Until recently, most people have invested in a traditional portfolio consisting of stocks, bonds and real estates based on the three-division method of properties in Korea. However, this study analyzed the impact of the composition of a portfolio comb...
다국어 입력
あ
ぁ
か
が
さ
ざ
た
だ
な
は
ば
ぱ
ま
や
ゃ
ら
わ
ゎ
ん
い
ぃ
き
ぎ
し
じ
ち
ぢ
に
ひ
び
ぴ
み
り
う
ぅ
く
ぐ
す
ず
つ
づ
っ
ぬ
ふ
ぶ
ぷ
む
ゆ
ゅ
る
え
ぇ
け
げ
せ
ぜ
て
で
ね
へ
べ
ぺ
め
れ
お
ぉ
こ
ご
そ
ぞ
と
ど
の
ほ
ぼ
ぽ
も
よ
ょ
ろ
を
ア
ァ
カ
サ
ザ
タ
ダ
ナ
ハ
バ
パ
マ
ヤ
ャ
ラ
ワ
ヮ
ン
イ
ィ
キ
ギ
シ
ジ
チ
ヂ
ニ
ヒ
ビ
ピ
ミ
リ
ウ
ゥ
ク
グ
ス
ズ
ツ
ヅ
ッ
ヌ
フ
ブ
プ
ム
ユ
ュ
ル
エ
ェ
ケ
ゲ
セ
ゼ
テ
デ
ヘ
ベ
ペ
メ
レ
オ
ォ
コ
ゴ
ソ
ゾ
ト
ド
ノ
ホ
ボ
ポ
モ
ヨ
ョ
ロ
ヲ
―
http://chineseinput.net/에서 pinyin(병음)방식으로 중국어를 변환할 수 있습니다.
변환된 중국어를 복사하여 사용하시면 됩니다.
예시)
- 中文 을 입력하시려면 zhongwen을 입력하시고 space를누르시면됩니다.
- 北京 을 입력하시려면 beijing을 입력하시고 space를 누르시면 됩니다.
А
Б
В
Г
Д
Е
Ё
Ж
З
И
Й
К
Л
М
Н
О
П
Р
С
Т
У
Ф
Х
Ц
Ч
Ш
Щ
Ъ
Ы
Ь
Э
Ю
Я
а
б
в
г
д
е
ё
ж
з
и
й
к
л
м
н
о
п
р
с
т
у
ф
х
ц
ч
ш
щ
ъ
ы
ь
э
ю
я
′
″
℃
Å
￠
￡
￥
¤
℉
‰
＄
％
Ｆ
￦
㎕
㎖
㎗
ℓ
㎘
㏄
㎣
㎤
㎥
㎦
㎙
㎚
㎛
㎜
㎝
㎞
㎟
㎠
㎡
㎢
㏊
㎍
㎎
㎏
㏏
㎈
㎉
㏈
㎧
㎨
㎰
㎱
㎲
㎳
㎴
㎵
㎶
㎷
㎸
㎹
㎀
㎁
㎂
㎃
㎄
㎺
㎻
㎽
㎾
㎿
㎐
㎑
㎒
㎓
㎔
Ω
㏀
㏁
㎊
㎋
㎌
㏖
㏅
㎭
㎮
㎯
㏛
㎩
㎪
㎫
㎬
㏝
㏐
㏓
㏃
㏉
㏜
㏆
부동산 간접투자상품을 결합한 포트폴리오의 연구 = A Study on the Portfolio Combining Real Estate Indirect Investment Products
한글로보기https://www.riss.kr/link?id=T14934984
- 저자
-
발행사항
전주 : 전주대학교 일반대학원, 2018
-
학위논문사항
학위논문(박사) -- 전주대학교 일반대학원 , 부동산학과 , 2018. 8
-
발행연도
2018
-
작성언어
한국어
- 주제어
-
KDC
327.87 판사항(5)
-
발행국(도시)
전북특별자치도
-
형태사항
vi, 133 p. ; 26cm
-
일반주기명
지도교수: 김종진
참고문헌: p. 127-130 -
UCI식별코드
I804:45016-200000166459
-
소장기관
- 국립중앙도서관
- 전주대학교 도서관
- 국립중앙도서관
-
0
상세조회 -
0
다운로드
인용문이 복사되었습니다.
