비대칭위험측정치를 이용한 부동산 포트폴리오 성과 비교
Real Estate Portfolio Performances Using Asymmetric Risk Measures
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초록
This study uses the down-side risk (DR) or n-order lower partial moment methodology to evaluate real estate as a component of a mixed-asset portfolio. The traditional mean-variance analysis (MV) is based the assumptions that probability distribution of asset returns are normal and upside-side deviation from target return as well as down-side deviation are risk. However, asset returns are not normal distribution, and general investors do not recognize up-side deviation from target return. Results confirm that DR approach is a better alternative to MV in terms of terminal wealth effect, and that investment in real estate investment can be shown to improve mixed-asset portfolios without regard to the methodologies.
Abstract
This study uses the down-side risk (DR) or n-order lower partial moment methodology to evaluate real estate as a component of a mixed-asset portfolio. The traditional mean-variance analysis (MV) is based the assumptions that probability distribution of asset returns are normal and upside-side deviation from target return as well as down-side deviation are risk. However, asset returns are not normal distribution, and general investors do not recognize up-side deviation from target return. Results confirm that DR approach is a better alternative to MV in terms of terminal wealth effect, and that investment in real estate investment can be shown to improve mixed-asset portfolios without regard to the methodologies.
참고문헌 (22)
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