Risk and Real Estate Investment: An International Perspective

The literature regarding portfolio analysis for institutional real estate investors has until now largely been concerned with benefits associated with naive diversification strategies. In this paper, we discuss the prospects that institutional characteristics suggest for risk reduction in internationally diversified portfolios. The risk/return relationship of each country is affected by its own unique institutional environment and therefore there are potential benefits for investors. We argue that, given the significant differences in the institutional framework across countries, there are likely impacts on returns and that this fact deserves the attention of institutional investors.

Optimal model parameters for multi-objective large-eddy simulations

A methodology is proposed for the assessment of error dynamics in large-eddy simulations. It is demonstrated that the optimization of model parameters with respect to one flow property can be obtained at the expense of the accuracy with which other flow properties are predicted. Therefore, an approach is introduced which allows to assess the total errors based on various flow properties simultaneously. We show that parameter settings exist, for which all monitored errors are "near optimal," and refer to such regions as "multi-objective optimal parameter regions." We focus on multi-objective errors that are obtained from weighted spectra, emphasizing both large- as well small-scale errors. These multi-objective optimal parameter regions depend strongly on the simulation Reynolds number and the resolution. At too coarse resolutions, no multi-objective optimal regions might exist as not all error-components might simultaneously be sufficiently small. The identification of multi-objective optimal parameter regions can be adopted to effectively compare different subgrid models. A comparison between large-eddy simulations using the Lilly-Smagorinsky model, the dynamic Smagorinsky model and a new Re-consistent eddy-viscosity model is made, which illustrates this. Based on the new methodology for error assessment the latter model is found to be the most accurate and robust among the selected subgrid models, in combination with the finite volume discretization used in the present study

Random forests with random projections of the output space for high dimensional multi-label classification

We adapt the idea of random projections applied to the output space, so as to enhance tree-based ensemble methods in the context of multi-label classification. We show how learning time complexity can be reduced without affecting computational complexity and accuracy of predictions. We also show that random output space projections may be used in order to reach different bias-variance tradeoffs, over a broad panel of benchmark problems, and that this may lead to improved accuracy while reducing significantly the computational burden of the learning stage

Leray and LANS-α\alpha modeling of turbulent mixing

Mathematical regularisation of the nonlinear terms in the Navier-Stokes equations provides a systematic approach to deriving subgrid closures for numerical simulations of turbulent flow. By construction, these subgrid closures imply existence and uniqueness of strong solutions to the corresponding modelled system of equations. We will consider the large eddy interpretation of two such mathematical regularisation principles, i.e., Leray and LANS$-\alpha$ regularisation. The Leray principle introduces a {\bfi smoothed transport velocity} as part of the regularised convective nonlinearity. The LANS$-\alpha$ principle extends the Leray formulation in a natural way in which a {\bfi filtered Kelvin circulation theorem}, incorporating the smoothed transport velocity, is explicitly satisfied. These regularisation principles give rise to implied subgrid closures which will be applied in large eddy simulation of turbulent mixing. Comparison with filtered direct numerical simulation data, and with predictions obtained from popular dynamic eddy-viscosity modelling, shows that these mathematical regularisation models are considerably more accurate, at a lower computational cost.Comment: 42 pages, 12 figure