부가정보
다국어 초록 (Multilingual Abstract)
Until recently, most people have invested in a traditional portfolio consisting of stocks, bonds and real estates based on the three-division method of properties in Korea. However, this study analyzed the impact of the composition of a portfolio combining representative real estate indirect investment products such as REITs and real estate funds on the investment performance.
For this purpose, the empirical analysis using the mean variance model, which is the most appropriate method for the portfolio composition, was used. For variables used in this study, mixed asset portfolios were classified into Portfolio A through Portfolio G depending on the composition of assets, and the price indices selected as KOSPI, KRX BOND, REITs, TRUS Y7, HanwhaLasal, and OFFICE(Seoul).
In order to measure the return and risk of the mixed asset portfolio, correlation analysis, mean variance analysis, sensitivity analysis and principal component analysis were performed to derive the efficient frontier, and along with the minimum variance portfolio and the optimal risky portfolio, changes in the risk and return according to the increase in the proportion of real estates and real estate indirect investment products were analyzed.
The analysis results in this study are as follows.
In case of the minimum variance portfolio, Portfolio D, which combined bonds, stocks, REITs and real estate funds, and Portfolio G, which added the office, the actual real estate, were shown to have the lowest risk. On the other hand, it was shown that Portfolio C, which consisted of bonds, stocks and real estate funds, and Portfolio F, which added the office, the actual real estate, had the highest return.
In case of the optimal risky portfolio, Portfolio B composed of bonds, stocks and real estate funds and Portfolio D with added REITs had the lowest risk while Portfolio F composed of bonds, stocks, offices and real estate funds, and Portfolio G with added REITs were the most profitable.
Therefore, based on the optimal risky portfolio, it was found that Portfolio F and Portfolio G with low risks and the highest returns could be classified as risk preference while Portfolio B and Portfolio D with low returns and low risk could be classified as risk aversion. In addition, other portfolios could be classified as risk neutral.
The analysis of sensitivity response of target return according to changes in the asset proportion showed that KRX BOND and KOSPI fluctuated generally depending on the asset composition. In addition, when the proportion of the real estate fund and the office, an actual real estate asset, increased, the return increased, and when that of REITs decreased, the return increased.
On the other hand, the efficient frontier showed that Portfolio G and Portfolio F were the most efficient since they were located at the upper left corner, and Portfolio A and Portfolio B were relatively inefficient since they were located at the lower right.
As a result, it has been analyzed that it was more effective to compose a portfolio including REITs and real estate funds, which were real estate indirect investment products that eliminated the illiquidity limitation of real estates than real estates, the traditional three-division method of properties. Particularly, when real estate funds were included as investment assets, the overall risk and return of the portfolio were positively affected.
Therefore, it is possible to minimize the risk of investors and reduce the cost of ownership of the real estate by solving the illiquidity problem that is the biggest disadvantage of the direct investment, In addition, it is considered that it is more necessary to reinvigorate the real estate indirect investment market where small amounts can be invested.
Particularly, it is considered that there is a need for the system where investors are offered various opportunities by expanding investment institutions, developing various products and expanding new sales channels, and the companies receiving the investment stabilize businesses and generate profits to be distributed to investors through securing funds and new investments.
For this purpose, the empirical analysis using the mean variance model, which is the most appropriate method for the portfolio composition, was used. For variables used in this study, mixed asset portfolios were classified into Portfolio A through Portfolio G depending on the composition of assets, and the price indices selected as KOSPI, KRX BOND, REITs, TRUS Y7, HanwhaLasal, and OFFICE(Seoul).
In order to measure the return and risk of the mixed asset portfolio, correlation analysis, mean variance analysis, sensitivity analysis and principal component analysis were performed to derive the efficient frontier, and along with the minimum variance portfolio and the optimal risky portfolio, changes in the risk and return according to the increase in the proportion of real estates and real estate indirect investment products were analyzed.
The analysis results in this study are as follows.
In case of the minimum variance portfolio, Portfolio D, which combined bonds, stocks, REITs and real estate funds, and Portfolio G, which added the office, the actual real estate, were shown to have the lowest risk. On the other hand, it was shown that Portfolio C, which consisted of bonds, stocks and real estate funds, and Portfolio F, which added the office, the actual real estate, had the highest return.
