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Expert System Portfolios of Australian and UK Securitised Property Investments

Author/s: Craig Ellis, Patrick Wilson

Date Published: 1/01/2006

Published in: Volume 12 - 2006 Issue 1 (pages 107 - 127)

Abstract

This paper examines whether a rule-based expert system is capable of outperforming the general property market, as well as randomly constructed portfolios from the market. While neural network expert systems have been used in property research, there appears little in the literature on the application of rule-based expert systems. Secondly, the paper considers whether there are benefits to international investment in real estate securities. The perspective of the analysis is that of an Australian investor investing in both the domestic market and the UK property market. Several results ensue including the failure of the rule-based system to significantly outperform the market or the random portfolios on a risk-adjusted returns basis, and the failure of hedging to secure a positive rate of return to the portfolio.

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Keywords

Expert System - Hedging - International Investment - Portfolios

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