부동산투자의 포트폴리오와 위험관리에 관한 연구 - VaR 의 측정을 중심으로 = Real Estate Investment Portfolio and Value at Risk Estimated by Bootstrapping Simulation

다국어 초록 (Multilingual Abstract)

In order to give REITs(Real Estate Investment Corporations in Korea) some criteria to make choice of efficient portfolio in real estate investment, this article is to estimate expected-yield and risk of portfolio by using VaR(Value at Risk) Model. Assuming that REITs only invest in MBS(Mortgaged Backed Securities) and housing lease, scenarios about portfolio are made. And expected-yield rate and VaR of each scenario are computed by Bootstrapping Simulation. The conclusion of this article is as follows. The expected-yield rate of MBS is higher than that of housing lease, also the risk of MBS is higher than that of housing lease. And there is no portfolio-effect that the better performance is obtained by mixing two kinds of investment asset, MBS and housing lease. This means that how many to invest in MBS or housing lease is dependent on investor`s propensity to investment. In other word, it means that the more investors love risk, the more REITs invest in MBS, or the more investors hate risk, the more RIETs invest in housing lease. I admit that the conclusion is not adapted to real world directly because of various assumptions to simplify problems. But I think this article is to contribute to improving asset management in real estate investment.