Abstract

http://ssrn.com/abstract=740364
 
 

References (31)



 
 

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Hedging House Price Risk: Portfolio Choice With Housing Futures


Frank De Jong


Tilburg University - Department of Finance

Joost Driessen


Tilburg University - Department of Finance; CentER Tilburg University

Otto Van Hemert


New York University (NYU) - Department of Finance

July 31, 2008


Abstract:     
We assess the economic benefits of having access to housing futures for homeowning investors, using a model for the portfolio choice between stocks, bonds of various maturity, different mortgage types, and housing futures. We compare the utility gains of housing futures with the economic benefits of two other important housing-related portfolio decisions: (i) incorporating the housing exposure in financial portfolio choice and (ii) mortgage choice. Our analysis indicates that the portfolio implications and welfare improvements of the housing futures are small. This is mainly due to the large remaining idiosyncratic house price risk which cannot be hedged using futures written on a city-level house price index.

Number of Pages in PDF File: 49

Keywords: Housing futures, portfolio choice, mortgage

JEL Classification: G11

working papers series


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Date posted: June 13, 2005 ; Last revised: July 31, 2008

Suggested Citation

De Jong, Frank and Driessen, Joost and Van Hemert, Otto, Hedging House Price Risk: Portfolio Choice With Housing Futures (July 31, 2008). Available at SSRN: http://ssrn.com/abstract=740364 or http://dx.doi.org/10.2139/ssrn.740364

Contact Information

Frank De Jong
Tilburg University - Department of Finance ( email )
P.O. Box 90153
Tilburg, 5000 LE
Netherlands
Joost Driessen
Tilburg University - Department of Finance ( email )
P.O. Box 90153
Tilburg, 5000 LE
Netherlands
CentER Tilburg University ( email )
P.O. Box 90153
Tilburg, 5000 LE
Netherlands
Otto Van Hemert (Contact Author)
New York University (NYU) - Department of Finance ( email )
Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
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