Rossen I. Valkanov

University of California, San Diego (UCSD) - Rady School of Management

9500 Gilman Drive

Rady School of Management

La Jolla, CA 92093

United States

  • University of California, San Diego (UCSD) - Rady School of Management

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SCHOLARLY PAPERS

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Scholarly Papers (32)

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1.

Valuation in the Us Commercial Real Estate

Number of pages: 37 Posted: 16 Oct 2006
Eric Ghysels, Rossen I. Valkanov and Alberto Plazzi
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and Swiss Finance Institute
Downloads 1,532 (14,607)
Citation 1

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Real Estate, MIDAS, Cap rate, Predictive regression

2.

Forecasting Real Estate Prices

Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann, eds., Elsevier, 2012
Number of pages: 91 Posted: 21 Apr 2013
Eric Ghysels, Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,377 (17,285)
Citation 7

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real estate, predictability, market efficiency, REIT

3.

Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability

AFA 2004 San Diego Meetings; Anderson School of Management Working Paper
Number of pages: 42 Posted: 23 Nov 2003
Walter N. Torous, Rossen I. Valkanov and Harrison G. Hong
Massachusetts Institute of Technology, University of California, San Diego (UCSD) - Rady School of Management and Columbia University, Graduate School of Arts and Sciences, Department of Economics
Downloads 1,327 (18,279)
Citation 99

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4.

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 11-06
Number of pages: 61 Posted: 14 Feb 2011 Last Revised: 11 Apr 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,187 (21,595)
Citation 49

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return asymmetry, international equity markets, portfolio allocation, skewness

5.

Value Creation Estimates Beyond Announcement Returns: Mega-Mergers versus Other Mergers

Number of pages: 52 Posted: 10 Nov 2009 Last Revised: 09 Feb 2012
Dinara Bayazitova, Matthias Kahl and Rossen I. Valkanov
University of North Carolina at Chapel Hill, University of California, Los Angeles (UCLA) - Anderson School of Management and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,133 (23,135)
Citation 6

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Mergers, Value Creation, Announcement Returns, Corporate Governance

6.

There is a Risk-Return Tradeoff after All

Downloads 984 ( 28,351)
Citation 68

There is a Risk-Return Tradeoff after All

Number of pages: 56 Posted: 18 Jun 2004
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 851 (34,276)
Citation 12

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ICAPM, risk-return tradeoff, conditional variance, forecasting returns

There is a Risk-Return Tradeoff after All

NBER Working Paper No. w10913
Number of pages: 55 Posted: 08 Dec 2004 Last Revised: 28 Apr 2021
Pedro Santa-Clara, Eric Ghysels and Rossen I. Valkanov
New University of Lisbon - Nova School of Business and Economics, University of North Carolina Kenan-Flagler Business School and University of California, San Diego (UCSD) - Rady School of Management
Downloads 133 (264,378)
Citation 8

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7.

Expected Returns and the Expected Growth in Rents of Commercial Real Estate

EFA 2007 Ljubljana Meetings Paper, EFA 2005 Moscow Meetings Paper, AFA 2007 Chicago Meetings Paper
Number of pages: 62 Posted: 25 Jul 2005 Last Revised: 10 Oct 2016
Walter N. Torous, Rossen I. Valkanov and Alberto Plazzi
Massachusetts Institute of Technology, University of California, San Diego (UCSD) - Rady School of Management and Swiss Finance Institute
Downloads 867 (33,879)
Citation 15

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Cap rate, real estate, return predictability

8.

Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies

Downloads 831 ( 35,921)
Citation 148

Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies

Anderson School of Management Working Paper and UNC Department of Economics Working Paper
Number of pages: 46 Posted: 05 Oct 2003
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 740 (41,511)
Citation 1

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variance estimation, volatility, asset pricing, MIDAS

Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies

NBER Working Paper No. w10914
Number of pages: 45 Posted: 08 Dec 2004 Last Revised: 29 Apr 2021
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 91 (345,146)
Citation 25

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9.

The Risk-Return Relationship and Financial Crises

Number of pages: 20 Posted: 07 May 2016
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management
Downloads 775 (39,568)
Citation 19

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risk, return, financial crisis, flight-to-safety

10.

Midas Regressions: Further Results and New Directions

Number of pages: 50 Posted: 23 Feb 2006
Eric Ghysels, Arthur Sinko and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 753 (41,138)
Citation 24

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Volatility, Risk, tick-by-tick applications, nonlinear MIDAS, microstructure noise

11.

Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches

Downloads 669 ( 48,226)
Citation 8

Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data Approaches

EFA 2009 Bergen Meetings Paper
Number of pages: 22 Posted: 17 Feb 2009
Eric Ghysels, Rossen I. Valkanov and Antonio Rubia Serrano
University of North Carolina Kenan-Flagler Business School, University of California, San Diego (UCSD) - Rady School of Management and University of Alicante, Department of Financial Economics
Downloads 438 (81,063)
Citation 21

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Volatility forecasting, multi-period forecasts, mixed-data sampling

Direct Versus Iterated Multi-Period Volatility Forecasts

Swiss Finance Institute Research Paper No. 19-02, Kenan Institute of Private Enterprise Research Paper No. 19-7, Published, Annual Review of Financial Economics, 2019, Vol. 11, 173-195
Number of pages: 37 Posted: 31 Jan 2019 Last Revised: 05 Mar 2021
Eric Ghysels, Alberto Plazzi, Rossen I. Valkanov, Antonio Rubia Serrano and Asad Dossani
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business
Downloads 231 (162,524)

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volatility forecasting, multi-period forecasts, mixed-data sampling

12.

