A Class of its Own? The Role of Sustainable Real Estate in a Conditional Value at Risk Multi-Asset Portfolio

36 Pages Posted: 19 Sep 2014

See all articles by Peter Geiger

Peter Geiger

University of Regensburg - International Real Estate Business School (IREBS)

Marcelo Cajias

PATRIZIA Immobilien AG

Franz Fuerst

University of Cambridge - Department of Land Economy; University of Melbourne; City University of New York - Center for Urban Research

Date Written: September 17, 2014

Abstract

Current research on sustainable property investment focuses mainly on property-level profitability of green buildings along with the development and implementation of eco-certifications. A second strand of studies investigates the company-level financial implications of corporate social responsibility agendas. This paper seeks to expand the current literature by analyzing the effect of Socially Responsible Investments (SRI) within a multi-asset portfolio optimization model. It also attempts to bridge the existing gap in the real estate literature between sustainability principles and investment analysis. To this aim, listed real estate companies with an active sustainability agenda, identified through the MSCI ESG database, represent the sustainable real estate asset class. Applying a number of robust optimization techniques, we establish empirically whether diversification benefits can be achieved by investing in companies with a proven track record in sustainability. The results of the study highlight the potential contribution of listed real estate companies with high sustainability ratings to an institutional investorĀ“s portfolio taking into account differences in investment style and risk aversion.

Keywords: Social Responsible Investment, Sustainable Real Estate, Portfolio Optimization, Asset Allocation, CVaR

JEL Classification: G11, G12, EE44, F3, R33

Suggested Citation

Geiger, Peter and Cajias, Marcelo and Fuerst, Franz, A Class of its Own? The Role of Sustainable Real Estate in a Conditional Value at Risk Multi-Asset Portfolio (September 17, 2014). Available at SSRN: https://ssrn.com/abstract=2497472 or http://dx.doi.org/10.2139/ssrn.2497472

Peter Geiger

University of Regensburg - International Real Estate Business School (IREBS) ( email )

Universitaetsstrasse 31
Regenburg, Bavaria 93040
Germany

Marcelo Cajias

PATRIZIA Immobilien AG ( email )

Fuggerstr. 26
Augsburg, 86150
Germany
+49 (0) 151 17215198 (Phone)

Franz Fuerst (Contact Author)

University of Cambridge - Department of Land Economy ( email )

19 Silver Street
Cambridge, CB3 9EP
United Kingdom

HOME PAGE: http://www.landecon.cam.ac.uk/directory/dr-franz-fuerst

University of Melbourne ( email )

185 Pelham Street
Carlton, Victoria 3053
Australia

City University of New York - Center for Urban Research

CUNY The Graduate Center
New York, NY 10011
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
193
Abstract Views
1,083
rank
164,840
PlumX Metrics