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Research Articles

Calibrating the Inputs of Optimal Portfolios using CME Housing Futures

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Pages 231-238 | Published online: 18 Jun 2020

  • Cao, M. and J. Wei. Valuation of Housing Index Derivatives. Journal of Futures Markets, 2010, 30:7, 660-88. Valuation of Housing Index Derivatives Journal of Futures Markets 30 660 88
  • Poterba, J.M. Tax Subsidies to Owner-Occupied Housing: An Asset-Market Approach. Quarterly Journal of Economics, 1984, 99:4, 729-52. Tax Subsidies to Owner-Occupied Housing: An Asset-Market Approach Quarterly Journal of Economics 99 729 52
  • Poterba, J.M. House Price Dynamics: The Role of Tax Policy and Demography. Brookings Papers on Economic Activity, 1991, 1991:2, 143-203. House Price Dynamics: The Role of Tax Policy and Demography Brookings Papers on Economic Activity 1991 143 203
  • Scholes, M. and J. Williams. Estimating Betas from Nonsynchronous Data. Journal of Financial Economics, 1977, 5, 309-27. Estimating Betas from Nonsynchronous Data Journal of Financial Economics 5 309 27
  • Sinai, T. and N.S. Souleles. Owner-Occupied Housing as a Hedge against Rent Risk. Quarterly Journal of Economics, 2005, 120:2, 763-89. Owner-Occupied Housing as a Hedge against Rent Risk Quarterly Journal of Economics 120 763 89
  • Voicu, C. and M.J. Seiler. Deriving Optimal Portfolios for Hedging Housing Risk. Journal of Real Estate Finance and Economics, 2012, forthcoming. Deriving Optimal Portfolios for Hedging Housing Risk Journal of Real Estate Finance and Economics

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