Title :
Portfolio Optimization Analysis of REITs Based on CAPM and CREIs
Author :
Han Dongmei ; Yang Mei ; Ma Jingxin
Author_Institution :
Dept. of Inf. Manage. & Eng., Shanghai Univ. of Finance & Econ., Shanghai, China
Abstract :
Based on the CAPM theory, this paper uses the historical data of CREIs (China Real Estate Index Systems) of Shanghai build an effective REITs (Real Estate Investment Trusts) investment strategy. Then using the Markowitz´s mean-variance model, we calculated the optimal portfolio solutions, that is apply the classical security investment theory in the real estate investment decision-making, which have a positive practical significance.
Keywords :
decision making; investment; optimisation; property market; CAPM; CREI; China real estate index system; Markowitz mean variance model; REIT; Shanghai; decision making; investment strategy; portfolio optimization analysis; real estate investment trust; Biological system modeling; Buildings; Cities and towns; Correlation; Finance; Investments; Portfolios;
Conference_Titel :
Management and Service Science (MASS), 2010 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-5325-2
Electronic_ISBN :
978-1-4244-5326-9
DOI :
10.1109/ICMSS.2010.5575535
