Expert system portfolios of Australian and UK securitised property investments

Ellis, C; Wilson, PJ

Expert system portfolios of Australian and UK securitised property investments

Ellis, C Wilson, PJ

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Publisher:: Pacific Rim Real Estate Society (PRRES)
Publication Type:: Journal Article
Citation:: Pacific Rim Property Research Journal, 2006, 12 (1), pp. 107 - 127
Issue Date:: 2006-01

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Field	Value	Language
dc.contributor.author	Ellis, C	en_US
dc.contributor.author	Wilson, PJ	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	Pacific Rim Property Research Journal, 2006, 12 (1), pp. 107 - 127	en_US
dc.identifier.uri	http://hdl.handle.net/10453/6428
dc.description.abstract	This paper examines whether a rule-based expert system is capable of outperforming the general property market, as well as randomly constructed portfolios from the market. While neural network expert systems have been used in property research, there appears little in the literature on the application of rule-based expert systems. Secondly, the paper considers whether there are benefits to international investment in real estate securities. The perspective of the analysis is that of an Australian investor investing in both the domestic market and the UK property market. Several results ensue including the failure of the rule-based system to significantly outperform the market or the random portfolios on a risk-adjusted returns basis, and the failure of hedging to secure a positive rate of return to the portfolio.	en_US
dc.publisher	Pacific Rim Real Estate Society (PRRES)	en_US
dc.relation.ispartof	Pacific Rim Property Research Journal	en_US
dc.title	Expert system portfolios of Australian and UK securitised property investments	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	12	en_US
utslib.for	1504 Commercial Services	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.issue	1	en_US
pubs.volume	12	en_US

Abstract:

This paper examines whether a rule-based expert system is capable of outperforming the general property market, as well as randomly constructed portfolios from the market. While neural network expert systems have been used in property research, there appears little in the literature on the application of rule-based expert systems. Secondly, the paper considers whether there are benefits to international investment in real estate securities. The perspective of the analysis is that of an Australian investor investing in both the domestic market and the UK property market. Several results ensue including the failure of the rule-based system to significantly outperform the market or the random portfolios on a risk-adjusted returns basis, and the failure of hedging to secure a positive rate of return to the portfolio.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/6428