Commercial real estate return distributions: a review of literature and empirical evidence

This paper review the literature on the distribution of commercial real estate returns. There is growing evidence that the assumption of normality in returns is not safe. Distributions are found to be peaked, fat-tailed and, tentatively, skewed. There is some evidence of compound distributions and non-linearity. Public traded real estate assets (such as property company or REIT shares) behave in a fashion more similar to other common stocks. However, as in equity markets, it would be unwise to assume normality uncritically. Empirical evidence for UK real estate markets is obtained by applying distribution fitting routines to IPD Monthly Index data for the aggregate index and selected sub-sectors. It is clear that normality is rejected in most cases. It is often argued that observed differences in real estate returns are a measurement issue resulting from appraiser behaviour. However, unsmoothing the series does not assist in modelling returns. A large proportion of returns are close to zero. This would be characteristic of a thinly-traded market where new information arrives infrequently. Analysis of quarterly data suggests that, over longer trading periods, return distributions may conform more closely to those found in other asset markets. These results have implications for the formulation and implementation of a multi-asset portfolio allocation strategy.

Padrões de aleatoriedade na modelação do acaso

A soma de variáveis aleatórias com número de parcelas é aleatório, para além do evidente interesse conceptual e teórico, tem larga ressonância na investigação do processo de risco e em processos de ramificação. Reformulamos a teoria de Panjer (1981), que permite o cálculo iterativo do risco agregado, com o recurso a valores médios de uniformes, descrevendo uma extensão da classe de Panjer, e estudando em detalhe a equação funcional que a caracteriza. Aplicamos essas ideias na caracterização de aleatoriedade discreta, exemplificando com o comportamento das fêmeas de pássaros que investem na promiscuidade de parceiros para garantir a diversidade genética da progénie, tendo no entanto o cuidado de manter as aparências de fidelidade, para garantir a cooperação do parceiro no sucesso da ninhada. Apresentamos as transformadas de Laplace e funções geradoras numa perspectiva que leva a uma introdção natural de transformadas de Pareto, cuja relevância exemplificamos.

On the Poisson Process of Order k Space

2010 Mathematics Subject Classification: 60E05, 62P05.

Compound specific D/H ratios and molecular distributions of higher plant leaf waxes as novel pale oenvironmental indicators in the Chinese Loess Plateau

IEECAS SKLLQG

A compound class of Weibull and power series distributions

In this paper we introduce the Weibull power series (WPS) class of distributions which is obtained by compounding Weibull and power series distributions where the compounding procedure follows same way that was previously carried out by Adamidis and Loukas (1998) This new class of distributions has as a particular case the two-parameter exponential power series (EPS) class of distributions (Chahkandi and Gawk 2009) which contains several lifetime models such as exponential geometric (Adamidis and Loukas 1998) exponential Poisson (Kus 2007) and exponential logarithmic (Tahmasbi and Rezaei 2008) distributions The hazard function of our class can be increasing decreasing and upside down bathtub shaped among others while the hazard function of an EPS distribution is only decreasing We obtain several properties of the WPS distributions such as moments order statistics estimation by maximum likelihood and inference for a large sample Furthermore the EM algorithm is also used to determine the maximum likelihood estimates of the parameters and we discuss maximum entropy characterizations under suitable constraints Special distributions are studied in some detail Applications to two real data sets are given to show the flexibility and potentiality of the new class of distributions (C) 2010 Elsevier B V All rights reserved

Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility

We characterize the value function of maximizing the total discounted utility of dividend payments for a compound Poisson insurance risk model when strictly positive transaction costs are included, leading to an impulse control problem. We illustrate that well known simple strategies can be optimal in the case of exponential claim amounts. Finally we develop a numerical procedure to deal with general claim amount distributions.

