?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F241%2F&rft.title=Estimating+the+volatility+of+property+assets&rft.creator=Dewynne%2C+Jeff&rft.creator=Fischer%2C+Tom&rft.creator=Howison%2C+Sam&rft.creator=Kulesza%2C+Kamil&rft.creator=Lacey%2C+Andrew&rft.creator=Piwarska%2C+Karina&rft.creator=Wilkie%2C+David&rft.creator=Zyskin%2C+Maxim&rft.creator=MacDonald%2C+Angus&rft.subject=Finance&rft.description=When+an+investor+is+allocating+assets+between+equities%2C+bonds+and+property%2C+this+allocation+needs+to+provide+a+portfolio+with+an+appropriate+risk%2Freturn+trade-off%3A+for+instance%2C+a+pension+scheme+may+prefer+a+robust+portfolio+that+holds+its+aggregate+value+in+a+number+of+different+situations.+In+order+to+do+this%2C+some+estimate+needs+to+be+made+of+the+volatility+or+uncertainty+in+the+property+assets%2C+in+order+to+use+that+in+the+same+way+as+the+volatilities+of+equities+and+bonds+are+used+in+the+allocation.+However%2C+property+assets+are+only+valued+monthly+or+quarterly+(and+are+sold+only+rarely)+whereas+equities+and+bonds+are+priced+continuously+and+recorded+daily.%0D%0A%0D%0ACurrently+many+actuaries+may+assume+that+the+volatility+of+property+assets+is+between+those+of+equities+and+bonds%2C+but+without+quantifying+it+from+real+data.+The+challenge+for+the+Study+Group+is+to+produce+a+model+for+estimating+the+volatility+or+uncertainty+in+property+asset+values%2C+for+use+in+portfolio+planning.+The+Study+Group+examined+contexts+for+the+use+of+volatility+estimates%2C+particularly+in+relation+to+solvency+calculations+as+required+by+the+Financial+Services+Authority%2C+fund+trustees+and+corporate+boards%2C+and+it+proposed+a+number+of+possible+approaches.+This+report+summarises+that+work%2C+and+it+suggests+directions+for+further+investigation.&rft.date=2008&rft.type=Study+Group+Report&rft.type=NonPeerReviewed&rft.format=application%2Fpdf&rft.language=en&rft.identifier=http%3A%2F%2Fmiis.maths.ox.ac.uk%2Fmiis%2F241%2F1%2FESGI2008ReportActuarial.pdf&rft.identifier=++Dewynne%2C+Jeff+and+Fischer%2C+Tom+and+Howison%2C+Sam+and+Kulesza%2C+Kamil+and+Lacey%2C+Andrew+and+Piwarska%2C+Karina+and+Wilkie%2C+David+and+Zyskin%2C+Maxim+and+MacDonald%2C+Angus++(2008)+Estimating+the+volatility+of+property+assets.++%5BStudy+Group+Report%5D+++++