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1、HedgingRealEstateRiskFRANKJ.FABOZZI,ROBERTJ.SHILLER,ANDRADUS.TUNARUFRANKJ.FABOZZIealestateassetsrepresentmorewhentheyaregoingdownbecausesellersareisaprofessorinthepracticethanone-thirdofthevalueofallreluctanttosellatapricebelowthepriceatoffinanceatYaleS
2、chooltheunderlyingphysicalcapitalinwhichthepropertywasinitiallypurchased.ofManageniencinNewRtheU.S.andtheworld.Therela-Hence,themarketislocalized,theinformationHaven,CT,andtheeditortionshipbetweenthelevelofinterestratesandisasymmetric,andparticipants'pr
3、iceexpecta-ofTiieJournalofPortJotioManagement.housingpricesdoesnotalwaysfollowonetionsareverymuchinfluencedbythemostfrank.fatxizzi@vale.edudirectionandashockeventinonemarketmayrecentseriesofprices.'Althoughitmaybetriggerdeeprepercussionsintheother.Withd
4、ifficultforhomeownerstodirecdyhedgetheROBERTJ.SHILLERthespreadofthesecuritizationprocess,thepriceoftheirhomes,banksandbuildingsoci-ISArthurM.OkiinPro-risksrootedinthesetwofundamentalmarketsetieswithnationallydiversifiedmortgageport-fessorofEconomicsatYa
5、lecanhavefar-reachingoutcomes.foliosshouldbeenticedtohedgetheirUniversityinNewHaven,CT,andchiefeconomistatPricesintheresidentialhousingmarketexposurewithderivativeswrittenonlocalMacroMarketsLLCinaredeterminedhydirecttradebetweenbuyersindices.Theuseofind
6、ex-basedfuturescon-Madison,NJ.andsellerswhoareinfluencedbyemotionaltractsandoptionsforhedgingmortgagerisk,rDbert.shiller@yale.eduinvolvementandotheropaquesocialfactors,defaultrisk,andrealestatepriceriskhaslongRADUS.TUNARUsuchaschangeofemploymentorchange
7、ofbeenadvocatedbyCaseandShiller[1996].isaseniorlecturerinfinan-schoolforchildren.ResidentialrealestateassetsFisher[2005]providedanoverviewofcialmathematicsatCassarenaturallynotdiversifiedandareacombi-NCREIF-basedswapproductsandClaytonBusinessSchool,City
8、Um-nationofaconsumptionassetandaleveraged[2007]examinedvariousindicesdevelopedforversity,inLondon,U.K.investment.AsShillerandWeiss[1999]pointedderivativestrading.r.tunani@city.ac.ukout,thischaracteristicposesgreaterriskforTheintr
