Access the full text.
Sign up today, get DeepDyve free for 14 days.
K. Dowd (1998)
Beyond Value at Risk: The New Science of Risk Management
F. Sortino, Hal Forsey (1996)
On the Use and Misuse of Downside Risk, 22
W.G. Keeris, R.A.R. Langbroek
Determination of the value of property investments by means of the performance potential and return/risk improvement ratio
W.G. Keeris, R.A.R. Langbroek
Measuring stability of performance by means of the volatility ratio
R.A.R. Langbroek
Performance‐meting van direct vastgoed; prestaties in termen van waardecreatie en waardering
W. Sharpe (1994)
The Sharpe Ratio, 21
F. Sortino, R. Meer, A. Plantinga (1999)
The Dutch triangle - A framework to measure upside potential relative to downside risk.The Journal of Portfolio Management, 26
W.G. Keeris, R.A.R. Langbroek
Attributie‐analyse van een vastgoedbeleggingsportefeuille
F. Sortino, R. Vandermeer (1991)
DOWNSIDE RISK - CAPTURING WHATS AT STAKE IN INVESTMENT SITUATIONSThe Journal of Portfolio Management, 17
F.A. Sortino, R. van der Meer
Downside risk
W.G. Keeris
The diversifying power of real estate investments: you never can tell
R. Meer, F. Sortino, A. Plantinga (2001)
The Impact of Downside Risk on Risk-Adjusted Performance of Mutual Funds in the Euronext MarketsBehavioral & Experimental Finance
W.F. Sharpe
The Sharpe ratio: properly used, it can improve investment
W.F. Sharpe, G.J. Alexander, J.V. Bailey
Investments
F. Sortino, L. Price (1994)
Performance Measurement in a Downside Risk Framework, 3
R. Petel (2005)
Benchmarken op rendement en risico
F. Sortino, R. Meer, A. Plantinga (1999)
The Dutch Triangle, 26
W. Keeris, Ralph Petel (2006)
AN IMPULSE FOR A MORE ìMODERNî WAY OF PORTFOLIO ANALYSIS:BENCHMARKING REAL ESTATE INVESTMENTS ON RETURN AND RISK
Purpose – In order to take properly founded investment decisions, the anticipated value creation of a property investment should be identified by the investor. Because usual methods of analysis for determining the return/risk profile produce an inaccurate and incomplete picture, the purpose of this paper is to propose a number of improvements. Design/methodology/approach – By examining the framework on which most used statistical risk analyses are based, improvements can be made, based on known, but not commonly used approaches. These improvements give a more satisfying risk analysis result, in which chances are also made visible. Findings – Main principle of use is the downside risk approach, which only takes into account the negative deviations from self‐determined return criteria. The analysis is then based on four new created ratios, which collectively provide a better and more complete picture of the return/risk profile as a whole. Practical implications – The ratios address risk from a downside perspective, but they also take into account the chances for investors to meet the return criteria, which provide the upside potential for the investments. Furthermore, the ratios express risk in terms of real volatility of the actual return. And last, they provide improvement of the entire return/risk profile, which therefore highlights the value creation achieved by the management. Originality/value – By using the proposed ratios, risks and chances associated with property investments can be better quantified, thus producing a return/risk profile that paints a more realistic picture of the degree of value creation for investors.
Journal of European Real Estate Research – Emerald Publishing
Published: May 8, 2009
Keywords: Standard deviation; Property; Return on investment; Risk
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.