In case of the optimal risky portfolio, Portfolio B composed of bonds, stocks and real estate funds and Portfolio D with added REITs had the lowest risk while Portfolio F composed of bonds, stocks, offices and real estate funds, and Portfolio G with added REITs were the most profitable.
Therefore, based on the optimal risky portfolio, it was found that Portfolio F and Portfolio G with low risks and the highest returns could be classified as risk preference while Portfolio B and Portfolio D with low returns and low risk could be classified as risk aversion. In addition, other portfolios could be classified as risk neutral.
The analysis of sensitivity response of target return according to changes in the asset proportion showed that KRX BOND and KOSPI fluctuated generally depending on the asset composition. In addition, when the proportion of the real estate fund and the office, an actual real estate asset, increased, the return increased, and when that of REITs decreased, the return increased.
On the other hand, the efficient frontier showed that Portfolio G and Portfolio F were the most efficient since they were located at the upper left corner, and Portfolio A and Portfolio B were relatively inefficient since they were located at the lower right.
As a result, it has been analyzed that it was more effective to compose a portfolio including REITs and real estate funds, which were real estate indirect investment products that eliminated the illiquidity limitation of real estates than real estates, the traditional three-division method of properties. Particularly, when real estate funds were included as investment assets, the overall risk and return of the portfolio were positively affected.
Therefore, it is possible to minimize the risk of investors and reduce the cost of ownership of the real estate by solving the illiquidity problem that is the biggest disadvantage of the direct investment, In addition, it is considered that it is more necessary to reinvigorate the real estate indirect investment market where small amounts can be invested.
Particularly, it is considered that there is a need for the system where investors are offered various opportunities by expanding investment institutions, developing various products and expanding new sales channels, and the companies receiving the investment stabilize businesses and generate profits to be distributed to investors through securing funds and new investments.
Until recently, most people have invested in a traditional portfolio consisting of stocks, bonds and real estates based on the three-division method of properties in Korea. However, this study analyzed the impact of the composition of a portfolio combining representative real estate indirect investment products such as REITs and real estate funds on the investment performance.
For this purpose, the empirical analysis using the mean variance model, which is the most appropriate method for the portfolio composition, was used. For variables used in this study, mixed asset portfolios were classified into Portfolio A through Portfolio G depending on the composition of assets, and the price indices selected as KOSPI, KRX BOND, REITs, TRUS Y7, HanwhaLasal, and OFFICE(Seoul).
In order to measure the return and risk of the mixed asset portfolio, correlation analysis, mean variance analysis, sensitivity analysis and principal component analysis were performed to derive the efficient frontier, and along with the minimum variance portfolio and the optimal risky portfolio, changes in the risk and return according to the increase in the proportion of real estates and real estate indirect investment products were analyzed.
The analysis results in this study are as follows.
In case of the minimum variance portfolio, Portfolio D, which combined bonds, stocks, REITs and real estate funds, and Portfolio G, which added the office, the actual real estate, were shown to have the lowest risk. On the other hand, it was shown that Portfolio C, which consisted of bonds, stocks and real estate funds, and Portfolio F, which added the office, the actual real estate, had the highest return.
In case of the optimal risky portfolio, Portfolio B composed of bonds, stocks and real estate funds and Portfolio D with added REITs had the lowest risk while Portfolio F composed of bonds, stocks, offices and real estate funds, and Portfolio G with added REITs were the most profitable.
Therefore, based on the optimal risky portfolio, it was found that Portfolio F and Portfolio G with low risks and the highest returns could be classified as risk preference while Portfolio B and Portfolio D with low returns and low risk could be classified as risk aversion. In addition, other portfolios could be classified as risk neutral.
The analysis of sensitivity response of target return according to changes in the asset proportion showed that KRX BOND and KOSPI fluctuated generally depending on the asset composition. In addition, when the proportion of the real estate fund and the office, an actual real estate asset, increased, the return increased, and when that of REITs decreased, the return increased.
On the other hand, the efficient frontier showed that Portfolio G and Portfolio F were the most efficient since they were located at the upper left corner, and Portfolio A and Portfolio B were relatively inefficient since they were located at the lower right.
As a result, it has been analyzed that it was more effective to compose a portfolio including REITs and real estate funds, which were real estate indirect investment products that eliminated the illiquidity limitation of real estates than real estates, the traditional three-division method of properties. Particularly, when real estate funds were included as investment assets, the overall risk and return of the portfolio were positively affected.
