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dc.contributor.advisorDavid M. Geltner.en_US
dc.contributor.authorMa, Jia, S.M. Massachusetts Institute of Technologyen_US
dc.contributor.otherMassachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development.en_US
dc.date.accessioned2010-05-25T19:20:51Z
dc.date.available2010-05-25T19:20:51Z
dc.date.copyright2009en_US
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/1721.1/54859
dc.descriptionThesis (S.M.)--Massachusetts Institute of Technology, Program in Real Estate Development in Conjunction with the Center for Real Estate, 2009.en_US
dc.descriptionThis electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.en_US
dc.descriptionCataloged from student submitted PDF version of thesis.en_US
dc.descriptionIncludes bibliographical references (p. 65).en_US
dc.description.abstractThis thesis examines how the basis risk affects property derivative hedging in the UK market, based on the tracking error (basis risk) report from the Investment Property Forum study in 2007 (the IPF Study). The thesis first analyzes the risks relevant to hedging and defines the basis risk. Considering hedgers with different objectives measure hedging efficiency differently, this thesis divides the hedging users into two major categories: β-Avoidance hedgers and a-Usage hedgers. Each of these has two sub-ordinate groups. In order to quantify the basis-risk influences on hedging, a Monte Carlo simulation designed for short contract of the swap is used. Basis risks of portfolios with different sizes are selected from the IPF Study. To shed light on different hedging uses, three scenarios are tested based on different assumptions on the expected alpha and leverage. Other relevant elements are also studied, such as the price of the debt and the swap. The analysis results in a useful reference for investors who are interested in eliminating portfolio risks with hedging strategies. In the end, the thesis suggests avenues for the further study.en_US
dc.description.statementofresponsibilityby Jia Ma.en_US
dc.format.extent73 p.en_US
dc.language.isoengen_US
dc.publisherMassachusetts Institute of Technologyen_US
dc.rightsM.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.en_US
dc.rights.urihttp://dspace.mit.edu/handle/1721.1/7582en_US
dc.subjectCenter for Real Estate. Program in Real Estate Development.en_US
dc.titleBasis risk and property derivative hedging in the UK : implications of the 2007 IPF Study of tracking erroren_US
dc.typeThesisen_US
dc.description.degreeS.M.en_US
dc.contributor.departmentMassachusetts Institute of Technology. Center for Real Estate. Program in Real Estate Development.en_US
dc.contributor.departmentMassachusetts Institute of Technology. Center for Real Estate
dc.identifier.oclc609672230en_US


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