Political Cycles and the Stock Market

Anderson School of Management, UCLA, Working Paper
Number of pages: 56 Posted: 25 Oct 2000
Pedro Santa-Clara and Rossen I. Valkanov
New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 642 (50,878)
Citation 1

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13.

The Neglected Effect of Fiscal Policy on Stock and Bond Returns

EFA 2003 Annual Conference Paper No. 201; UCLA, Anderson School of Management Working Paper, FEUNL Working Paper No. 413
Number of pages: 48 Posted: 06 Aug 2003
José Tavares and Rossen I. Valkanov
Nova School of Business and Economics - Universidade Nova de Lisboa and University of California, San Diego (UCSD) - Rady School of Management
Downloads 622 (53,056)
Citation 14

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returns, stocks, bonds, taxes, government spending, Ricardian Equivalence, fiscal policy

14.

Complexity in Structured Finance

Number of pages: 68 Posted: 15 Sep 2013 Last Revised: 05 Nov 2017
Andra C. Ghent, Walter N. Torous and Rossen I. Valkanov
University of North Carolina (UNC) at Chapel Hill - Finance Area, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 604 (55,044)
Citation 20

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Complexity, Security Design, MBS Performance

15.

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

Downloads 543 ( 62,939)
Citation 150

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

Number of pages: 49 Posted: 23 Jun 2005
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 454 (77,702)
Citation 1

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Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

NBER Working Paper No. w10996
Number of pages: 50 Posted: 19 Jan 2005 Last Revised: 19 Jul 2021
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 89 (350,100)
Citation 48

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Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3411-3447, 2009
Posted: 08 Sep 2009
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Abstract:

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G11, G12

16.

The Fed's Effect on Excess Returns and Inflation is Much Bigger than You Think

Number of pages: 32 Posted: 11 Apr 2002
Shingo Goto and Rossen I. Valkanov
University of Rhode Island - College of Business Administration and University of California, San Diego (UCSD) - Rady School of Management
Downloads 534 (64,199)
Citation 19

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17.

Forecasting Stock Returns Under Economic Constraints

Downloads 519 ( 66,527)
Citation 57

Forecasting Stock Returns Under Economic Constraints

Number of pages: 57 Posted: 09 Dec 2012
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 517 (66,131)
Citation 2

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Economic constraints, Sharpe ratio, Equity premium predictions, Bayesian analysis

Forecasting Stock Returns Under Economic Constraints

CEPR Discussion Paper No. DP9377
Number of pages: 61 Posted: 12 Mar 2013
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 2 (801,263)
Citation 14
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Bayesian analysis, Economic constraints, Sharpe Ratio, Stock return predictability

18.

Comparing Securitized and Balance Sheet Loans: Size Matters

Number of pages: 57 Posted: 27 Sep 2012 Last Revised: 22 Jul 2014
Andra C. Ghent and Rossen I. Valkanov
University of North Carolina (UNC) at Chapel Hill - Finance Area and University of California, San Diego (UCSD) - Rady School of Management
Downloads 363 (101,703)
Citation 9

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Securitization, Commercial Mortgage-Backed Securities (CMBS), Structured finance

19.

Corporate Bond Portfolios and Asset-Specific Information

Number of pages: 65 Posted: 19 Dec 2016 Last Revised: 25 Jun 2019
Maximilian Bredendiek, Giorgio Ottonello and Rossen I. Valkanov
Vienna Graduate School of Finance (VGSF), Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 349 (106,204)
Citation 2

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Corporate Bonds; Empirical Portfolio Choice; Characteristics

20.

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Downloads 347 (106,908)
Citation 13

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Number of pages: 40 Posted: 19 Nov 2004
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Swiss Finance Institute, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management
Downloads 343 (107,616)

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Commercial real estate, cross-sectional volatility, total risk

The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations

Real Estate Economics, Vol. 36, Issue 3, pp. 403-439, Fall 2008
Number of pages: 37 Posted: 04 Aug 2008
Alberto Plazzi, Walter Torous and Rossen I. Valkanov
Swiss Finance Institute, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 4 (781,426)
Citation 3
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21.

Does the Early Exercise Premium Contain Information About Future Underlying Returns?

AFA 2007 Chicago Meetings Paper, EFA 2008 Athens Meetings Paper
Number of pages: 46 Posted: 05 Aug 2005 Last Revised: 18 Oct 2011
Rossen I. Valkanov, Yuzhao Zhang and Pradeep K. Yadav
University of California, San Diego (UCSD) - Rady School of Management, Rutgers, The State University of New Jersey - Department of Finance and University of Oklahoma Price College of Business
Downloads 334 (111,652)
Citation 7

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Return Predictability, Early Exercise Premium, Dividend Growth

22.

