NON-PARAMETRIC MODELLING OF RISK ESTIMATION AND EXPECTED RETURNS

Abstract

This study introduces an integrated risk-and-return estimation model that extends the bond duration-convexity concept and the beta distribution function, to the term-and-reversion freehold valuation model using limited information for a real estate asset. There has been limited investigation for such an integrated model within an ex ante context. The advantage of this model is that no historical data is involved or required, and this is useful when new real estate assets do no have past time series.