PORTFOLIO SELECTION WITH HOUSING MARKET BOOM AND BUST

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QOLIZADEH ALI AKBAR; TAHURI MATIN MASOUD

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Journal: JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH) Year:2011 | Volume:11 | Issue:3 Page(s): 71-92

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Title

PORTFOLIO SELECTION WITH HOUSING MARKET BOOM AND BUST

Author(s)

QOLIZADEH ALI AKBAR | TAHURI MATIN MASOUD | Issue Writer Certificate

Keywords

PORTFOLIOQ2

RISK AND EXPECTED RETURNQ2

EFFICIENT FRONTIERQ2

HOUSING MARKET CYCLEQ3

MEAN - VARIANCE MODELQ2

MATLAB SOFTWAREQ3

Abstract

For the first time, this paper analyzes the PORTFOLIO selection theory in the presence of housing market in Iran. One of the important theories about the housing price is household PORTFOLIO theory. Based on the theory, housing business cycles have determining effect on housing share in PORTFOLIO. For this purpose, a set of assets data consisting stocks, exchange, gold coins, bank deposits, bonds and housing over the period 1991-2006 are used. After calculation of returns, risks and correlation coefficients of assets over the period using MEAN - VARIANCE MODEL and MATLAB SOFTWARE, a combination of household assets in the PORTFOLIO have been extracted .The model, through simulating and supposing different weights for each asset determines an optimal combination of assets in PORTFOLIO based on risk classification of households: low risk, medium risk and high risk. Then, they are thoroughly examined to explore: whether the presence of housing asset in the PORTFOLIO can improve its risk, return and the composition of assets? EFFICIENT FRONTIER which covers all PORTFOLIOs is also extracted. The results reveal that housing is an important asset in the PORTFOLIO during the housing boom period and causes the EFFICIENT FRONTIER transmission move outwards.

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APA: Copy

QOLIZADEH, ALI AKBAR, & TAHURI MATIN, MASOUD. (2011). PORTFOLIO SELECTION WITH HOUSING MARKET BOOM AND BUST. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), 11(3), 71-92. SID. https://sid.ir/paper/86630/en

Vancouver: Copy

QOLIZADEH ALI AKBAR, TAHURI MATIN MASOUD. PORTFOLIO SELECTION WITH HOUSING MARKET BOOM AND BUST. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH)[Internet]. 2011;11(3):71-92. Available from: https://sid.ir/paper/86630/en

IEEE: Copy

ALI AKBAR QOLIZADEH, and MASOUD TAHURI MATIN, “PORTFOLIO SELECTION WITH HOUSING MARKET BOOM AND BUST,” JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), vol. 11, no. 3, pp. 71–92, 2011, [Online]. Available: https://sid.ir/paper/86630/en

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