Essec\Faculty\Model\Contribution {#2233
  #_index: "academ_contributions"
  #_id: "807"
  #_source: array:26 [
    "id" => "807"
    "slug" => "combining-monte-carlo-simulations-and-options-to-manage-the-risk-of-real-estate-portfolios"
    "yearMonth" => "2013-06"
    "year" => "2013"
    "title" => "Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios"
    "description" => "AMEDEE-MANESME, C.O., BARTHELEMY, F., BARONI, M. et DUPUY, E. (2013). Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios. <i>Journal of Property Investment and Finance</i>, 31(4), pp. 360-389."
    "authors" => array:4 [
      0 => array:2 [
        "name" => "BARTHELEMY Fabrice"
        "bid" => "B00006901"
      ]
      1 => array:3 [
        "name" => "BARONI Michel"
        "bid" => "B00000023"
        "slug" => "baroni-michel"
      ]
      2 => array:1 [
        "name" => "AMEDEE-MANESME C.-O."
      ]
      3 => array:1 [
        "name" => "DUPUY E."
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:6 [
      0 => "Break options"
      1 => "Évaluation de portefeuilles immobiliers"
      2 => "Gestion du risque"
      3 => "Mesure du risque"
      4 => "Simulation de Monte-Carlo"
      5 => "Structure des baux"
    ]
    "updatedAt" => "2021-07-13 14:30:04"
    "publicationUrl" => "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2332033"
    "publicationInfo" => array:3 [
      "pages" => "360-389"
      "volume" => "31"
      "number" => "4"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Cet article vise à montrer que l'évaluation de portefeuilles immobiliers peut être sensiblement plus juste si l'on utilise simultanément des simulations de Monte Carlo et la théorie des options. La méthode proposée étudie les options présentes dans le contrat de bail en Europe continentale qui permettent au locataire de quitter les lieux avant la fin du contrat. La méthode de Monte Carlo pour simuler les prix de marché et les valeurs locatives sont combinées à un modèle d'options qui prend en considération le comportement rationnel du locataire. Les principales conclusions montrent que les prévisions de cash flows incorporant de telles options sont plus fiables que celles que l'on calcule par la méthode traditionnelle des DCF. De plus, cette approche fournit une mesure intéressante de la distribution des cash flows. L'originalité de cette recherche repose sur la possibilité de prendre en compte la structure du bail."
      "en" => "This paper aims to show that the accuracy of real estate portfolio valuations and of real estate risk management can be improved through the simultaneous use of Monte Carlo simulations and options theory. The authors’ method considers the options embedded in Continental European lease contracts drawn up with tenants who may move before the end of the contract. The authors combine Monte Carlo simulations for both market prices and rental values with an optional model that takes into account a rational tenant’s behavior. They analyze how the options significantly affect the owner’s income. The authors’ main findings are that simulated cash flows which take account of such options are more reliable that those usually computed by the traditional method of discounted cash flow. Some limitations are inherent to the authors’ model: these include the assumption of the rationality of tenant’s decisions and the difficulty of calibrating the model given the lack of data in many markets. The main contribution of the paper is both by accounting for market risk (Monte Carlo simulations for the prices and market rental values) and for accounting for the idiosyncratic risk (the leasing risk)."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d'Information, Data Analytics et Opérations"
      "en" => "Information Systems, Data Analytics and Operations"
    ]
    "indexedAt" => "2024-12-21T18:21:44.000Z"
    "docTitle" => "Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios"
    "docSurtitle" => "Articles"
    "authorNames" => "BARTHELEMY Fabrice, <a href="/cv/baroni-michel">BARONI Michel</a>, AMEDEE-MANESME C.-O., DUPUY E."
    "docDescription" => "<span class="document-property-authors">BARTHELEMY Fabrice, BARONI Michel, AMEDEE-MANESME C.-O., DUPUY E.</span><br><span class="document-property-authors_fields">Systèmes d'Information, Data Analytics et Opérations</span> | <span class="document-property-year">2013</span>"
    "keywordList" => "<a href="#">Break options</a>, <a href="#">Évaluation de portefeuilles immobiliers</a>, <a href="#">Gestion du risque</a>, <a href="#">Mesure du risque</a>, <a href="#">Simulation de Monte-Carlo</a>, <a href="#">Structure des baux</a>"
    "docPreview" => "<b>Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios</b><br><span>2013-06 | Articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2332033" target="_blank">Combining Monte Carlo Simulations and Options to Manage the Risk of Real Estate Portfolios</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 8.042235
  +"parent": null
}