Therefore, it is possible to minimize the risk of investors and reduce the cost of ownership of the real estate by solving the illiquidity problem that is the biggest disadvantage of the direct investment, In addition, it is considered that it is more necessary to reinvigorate the real estate indirect investment market where small amounts can be invested.
Particularly, it is considered that there is a need for the system where investors are offered various opportunities by expanding investment institutions, developing various products and expanding new sales channels, and the companies receiving the investment stabilize businesses and generate profits to be distributed to investors through securing funds and new investments.
목차 (Table of Contents)
- 제1장 서 론 1
- 제1절 연구의 배경 및 목적 1
- 1. 연구의 배경 1
- 2. 연구의 목적 2
- 제2절 연구의 범위 및 방법 3
- 제1장 서 론 1
- 제1절 연구의 배경 및 목적 1
- 1. 연구의 배경 1
- 2. 연구의 목적 2
- 제2절 연구의 범위 및 방법 3
- 1. 연구의 범위 3
- 2. 연구의 방법 4
- 제3절 연구의 구성 및 체계 5
- 제2장 이론적 고찰 8
- 제1절 부동산 간접투자의 개요 및 현황 8
- 1. 부동산 간접투자의 개요 8
- 2. 부동산 간접투자의 현황 12
- 제2절 부동산 간접투자상품의 의의와 특성 17
- 1. 부동산투자회사(REITs) 17
- 2. 부동산펀드 32
- 제3절 포트폴리오의 개념 및 이론 40
- 1. 위험과 투자자 유형 40
- 2. 재산 3분법(투자 3분법) 48
- 3. 포트폴리오 이론 50
- 제4절 선행연구 고찰 및 차별성 71
- 1. 선행연구고찰 71
- 2. 선행연구와의 차별성 79
- 제3장 분석대상 및 방법 80
- 제1절 분석대상 80
- 1. 국고채 3년물(KRX BOND) 80
- 2. 주가지수(KOSPI) 81
- 3. 오피스 가격지수 82
- 4. 부동산투자회사(REITs) 84
- 5. 부동산펀드 85
- 제2절 분석방법 86
- 1. 상관분석 86
- 2. 평균분산 모형 87
- 3. 민감도분석 89
- 4. 주성분분석 90
- 제4장 실증분석 91
- 제1절 기초 및 상관관계 분석 91
- 1. 기초통계량 91
- 2. 수익률과 상관관계 분석 96
- 제2절 실증분석 결과 100
- 1. Portfolio 구성 100
- 2. Portfolio의 최적 자산배분 101
- 3. 민감도 분석결과와 효율적투자기회선 107
- 4. 주성분 분석결과 117
- 5. 분석결과 요약 120
- 제5장 결론 123
- 제1절 연구의 요약 및 시사점 123
- 제2절 연구의 한계 및 향후 과제 126
- 참 고 문 헌 127
- ABSTRACT 131
참고문헌 (Reference)
1. 「투자론」, 지청 외 1인,, 은하, 학현사, , 2011
2. 「투자론」, 우춘식, 삼영사, 삼영사, , 1996
3. , 「투자론」, 김대호 외 1인,, McGraw-Hill Korea, 경문사, , 2004
4. 「현대통계학」, 방정식 외 1인,, 다산출판사, , 2007
5. 『현대투자론』, 최승빈, 정강원, 이필상, 이상호, 안동현, 탑북스, 법문사, , 2013
6. , 「핵심투자론」, 이재하 외 1인, 박영사, 서울 박영사, , 2014
7. , 「현대투자론」, 박정식 외 1인, 다산출판사, , 2001
