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非流動性資産である不動産を含むポートフォリオ選択の分析手法に関する先行研究サーベイ
https://doi.org/10.18901/00000607
https://doi.org/10.18901/00000607ed67d93e-d5b6-43c2-bfb5-45f3dede268f
名前 / ファイル | ライセンス | アクション |
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Item type | 紀要論文 / Departmental Bulletin Paper(1) | |||||
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公開日 | 2015-07-01 | |||||
タイトル | ||||||
タイトル | 非流動性資産である不動産を含むポートフォリオ選択の分析手法に関する先行研究サーベイ | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Literature Review of Methodology for Portfolio Selection with Real Estate as Illiquid Asset Class | |||||
言語 | ||||||
言語 | jpn | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 長期ポートフォリオ | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 不動産 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 市場滞留時間 | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | 非流動性 | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
ID登録 | ||||||
ID登録 | 10.18901/00000607 | |||||
ID登録タイプ | JaLC | |||||
著者名 |
鈴木, 英晃
× 鈴木, 英晃× 高辻, 秀興 |
|||||
著者名(英) |
Suzuki, Hideaki
× Suzuki, Hideaki× TAKATSUJI, Hideoki |
|||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper conducts an extensive literature review with regards to long-term portfolio selection that includes real estate as an illiquid asset class, particularly from methodological perspective. The paper summarizes two main points. First, illiquidity holds significant investment risks in portfolio selection and cannot be ignored. Illiquidity of real estate is a combination of various factors, making it difficult to find out optimal asset allocation. Second, long-term investment horizon and dynamics of investor’s environment have not been addressed yet. Most of the existing literature is significantly dependent on a single period model that does not quite reflect actual situations of investors with changing environment. Recent studies started to realize the importance of the longer-term approach that better reflects, although their methods are merely an extension of the single period mean variance analysis. This paper concludes a need for conducting portfolio research with dynamic programming that better reflects the illiquidity and long-term investment horizon. | |||||
書誌情報 |
麗澤大学経済社会総合研究センター Working Paper en : RIPESS Working Paper 巻 69, p. 1-21, 発行日 2015-06-19 |
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出版者 | ||||||
出版者 | RIPESS麗澤大学経済社会総合研究センター |