English, Article, Journal or magazine article edition: Monte Carlo Simulations versus DCF in Real Estate Portfolio Valuation Baroni, Michel; Barthélémy, Fabrice; Mokrane, Mahdi

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Bookmark: http://trove.nla.gov.au/version/170020
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Monte Carlo Simulations versus DCF in Real Estate Portfolio Valuation
Author
  • Baroni, Michel
  • Barthélémy, Fabrice
  • Mokrane, Mahdi
Physical Description
  • preprint
Notes
  • This paper considers the use of simulated cash flows to value assets in real estate investment. We motivate the use of Monte Carlo simulation methods for the measurement of complex cash generating assets such as real estate assets return distribution. Important simulation inputs, such as the physical real estate price volatility estimator, are provided by results on real estate indices for Paris derived in an article by Baroni, Barthélémy and Mokrane (2005). Based on a residential real estate portfolio example, simulated cash flows (i) provide more robust valuations than traditional DCF valuations, (ii) permit the user to estimate the portfolio’s price distribution for any time horizon, and (iii) permit easy Values-at-Risk (VaR) computations.
  • DCF; Monte-Carlo Simulations; Real Estate Indices; Real Estate Valuations
  • RePEc:ebg:essewp:dr-06002
Language
  • English
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