Risk Analysis on Dynamic and Optimal Portfolio in Real Estate under VaR Constraint
Yang Ruo-jing · 2010
The real estate portfolio is a dynamic process and an ffective 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 ddition, 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.