Title :
Risk Analysis on Dynamic and Optimal Portfolio in Real Estate under VaR Constraint
Author_Institution :
Civil Eng. & Archit. Dept., Zhengzhou Inst. of Aeronaut. Ind. Manage., Zhengzhou, China
Abstract :
The real estate portfolio is a dynamic process and an effective way to spread risk. The article analyses the risk of real estate portfolio using VaR method, and on the basis of this, establishes an optimization model for real estate portfolio under VaR constraint, in addition, arrives its efficient frontier and optimal strategy. Finally, through a case of real estate portfolio, the paper also discusses the risk dispersing and restricting effect of VaR constraint on real estate portfolio.
Keywords :
financial management; optimisation; real estate data processing; risk management; VaR constraint; dynamic process; optimal strategy; optimization; real estate portfolio; restricting effect; risk dispersing; Analytical models; Biological system modeling; Investments; Mathematical model; Optimization; Portfolios; Risk analysis;
Conference_Titel :
Management and Service Science (MASS), 2010 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-5325-2
Electronic_ISBN :
978-1-4244-5326-9
DOI :
10.1109/ICMSS.2010.5577636
