative rental reversion, higher vacancy duration, more break options, all tend to decrease the optimal holding period of a real estate asset. The converse is also true.

Practitioners are offered insights as well as a practical methodology for determining the ex-ante optimal holding period for an asset or a portfolio based on a number of market and asset-specific parameters including the lease structure.

The originality of the paper derives from its taking an explicit modelling approach to lease duration and lease breaks as additional sources of asset-specific risk alongside market risk. This is critical in real estate portfolio management because such specific risk is usually difficult to diversify.

This paper aims to show that the accuracy of real estate portfolio valuations and of real estate risk management can be improved through the simultaneous use of Monte Carlo simulations and options theory.

The authors' method considers the options embedded in Continental European lease contracts drawn up with tenants who may move before the end of the contract. The authors combine Monte Carlo simulations for both market prices and rental values with an optional model that takes into account a rational tenant's behaviour. They analyze how the options significantly affect the owner's income.

The authors' main findings are that simulated cash flows which take account of such options are more reliable that those usually computed by the traditional method of discounted cash flow.

Some limitations are inherent to the authors' model: these include the assumption of the rationality of tenant's decisions and the difficulty of calibrating the model given the lack of data in many markets.

The main contribution of the paper is both by accounting for market risk (Monte Carlo simulations for the prices and market rental values) and for accounting for the idiosyncratic risk (the leasing risk).

The purpose of this paper is to offer a framework for computing optimal investment holding periods for real estate portfolios.

The analysis is set within a standard DCF modelling framework and it is shown that it is not adapted to offer sufficient insight into the mechanics leading to optimal holding periods. A richer framework is offered that enables the portfolios terminal value to behave according to a simple diffusion process.

The findings show that optimal holding periods for real estate investment portfolios exist within very precise conditions. The key parameters are the investor's weighted average cost of capital (WACC), the cash flow growth rate during the investment period, and the investment's net initial yield. The key finding is (loosely speaking) that, if the investor's cost of capital is outpaced by (the sum of) the portfolio's net initial yield and the cash flow growth rate, then an optimal holding period exists and can be precisely computed. Numerical examples are provided to illustrate these findings.

Standard financial theory does not specify a consistent methodology for choosing the optimal investment horizon in investment analysis and in particular in discounted cash flow (DCF) modelling. This problem may be particularly acute in real estate investment analysis and valuation, as investment horizons are often arbitrarily chosen. The paper proves that investment horizon may strongly influence net present value.

This paper aims to test the robustness of the trend and volatility estimations for two indices: the classical Weighted Repeat Sales and a PCA factorial index. The estimations are computed from a dataset of Paris commercial properties.

First, two methodologies are presented, and then the dataset. Finally, the impact of the number of transactions per period are tested on the trend and volatility estimates for each index, and an interpretation of the results are given.

The trend and volatility estimates are biased for the WRS index and not for the PCA factorial index when the periodicity increases. Consequently, the level of the index at the end of the computing period is significantly different for various periodicities in the case of the WRS index. Globally, the PCA factorial seems to be more robust to the number of transactions.

As suggested by D. Geltner, commercial properties indices have to be built using repeat sales instead of hedonic indices. The repeat sales method is a means of constructing real estate price indices based on a repeated observation of property transactions. These indices may be used as benchmarks for real estate portfolio managers. But the investors, in general, are also interested in introducing real estate performance in their portfolio to enhance the efficient frontier. Thus, expected return and volatility are the two key parameters. To create and to improve contracts on real estate indices, trend and volatility of these indices must be robust regarding to the periodicity of the index and the volume of transactions.

The aim of this paper is to use rent and price dynamics in the future cash flows in order to improve real estate portfolio valuation.

Monte Carlo simulation methods are employed for the measurement of complex cash generating assets such as real estate assets return distribution. Important simulation inputs, such as the physical real estate price volatility estimator, are provided by results on real estate indices for Paris, derived in an article by Baroni et al..

Based on a residential real estate portfolio example, simulated cash flows: provide more robust valuations than traditional DCF valuations; permit the user to estimate the portfolio's price distribution for any time horizon; and permit easy values‐at‐risk (VaR) computations.

The terminal value estimation is a core issue in real estate valuation. To estimate it, the proposed method is not based on an anticipated growth rate of cash flows but on the estimation of the trend and the volatility of real estate prices.

The preservation and curation of music with real-time or live electronics is challenging. The goal is not to preserve a recording of the performance but to keep the work alive by providing the means to re-perform them. The purpose of this paper is to present the theoretical and practical outcomes of the documentation, dissemination and preservation of compositions with real-time electronics (DiP-CoRE) project.

The methodology combines methods stemming from work psychology and ergonomics with conceptual frameworks constructed according to grounded theory. Data were collected during a six months’ creative process. Subsequent interviews were conducted during confrontations with documents, including observational recordings, sketches and technical specifications.

This paper demonstrates the relevance of the proposed documentation methodology for the preservation of contemporary music with live electronics, focussing on the notion of intelligibility. It brings into light the multiple perspective of the documentation of the activity in a multi-agent creative process, which encompasses what was done but also what could have been done.

The DiP-CoRE project bring to light connections between the notion of intelligibility, the thickness of the activity and boundary objects. The paper proposes further directions of research in order to embed the designed framework within digital repositories.

The documentation methodology, designed and tested in this paper, proposes a framework for practitioners, building on video-stimulated recall as well as documents produced during the creative process. This framework requires less expertise (but a more important technical setup) than a traditional interview-based documentation framework. It thus provides opportunities for various size organizations to build methodical documentation processes and to further build on distributed expertise with computer-supported collaborative work.

This paper proposes a new interdisciplinary documentation methodology relevant in the artistic domain, which brings together transmission with objects and by practice. It specifically defines the relation between this proposal and a high-level model for digital curation, namely, the mixed methods digital curation model. It further creates a link between documentation best practice and the ongoing research in the tracking of creative processes.