| 基于VaR的房地产投资组合模型设计与应用 |
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| 引用本文： | 杨楠,邢力聪.基于VaR的房地产投资组合模型设计与应用[J].数理统计与管理,2007,26(5):858-866. |
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| 作者姓名： | 杨楠 邢力聪 |
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| 作者单位： | 上海财经大学统计学系,上海,200433 |
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| 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。
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| 关 键 词： | 房地产 投资组合 风险 收益 VaR |
| 文章编号： | 1002-1566（2007）05-0858-09 |
| 修稿时间： | 2006-05-19 |
Design and Application of Real Estate Investment Portflio Model Based on VaR |
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| YANG Nan,XING Li-cong.Design and Application of Real Estate Investment Portflio Model Based on VaR[J].Application of Statistics and Management,2007,26(5):858-866. |
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| Authors: | YANG Nan XING Li-cong |
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| Abstract: | 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. |
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| Keywords: | VaR |
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