Estimating the volatility of property assets

When an investor is allocating assets between equities, bonds and property, this allocation needs to provide a portfolio with an appropriate risk/return trade-off: for instance, a pension scheme may prefer a robust portfolio that holds its aggregate value in a number of different situations. In order to do this, some estimate needs to be made of the volatility or uncertainty in the property assets, in order to use that in the same way as the volatilities of equities and bonds are used in the allocation. However, property assets are only valued monthly or quarterly (and are sold only rarely) whereas equities and bonds are priced continuously and recorded daily. Currently many actuaries may assume that the volatility of property assets is between those of equities and bonds, 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, for use in portfolio planning. The Study Group examined contexts for the use of volatility estimates, particularly in relation to solvency calculations as required by the Financial Services Authority, fund trustees and corporate boards, and it proposed a number of possible approaches. This report summarises that work, and it suggests directions for further investigation

Contextual influences on social enterprise management in rural and urban communities

The idea that difference exists between rural and urban enterprise activity is not new, the obvious comparators are measures such as social architecture, resource availability and accessibility. However, when the concept and practice of management in social enterprise is compared in these two contexts then there is opportunity to further our understanding of the contextual challenges encountered by social enterprise. In this paper six cases studies are compared and analysed: three cases are urban social enterprises and three classified as remote rural social enterprises. The urban cases are social enterprises located around Glasgow in the west of Scotland and are compared with three remote rural location studies, one on the Scottish mainland peninsula, the other in northern Scotland and the final case on a Scottish western island. We conclude that the main differences between remote rural and urban management of social enterprise are heavily nuanced by in-migration levels in both rural and urban locations, leadership and community needs and therefore deserving of context relevant policy

A Conversation with Eric Ghysels

Published in Econometric Theory, 2012, https://doi.org/10.1017/S026646661100017X</p