부동산투자의 위험-수익관계에 기반한 전략적 자산배분: ‘기관투자자의 자산운용 측면’을 중심으로

• 영문명: Strategic Asset Allocation based on Risk-Return Relationship of Real Estate Investment: On the Asset Management Aspects of Institutional Investors
• 발행기관: 한국지역개발학회
• 저자명: 강상선(Kang, Sang Sun) 전재범()
• 간행물 정보: 『한국지역개발학회지』제31권 제1호, 161~180쪽, 전체 20쪽
• 주제분류: 사회과학 > 지역개발
• 파일형태: PDF
• 발행일자: 2019.03.30

영문 초록

The purpose of this study is to find out the optimal amount of investment in constructing a portfolio of real estate investments in Korea. The Strategic Asset Allocation is sought when a portfolio is structured with domestic real-estate investments and bonds and short-term investments. The analysis method was derived by applying the Efficient Frontier based on the MVO model of Makowitz. As a result of the analysis, Assuming that the proportion of each asset should be invested to at least 10%, there were three possible portfolio alternatives. The ratio of Office Building to strategic asset allocation is 14%, Retail Building is 18%, corporate bond ratio is 17%, government bond ratio is 23%, and MMF is 28% etc. At this time, the optimal return range was between 3.3% and 3.7%, the risk range was between 4.57 and 4.79. In conclusion, it established asset allocation taking into account appropriate risks and return levels when constructing strategic asset allocation for domestic corporate bonds and government bonds and commercial buildings.

목차

1. 서 론

2. 이론적 고찰 및 선행연구 검토

3. 분석모형 및 자료

4. 분석 결과

5. 결 론

키워드

전략적 자산배분 Strategic Asset Allocation 포트폴리오 Portfolio 부동산 실물투자 Real Estate Investment 효율적 시장기회선 MVO Efficient Frontier