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Working Papers (2007), ESSEC Business School

Optimal Holding Period for a Real Estate Portfolio


This paper considers the use of simulated cash flows to determine the optimal holding period of a real estate portfolio to maximize its present value. The traditional DCF approach with an estimation of the resale value through a growth rate of the future cash flow does not let appear this optimum. However, if the terminal value is calculated from the trend of a diffusion process of the price, an optimum may appear under certain conditions. Finally we consider the sensitivity of the present value to the different parameters involved in the cash flow estimations.

BARONI, M., BARTHELEMY, F. and MOKRANE, M. (2007). Optimal Holding Period for a Real Estate Portfolio. ESSEC Business School.

Keywords : #Durée-de-détention, #Gestion-de-portefeuille-immobilier, #Simulations-de-cash, #flows