DocumentCode
2133199
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
fYear
2010
fDate
24-26 Aug. 2010
Firstpage
1
Lastpage
4
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ICMSS.2010.5575535
Filename
5575535
Link To Document