Alternative links to fulltext:DOI
| Item type: | Article | ||||
|---|---|---|---|---|---|
| Journal or Publication Title: | Journal of Corporate Real Estate | ||||
| Publisher: | Emerald Group Publishing Limited | ||||
| Volume: | 15 | ||||
| Number of Issue or Book Chapter: | 1 | ||||
| Page Range: | pp. 73-91 | ||||
| Date: | 2013 | ||||
| Institutions: | Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Kompetenzzentrum für Nachhaltigkeit in der Immobilienwirtschaft (Prof. Dr. Sven Bienert) | ||||
| Identification Number: |
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| Related URLs: |
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| Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||
| Status: | Published | ||||
| Refereed: | Yes, this version has been refereed | ||||
| Created at the University of Regensburg: | Yes | ||||
| Item ID: | 28853 |
Abstract
Purpose – Given the growing market awareness concerning responsible investments in recent years, the purpose of this paper is to bridge the gap between real estate companies which implemented a corporate social responsibility (CSR) agenda and the possible role within a multi-asset portfolio optimisation framework. The behaviour of the asset class sustainable real estate (SRE) together with its ...
Abstract
Purpose – Given the growing market awareness concerning responsible investments in recent years, the purpose of this paper is to bridge the gap between real estate companies which implemented a corporate social responsibility (CSR) agenda and the possible role within a multi-asset portfolio optimisation framework. The behaviour of the asset class sustainable real estate (SRE) together with its diversification characteristics are the main focus.
Design/methodology/approach – The study is an explorative empirical analysis applying a portfolio optimisation algorithm. First, the authors developed a sustainable real estate index comprehending listed real estate companies from 2004 until 2010 acting in line with a CSR agenda. Second, the authors introduced SRE into the opportunity set of an UK investor and finally, generated the theoretical optimal asset allocation of SRE within different risk-return portfolios.
Findings – The unique risk-return pattern of SRE enables the asset class to be allocated across all portfolios ranging from low to high risk along the efficient frontier. In the low-risk levels, SRE behaves as a diversifier whereas in the medium- to high-risk portfolios SRE is represented as the main allocated asset. Sustainable real estate thus offers opportunities to numerous investors in view of their investment preferences and corporate strategies.
Practical implications – The results could encourage institutional investors to take investments in CSR-driven listed real estate companies into account and to rethink their strategic asset allocation approach in view of the identified asset characteristics and the behaviour within a portfolio framework.
Originality/value – The paper provides a first insight in the field of portfolio management by introducing SRE into the opportunity set of a UK investor. The study raises SRE to an aggregated level and delivers theoretical as well as empirical evidence of the role sustainable real estate is playing within a multi-asset portfolio.
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