글로벌 혼합부동산펀드의 최적포트폴리오 구성에 관한 연구: 한국과 미국의 부동산 및 주식, 채권을 중심으로 = A Study on the Optimal Global Mixed-Asset Portfolio Including Real Estate: Focused on U.S. and Korean Stocks, Bonds and Real Estates

다국어 초록 (Multilingual Abstract)

Real Estate Fund (hereinafter REF) served as a momentum to increase investment on office real estate market and real estate development businesses. Due to the explosive increasing of assets under management, Institutional investors are expanding their investment on real estates abroad not only for vertical diversification but also for geographical diversification of investment portfolios. In this study, I tried to verify the excellent performance of global mixed-asset portfolio by using objective time series data and find some possibility of developing global mixed-asset portfolio. The performance of portfolios measured by the Sharpe ratio, suitable to measure the risk-adjusted return of portfolios not diversified well. In order to achieve this object, first, I derived the global real estate portfolio from the investment returns data of each real estate assets. As a result, (Off_Kor, Off_US, Retail_Kor, Retail_US) = (60%, 20%, 10%, 10%) was the optimized proportion to make the global real estate optimum portfolio measured by Sharpe ratio. And it could be shown that there is a significant investment diversification effect especially in the aspect of geographical diversification. And then, I tried to derive the optimum global mixed-asset portfolio by comprising the global real estate portfolio and financial assets such as stocks or bonds in Korea and US. But the portfolio without those financial assets showed the highest Sharpe ratio. From this result, it could be presumed that the risk-adjusted investment return of real estate is overestimated and there are two possible causes. The one is smoothing effect of the appraisal data of investment return on real estate assets. And the other is that Sharpe ratio could be more favorable criterion to real estate assets than other financial assets because it is a risk-neutral measure.

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