TY - JOUR
T1 - Portfolio construction and risk management in property securities funds
AU - Newell, Graeme
AU - Acheampong, Peter
PY - 2001
Y1 - 2001
N2 - The key issue of the number of property trusts to be included in property securities fund portfolios is considered. Using portfolio risk simulations over 1994-2000, it is shown that property securities funds are including more property trusts than are required to achieve optimum portfolio risk, largely due to other risk management criteria that need to be included in effective investment decision-making for property securities funds. This is found to include a range of portfolio construction constraints, such as tracking error, compliance and limiting exposure to individual property trusts. Once these additional criteria are factored in, property securities funds are still including sufficient property trusts for optimum portfolio construction.
AB - The key issue of the number of property trusts to be included in property securities fund portfolios is considered. Using portfolio risk simulations over 1994-2000, it is shown that property securities funds are including more property trusts than are required to achieve optimum portfolio risk, largely due to other risk management criteria that need to be included in effective investment decision-making for property securities funds. This is found to include a range of portfolio construction constraints, such as tracking error, compliance and limiting exposure to individual property trusts. Once these additional criteria are factored in, property securities funds are still including sufficient property trusts for optimum portfolio construction.
KW - investments
KW - risk management
UR - http://handle.uws.edu.au:8081/1959.7/34739
M3 - Article
SN - 1444-5921
JO - Pacific Rim Property Research Journal
JF - Pacific Rim Property Research Journal
ER -