글로벌 혼합부동산펀드의 최적포트폴리오 구성에 관한 연구:한국과 미국의 부동산 및 주식, 채권을 중심으로

Abstract

Real Estate Fund (hereinafter "REF") served as a momentum to increase investment on officereal estate market and real estate development businesses. Due to the explosive increasing of assetsunder management, Institutional investors are expanding their investment on real estates abroad notonly for vertical diversification but also for geographical diversification of investment portfolios. Inthis study, I tried to verify the excellent performance of global mixed-asset portfolio by using objectivetime series data and find some possibility of developing global mixed-asset portfolio. The performanceof portfolios measured by the Sharpe ratio, suitable to measure the risk-adjusted return of portfoliosnot diversified well. In order to achieve this object, first, I derived the global real estate portfoliofrom 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 optimizedproportion to make the global real estate optimum portfolio measured by Sharpe ratio. And it couldbe shown that there is a significant investment diversification effect especially in the aspect ofgeographical diversification. And then, I tried to derive the optimum global mixed-asset portfolio bycomprising the global real estate portfolio and financial assets such as stocks or bonds in Koreaand US. But the portfolio without those financial assets showed the highest Sharpe ratio. From thisresult, it could be presumed that the risk-adjusted investment return of real estate is overestimatedand there are two possible causes. The one is "smoothing effect" of the appraisal data of investmentreturn on real estate assets. And the other is that Sharpe ratio could be more favorable criterionto real estate assets than other financial assets because it is a risk-neutral measure.