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Une reformulation informationnelle de l'indice de ventes répétées - Applications et conséquences pour la mesure du prix de marché de l'immobilier

Abstract : Real estate is becoming more and more a financial asset. Nowadays it fully appears as an
asset class like stocks or bonds. But once this diagnosis is layed down, how can we work
with this illiquid, heterogenous and recalcitrant asset ? Real estate indexes bring some
elements, especially for portfolio management, risk management and mortgages. In this
dissertation we redevelop and deepen the repeat-sales framework of Case and Shiller,
making it easier to interpret financially, easier to handle and more intuitive. We study the
theoretical link between the price indexes and the repeat-sales index (RSI). We present a
methodology of data analysis which, thanks to various indicators, allows a better
exploitation of the information embedded in a dataset, compared to the computation of
the single index values usually realised. We also study the sensibility, the volatility of the
RSI and the problem of the two populations. We develop a quantification process of the
reversibility phenomenon and discuss the possibility to price derivatives written on a real
estate index. Finally, this work ends up with the introduction of the concept of
informational index, where the crucial question for every index computation in a
heterogeneous and illiquid market is formulated : How can information be quantified ?
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Submitted on : Thursday, May 31, 2007 - 11:55:48 PM
Last modification on : Wednesday, October 14, 2020 - 3:58:12 AM
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  • HAL Id : tel-00150905, version 1

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Arnaud Simon. Une reformulation informationnelle de l'indice de ventes répétées - Applications et conséquences pour la mesure du prix de marché de l'immobilier. Mathématiques [math]. Université Paris Dauphine - Paris IX, 2006. Français. ⟨tel-00150905⟩

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