A MIDAS Approach to Modeling First and Second Moment Dynamics

Downloads 284 (132,710)
Citation 13

A MIDAS Approach to Modeling First and Second Moment Dynamics

Number of pages: 41 Posted: 26 Jul 2014 Last Revised: 19 Sep 2015
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 284 (132,024)
Citation 4

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MIDAS regressions; Bayesian estimation; stochastic volatility; out-of-sample forecasts; GDP growth

A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics

CEPR Discussion Paper No. DP10160
Number of pages: 48 Posted: 25 Sep 2014
Davide Pettenuzzo, Allan Timmermann and Rossen I. Valkanov
Brandeis University - International Business School, UCSD and University of California, San Diego (UCSD) - Rady School of Management
Downloads 0
Citation 7
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Bayesian estimation, GDP growth, MIDAS regressions, out-of-sample forecasts, stochastic volatility

23.

Do Credit Markets Respond to Macroeconomic Shocks? The Case for Reverse Causality

Number of pages: 84 Posted: 08 Oct 2020 Last Revised: 26 Mar 2021
Martijn Boons, Giorgio Ottonello and Rossen I. Valkanov
Tilburg University, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 202 (185,045)

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Credit Spreads, Time-Varying Risk Premia, Macroeconomic Risk, Shocks, Return Predictability

24.

Long-Horizon Regressions When the Predictor is Slowly Varying

Number of pages: 52 Posted: 18 Jul 2004
Hyungsik Roger Moon, Antonio Rubia Serrano and Rossen I. Valkanov
University of Southern California - Department of Economics, University of Alicante, Department of Financial Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 182 (203,187)
Citation 7

Abstract:

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Return predictability, long-horizon regressions, near unit root, local-to-zero variance

25.

The Mortgage-Cash Premium Puzzle

Number of pages: 78 Posted: 19 Feb 2021 Last Revised: 24 May 2021
Michael Reher and Rossen I. Valkanov
University of California, San Diego (UCSD) - Rady School of Management and University of California, San Diego (UCSD) - Rady School of Management
Downloads 162 (224,419)

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House Prices, Cash Buyers, Asset Pricing Puzzles, Affordability

26.

Commercial Real Estate as an Asset Class

Annual Review of Financial Economics, Forthcoming
Number of pages: 37 Posted: 11 Oct 2019
Andra C. Ghent, Walter Torous and Rossen I. Valkanov
University of North Carolina (UNC) at Chapel Hill - Finance Area, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Rady School of Management
Downloads 139 (254,583)
Citation 3

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Commercial Real Estate, Corporate Real Estate, Property Returns, REITs, Portfolio Diversification

27.

Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Big Data meets Mixed Frequency

Swiss Finance Institute Research Paper No. 21-21
Number of pages: 48 Posted: 08 Mar 2021 Last Revised: 10 Mar 2021
Matteo Garzoli, Alberto Plazzi and Rossen I. Valkanov
Universita della Svizzera italiana (USI Lugano), Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management
Downloads 127 (272,650)

Abstract:

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Real estate, Case-Shiller, MIDAS, Forecasting, Big Data

28.

The Presidential Puzzle: Political Cycles and the Stock Market

Number of pages: 32 Posted: 01 Nov 2003
Pedro Santa-Clara and Rossen I. Valkanov
New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 24 (601,678)
Citation 33
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29.

Valuation in US Commercial Real Estate

European Financial Management, Vol. 13, No. 3, pp. 472-497, June 2007
Number of pages: 26 Posted: 24 May 2007
Eric Ghysels, Alberto Plazzi and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management
Downloads 19 (635,973)
Citation 2
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30.

Direct versus Iterated Multiperiod Volatility Forecasts

Annual Review of Financial Economics, Vol. 11, pp. 173-195, 2019
Posted: 12 Jan 2020
Eric Ghysels, Alberto Plazzi, Rossen I. Valkanov, Antonio Rubia Serrano and Asad Dossani
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute, University of California, San Diego (UCSD) - Rady School of Management, University of Alicante, Department of Financial Economics and Colorado State University, Fort Collins - College of Business

Abstract:

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31.

Commercial Real Estate as an Asset Class

Annual Review of Financial Economics, Vol. 11, pp. 153-171, 2019
Posted: 12 Jan 2020
Andra C. Ghent, Rossen I. Valkanov and Walter N. Torous
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of California, San Diego (UCSD) - Rady School of Management and Massachusetts Institute of Technology

Abstract:

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32.

Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation

Swiss Finance Institute Research Paper No. 11-07, https://doi.org/10.3905/jpm.2011.37.5.039
Posted: 21 May 2019
Alberto Plazzi, Walter N. Torous and Rossen I. Valkanov
Swiss Finance Institute, Massachusetts Institute of Technology and University of California, San Diego (UCSD) - Rady School of Management

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Dynamic portfolio choice, real estate, cap rate