8. 「현대재무관리」, 조지호 외 1인, 박영사, 박영사, , 2012
9. 현대부동산투자론, 이래영, 탑북스, 탑북스, , 2010
10. 「부동산 경제학」, 이종규, 부연사, 부연사, , 2015
1. 「투자론」, 지청 외 1인,, 은하, 학현사, , 2011
2. 「투자론」, 우춘식, 삼영사, 삼영사, , 1996
3. , 「투자론」, 김대호 외 1인,, McGraw-Hill Korea, 경문사, , 2004
4. 「현대통계학」, 방정식 외 1인,, 다산출판사, , 2007
5. 『현대투자론』, 최승빈, 정강원, 이필상, 이상호, 안동현, 탑북스, 법문사, , 2013
6. , 「핵심투자론」, 이재하 외 1인, 박영사, 서울 박영사, , 2014
7. , 「현대투자론」, 박정식 외 1인, 다산출판사, , 2001
8. 「현대재무관리」, 조지호 외 1인, 박영사, 박영사, , 2012
9. 현대부동산투자론, 이래영, 탑북스, 탑북스, , 2010
10. 「부동산 경제학」, 이종규, 부연사, 부연사, , 2015
11. 「아카데미 부동산투자론」, 강병기 외 4인, 부연사, , 2008
12. 「알기쉬운 경제지표해설」, 김중수, 한국은행, , 2010
13. , 「채권과 이자율파생상품」, 유진, 경문사, , 2005
14. , 「우리나라 리츠이론과 실무」, 박상덕 외 1인,, 형설출판사, , 2001
15. , 「100세 시대 부동산 은퇴설계」, 전은성 외 3인, 나눔북스, , 2015
16. 부동산 간접투자제도에 관한 법적 연구, 정기열, 성균관대학교 석사학 위논문, , 2009
17. 부동산 간접투자제도의 발전방안 연구,, 최수 외 2인, KRIHS 국토연구 원. 국토연 2011-70호, , 2011
18. 부동산간접투자 시장 활성화 방안에 관한 연구, 박희만, 한남대학교 석 사학위논문, , 2005
20. 해외부동산펀드의 수익률 영향 요인에 관한 분석, 위재상, 서강대학교 석사학위논문, , 2017
21. 「부동산투자회사의 활성화를 위한 제도적 연구」, 정기열, 성균관대학교, 성균관대학교 박 사학위논문, , 2014
22. 국내 오피스빌딩 순영업소득 결정요인에 관한 연구, 최영진, 영산대학 교 박사학위논문, , 2017
23. 부동산투자의 포트폴리오와 위험관련에 관한 연구,, 이용만, 한국부동산 분석학회 전자저널 부동산학연구 제7집 제1호, , 2001
24. 부동산가격지수의 포트폴리오 분산효과에 관한 연구, 장대섭, 전주대 학교 박사학위논문, , 2014
25. 부동산투자회사의 투자환경 변화와 활용성 제고 방안, 서정진, 한성대 학교 박사학위논문, , 2016
26. 상업용 부동산 수익률에 영향을 미치는 요인에 관한 연구, 김상영, 강 남대학교 석사학위논문, , 2009
27. 복합자산펀드 포트폴리오의 수익률 및 위험도에 관한 연구, 윤기식, 단 국대학교 박사학위논문, , 2010
28. 부동산 간접투자수익률에 영향을 미치는 요인에 관한 연구, 김종원, 서 울벤처대학교 박사학위논문, , 2013
29. 부동산 간접투자상품시장의 특징과 시사점, 현대경제연구원, 임희정, VIP REPORE 15-7호, , 2015
30. 「부동산 간접투자상품시장 활성호 및 경제적 파급효과 연구」, 이태리 외 5인,, 국토연구원, , 2015
31. 「자산배분의 개척자 데이비드 스웬슨의 포트폴리오 성공운용」, David F. Swensen,, 미래에셋은퇴연구소, , 2016
32. 예측가능성이 부동산 포트폴리오 성과에 미치는 영향에 관한 연구, 임재만, 연세대학교 박사학위논문, , 2001
33. 부동산 포트폴리오 분산투자방법에 관한 고찰, 한국부동산분석 학회, 임재만, 부동산학연구 제5집, , 1999
35. 거시경제 및 지역특성 변수의 변화와 오피스 공실률의 관계에 관한 연구, 주대한, 전주대학교 박사학위논문, , 2017
36. 주성분분석을 활용한 내재변동성 스큐 움직임에 대한 분석, KOSPI200 indet options, 김진우, 숭실대학교 박사학위논문, , 2016
37. 부동산 간접투자 REITs 총수익률과 거시경제변수와의 상관관 계에 관한 실증분석, 지성국, 영산대학교 박사학위논문, , 2012
분석정보
연관 공개강의(KOCW)
이 자료와 함께 이용한 RISS 자료
나만을 위한 추천자료
