The study provides an explicit portfolio optimization procedure under uncertainty in the real estate market and enriches the academic debate about EVA and revenue. We observe that the max weight that a residential asset takes is 22.7% because a bigger percent reduces both mean and std. We observe the maximization of EVA and the expected return maximizing concurrently, but the minimizing risk of EVA is diversified with the minimization of portfolio risk. The returns verify that they follow the base assumption of normality through the Lilliefors test in the Greek real estate market. The stochastic procedure entry in the model uses the Monte Carlo Simulation method with debt to equity (DTE) following PERT distribution for the portfolio’s invested budget, and the net return for the normal distribution with the mean of the expected return and std are taken from historical data, correspondingly. The objective is to maximize the economic value added (EVA) of a property’s assets portfolio under a specific rate of standard deviation, following the classic Markowitz model (M-V). We use historical data from the Bank of Greece to calculate the net return and the standard deviation (std) for each type of property that is available. Optimization consists of minimizing the risk for a given rate of return or achieving a bigger return for a given level of risk. The purpose of this paper is to examine the issue of portfolio optimization.
