Study on Dynamic Real Estate Optimal Portfolio Model under VaR Constraint

被引：0

作者：

Zhang, Hai-yan ^{[1
]}

机构：

[1] Zhengzhou Inst Aeronaut Ind Management, Coll Civil Engn & Architecture, Zhengzhou, Henan, Peoples R China

来源：

2011 INTERNATIONAL CONFERENCE ON ECONOMIC, EDUCATION AND MANAGEMENT (ICEEM2011), VOL II | 2011年

关键词：

Risk; VaR; Real estate; Portfolio; effective frontier;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Dynamic real estate optimal portfolio is an effective way and means to spread risk. The article analyses the risk of real estate portfolio using VaR, and on the basis of this, establishes the VaR constrained optimization model of real estate dynamic portfolio, in addition, arrives its efficient frontier and optimal strategy. Furthermore, the paper illustrate the using of the model through a real estate investment case.

引用

页码：226 / 228

页数：3

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