2 research outputs found
A Real Options Model with Games Applied to the Rio de Janeiro Residential Real Estate Market
Purpose – To determine the optimal investment strategy in Nash
equilibrium for the residential real estate market of Rio de Janeiro,
considering the uncertainty in the demand for real estate and the
number of active competitors in the market.
Design/methodology/approach – A Real Options Game model
was developed. The parameters of the model were estimated with
econometric tools using data from the Rio de Janeiro real estate market.
Findings – The quantitative results obtained are intuitive in the sense
that the larger the number of competitors, the lower the level of demand
required for investment in new units, whereas the greater the volatility
of demand, the greater the demand threshold for the investment to
be optimal.
Originality/value – This study modified the methodology of Grenadier
(2002), providing a more adequate and robust specification of the
uncertainty for the demand function, thus allowing more intuitive
economic interpretations
Um modelo de opções reais com jogos aplicado ao mercado imobiliário residencial do Rio de Janeiro
Purpose – To determine the optimal investment strategy in Nash equilibrium for the residential real estate market of Rio de Janeiro, considering the uncertainty in the demand for real estate and the number of active competitors in the market.
Design/methodology/approach – A Real Options Game model was developed. The parameters of the model were estimated with econometric tools using data from the Rio de Janeiro real estate market.
Findings – The quantitative results obtained are intuitive in the sense that the larger the number of competitors, the lower the level of demand required for investment in new units, whereas the greater the volatility of demand, the greater the demand threshold for the investment to be optimal.
Originality/value – This study modified the methodology of Grenadier (2002), providing a more adequate and robust specification of the uncertainty for the demand function, thus allowing more intuitive economic interpretations.Objetivo – Determinar a estratégia ótima de investimento em equilÃbrio
de Nash para o mercado imobiliário residencial do Rio de Janeiro,
considerando a incerteza na demanda por imóveis e o número de
concorrentes ativos no mercado.
Metodologia – Foi desenvolvido um modelo de jogos de opções
reais. Os parâmetros do modelo foram estimados com ferramentas
econométricas a partir de dados reais do mercado imobiliário carioca.
Resultados – Os resultados quantitativos obtidos são intuitivos no
sentido de que, quanto maior a quantidade de concorrentes, menor o
nÃvel de demanda exigido para o investimento em novas unidades, e
quanto maior a volatilidade da demanda, maior o nÃvel de demanda
para ser ótimo o investimento.
Contribuições – Este trabalho modificou a metodologia de Grenadier
(2002), fornecendo uma especificação mais adequada e robusta
da incerteza para a função de demanda, permitindo interpretações
econômicas mais intuitivas