書誌事項
- タイトル別名
-
- Literature Review of Methodology for Portfolio Selection with Real Estate as Illiquid Asset Class
抄録
This paper conducts an extensive literature review with regards to long-term portfolio selection that includes real estate as an illiquid asset class, particularly from methodological perspective. The paper summarizes two main points. First, illiquidity holds significant investment risks in portfolio selection and cannot be ignored. Illiquidity of real estate is a combination of various factors, making it difficult to find out optimal asset allocation. Second, long-term investment horizon and dynamics of investor’s environment have not been addressed yet. Most of the existing literature is significantly dependent on a single period model that does not quite reflect actual situations of investors with changing environment. Recent studies started to realize the importance of the longer-term approach that better reflects, although their methods are merely an extension of the single period mean variance analysis. This paper concludes a need for conducting portfolio research with dynamic programming that better reflects the illiquidity and long-term investment horizon.
収録刊行物
-
- 麗澤大学経済社会総合研究センター Working Paper
-
麗澤大学経済社会総合研究センター Working Paper 69 1-21, 2015-06-19
RIPESS麗澤大学経済社会総合研究センター
- Tweet
詳細情報 詳細情報について
-
- CRID
- 1390290700383220096
-
- NII論文ID
- 120005620633
-
- 本文言語コード
- ja
-
- データソース種別
-
- JaLC
- IRDB
- CiNii Articles
-
- 抄録ライセンスフラグ
- 使用可