Étude empirique de distributions associées à la Fonction de Pénalité Escomptée

On présente une nouvelle approche de simulation pour la fonction de densité conjointe du surplus avant la ruine et du déficit au moment de la ruine, pour des modèles de risque déterminés par des subordinateurs de Lévy. Cette approche s'inspire de la décomposition "Ladder height" pour la probabilité de ruine dans le Modèle Classique. Ce modèle, déterminé par un processus de Poisson composé, est un cas particulier du modèle plus général déterminé par un subordinateur, pour lequel la décomposition "Ladder height" de la probabilité de ruine s'applique aussi. La Fonction de Pénalité Escomptée, encore appelée Fonction Gerber-Shiu (Fonction GS), a apporté une approche unificatrice dans l'étude des quantités liées à l'événement de la ruine été introduite. La probabilité de ruine et la fonction de densité conjointe du surplus avant la ruine et du déficit au moment de la ruine sont des cas particuliers de la Fonction GS. On retrouve, dans la littérature, des expressions pour exprimer ces deux quantités, mais elles sont difficilement exploitables de par leurs formes de séries infinies de convolutions sans formes analytiques fermées. Cependant, puisqu'elles sont dérivées de la Fonction GS, les expressions pour les deux quantités partagent une certaine ressemblance qui nous permet de nous inspirer de la décomposition "Ladder height" de la probabilité de ruine pour dériver une approche de simulation pour cette fonction de densité conjointe. On présente une introduction détaillée des modèles de risque que nous étudions dans ce mémoire et pour lesquels il est possible de réaliser la simulation. Afin de motiver ce travail, on introduit brièvement le vaste domaine des mesures de risque, afin d'en calculer quelques unes pour ces modèles de risque. Ce travail contribue à une meilleure compréhension du comportement des modèles de risques déterminés par des subordinateurs face à l'éventualité de la ruine, puisqu'il apporte un point de vue numérique absent de la littérature.

A relationship between aerosol transport and compound-specific d13C land plant biomarker and pollen records

We examined near-surface, late Holocene deep-sea sediments at nine sites on a north-south transect from the Congo Fan (4°S) to the Cape Basin (30°S) along the Southwest African continental margin. Contents, distribution patterns and molecular stable carbon isotope signatures of long-chain n-alkanes (C27-C33) and n-alkanols (C22-C32) are indicators of land plant vegetation of different biosynthetic types, which can be correlated with concentrations and distributions of pollen taxa in the same sediments. Calculated clusters of wind trajectories and satellite Aerosol Index imagery afford information on the source areas for the lipids and pollen on land and their transport pathways to the ocean sites. This multidisciplinary approach on an almost continental scale provides clear evidence of latitudinal differences in lipid and pollen composition paralleling the major phytogeographic zonations on the adjacent continent. Dust and smoke aerosols are mainly derived from the western and central South African hinterland dominated by deserts, semi-deserts and savannah regions rich in C4 and CAM plants. The northern sites (Congo Fan area and northern Angola Basin), which get most of their terrestrial material from the Congo Basin and the Angolan highlands, may also receive some material from the Chad region. Very little aerosol from the African continent is transported to the most southerly sites in the Cape Basin. As can be expected from the present position of the phytogeographic zones, the carbon isotopic signatures of the n-alkanes and n-alkanols both become isotopically more enriched in 13C from north to south. The results of the study suggest that this combination of pollen data and compound-specific isotope geochemical proxies can be effectively applied in the reconstruction of past continental phytogeographic developments.

Stable carbon isotopes, Methane Index, and distributions of different GDGTs

Gas hydrates represent one of the largest pools of readily exchangeable carbon on Earth's surface. Releases of the greenhouse gas methane from hydrates are proposed to be responsible for climate change at numerous events in geological history. Many of these inferred events, however, were based on carbonate carbon isotopes which are susceptible to diagenetic alterations. Here we propose a molecular fossil proxy, i.e., the "Methane Index (MI)", to detect and document the destabilization and dissociation of marine gas hydrates. MI consists of the relative distribution of glycerol dibiphytanyl glycerol tetraethers (GDGTs), the core membrane lipids of archaea. The rational behind MI is that in hydrate-impacted environments, the pool of archaeal tetraether lipids is dominated by GDGT-1, -2 and -3 due to the large contribution of signals from the methanotrophic archaeal community. Our study in the Gulf of Mexico cold-seep sediments demonstrates a correlation between MI and the compound-specific carbon isotope of GDGTs, which is strong evidence supporting the MI-methane consumption relationship. Preliminary applications of MI in a number of hydrate-impacted and/or methane-rich environments show diagnostic MI values, corroborating the idea that MI may serve as a robust indicator for hydrate dissociation that is useful for studies of global carbon cycling and paleoclimate change.

