摘要
本文以风险和收益的动态刻画为核心,在房地产投资组合中引入基于VaR模型的风险评价,通过资产收益和预提费用在持有期内的现值构造效用函数,建立基于VaR的投资组合优化模型,实现房地产投资的最优组合。对于上海房地产市场两种不同资产进行组合的实证分析表明该模型具有一定的实用性和有效性。
Aimed to depict the dynamic characteristics of the risk and the profit, this paper employs the VaR method to construct a real estate investment portfolio model, among which the utility function makes use of the cash flow and the accrued expense of the asset. The empirical result in Shanghais real estate market demonstrates the strong power of the model. This kind of exploration is valuable to deepen and widen the quantitative analysis of the real estate investment portfolio.
出处
《数理统计与管理》
CSSCI
北大核心
2007年第5期858-866,共9页
Journal of Applied Statistics and Management
关键词
房地产
投资组合
风险
收益
VAR
real estate
investment portfolio
risk
profit
VaR
