Optimal Structure of Real Estate Portfolio Using EVA: A Stochastic Markowitz Model Using Data from Greek Real Estate Market

The purpose of this paper is to examine the issue portfolio optimization. Optimization consists minimizing risk for a given rate return or achieving bigger level risk. We use historical data from Bank Greece calculate net and standard deviation (std) each type property that available. objective maximize economic value added (EVA) property’s assets under specific deviation, following classic Markowitz model (M-V). stochastic procedure entry in uses Monte Carlo Simulation method with debt equity (DTE) PERT distribution portfolio’s invested budget, normal mean expected std are taken data, correspondingly. returns verify they follow base assumption normality through Lilliefors test Greek real estate market. observe maximization EVA maximizing concurrently, but diversified minimization max weight residential asset takes 22.7% because percent reduces both std. study provides an explicit optimization uncertainty market enriches academic debate about revenue.