The distributions, C- and O-isotopic compositions, and frequency of giant-ooids

Early Triassic oceans were characterized by deposition of a number of "anachronistic facies", including microbialites, seafloor carbonate cement fans, and giant ooids. Giant ooids were particularly prevalent in Lower Triassic sections across South China and exhibit unusual features that may provide insights into marine environmental conditions following the end-Permian mass extinction. The section at Moyang (Guizhou Province) contains abundant giant ooids ranging in size between 2 and 6 mm (maximum 12 mm) and exhibiting various cortical structures, including regular, deformed, compound, regenerated and "domed". Preservation of ooid cortical structure is generally good as indicated by petrographic observations, and trace element and carbon isotope analyses suggest that diagenesis occurred in a closed diagenetic system. All ooids exhibit fine concentric laminae, frequently alternating between light-colored coarsely crystalline and dark-colored finely crystalline layers probably reflecting variation in organic content or original mineralogy. Under scanning electron microscope, biomineralized filaments or biofilms and tiny carbonate fluorapatite (CFA) crystals are commonly found in the finely crystalline layers. We infer that the precipitation of CFA was related to adsorption of P via microbial activity on the surfaces of ooids following episodic incursions of deep waters rich in carbon dioxide, hydrogen sulfide and phosphate into shallow-marine environments. Giant ooid precipitation may have been promoted in shallow ramp settings during these events by increased watermass agitation and supersaturation with respect to calcium carbonate, as well as reduced carbonate removal rates through biotic skeletal formation. Spatio-temporal distribution data reveal that giant ooids were widespread in the Tethyan region during the Early Triassic, and that they were most abundant immediately after the end-Permian crisis and disappeared gradually as metazoans repopulated marine environments.

n-Alkane content and compound-specific d13C values of soil samples, river samples, and marine surface samples

Southwestern Africa's coastal marine mudbelt, a prominent Holocene sediment package, provides a valuable archive for reconstructing terrestrial palaeoclimates on the adjacent continent. While the origin of terrestrial inorganic material has been intensively studied, the sources of terrigenous organic material deposited in the mudbelt are yet unclear. In this study, plant wax derived n-alkanes and their compound-specific d13C in soils, flood deposits and suspension loads from regional fluvial systems and marine sediments are analysed to characterize the origin of terrestrial organic material in the southwest African mudbelt. Soils from different biomes in the catchments of the Orange River and small west coast rivers show on average distinct n-alkane distributions and compound-specific d13C values reflecting biome-specific vegetation types, most notably the winter rainfall associated Fynbos Biome of the southwestern Cape. In the fluvial sediment samples from the Orange River, changes in the n-alkane distributions and compound-specific d13C compositions reveal an overprint by local vegetation along the river's course. The smaller west coast rivers show distinct signals, reflecting their small catchment areas and particular vegetation communities. Marine surface sediments spanning a transect from the northern mudbelt (29°S) to St. Helena Bay (33°S) reveal subtle, but spatially coherent, changes in n-alkane distributions and compound-specific d13C, indicating the influence of Orange River sediments in the northern mudbelt, the increasing importance of terrigenous input from the adjacent western coastal biomes in the central mudbelt, and contributions from the Fynbos Biome to the southern mudbelt. These findings indicate the different sources of terrestrial organic material deposited in the mudbelt, and highlight the potential the mudbelt has to preserve evidence of environmental change from the adjacent continent.