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Property forecasting in actuarial modelling and asset management

Property forecasting in actuarial modelling and asset management Claims as property modelling and forecasting techniques have developed to take account of new investment theories, property researchers have tended to follow the approach of modern portfolio theory and, sometimes, the capital asset pricing model (CAPM). Argues that one of the reasons why property is often not included in actuarial property forecasting models for the purpose of asset allocation (which is a widespread perception in the property industry) is because actuaries have not made clear to property researchers the forms of their models, which are often quite different from those used in others parts of the finance literature. Explains how traditional investment theory can be adapted for actuarial use and how actuaries use forecasting models in asset allocation. Areas of property research which would assist actuaries develop better property forecasting models are identified. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Property Finance Emerald Publishing

Property forecasting in actuarial modelling and asset management

Philip M. Booth
Journal of Property Finance , Volume 8 (4): 14 – Dec 1, 1997
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14 pages

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Publisher
Emerald Publishing
Copyright
Copyright © 1997 MCB UP Ltd. All rights reserved.
ISSN
0958-868X
DOI
10.1108/09588689710367788
Publisher site
See Article on Publisher Site

Abstract

Claims as property modelling and forecasting techniques have developed to take account of new investment theories, property researchers have tended to follow the approach of modern portfolio theory and, sometimes, the capital asset pricing model (CAPM). Argues that one of the reasons why property is often not included in actuarial property forecasting models for the purpose of asset allocation (which is a widespread perception in the property industry) is because actuaries have not made clear to property researchers the forms of their models, which are often quite different from those used in others parts of the finance literature. Explains how traditional investment theory can be adapted for actuarial use and how actuaries use forecasting models in asset allocation. Areas of property research which would assist actuaries develop better property forecasting models are identified.

Journal

Journal of Property Finance – Emerald Publishing

Published: Dec 1, 1997

Keywords: Assets management; Forecasting; Investment; Valuation

References

  • The appraisal of over‐rented property
    Adams, A.T.; Booth, P.M.