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  1. 紀要論文
  2. 麗澤経済研究 
  3. 23巻

長期ポートフォリオにおける非流動性を考慮した不動産投資の動学的最適化の考察

https://doi.org/10.18901/00000629
https://doi.org/10.18901/00000629
07e4894a-cbb5-4b16-9501-bed269e860a4
名前 / ファイル ライセンス アクション
051-087長期ポートフォリオにおける非流動性を考慮した不動産投資の動学的最適化の考察.pdf 051-087長期ポートフォリオにおける非流動性を考慮した不動産投資の動学的最適化の考察 (1.6 MB)
license.icon
Item type 紀要論文 / Departmental Bulletin Paper(1)
公開日 2015-12-04
タイトル
タイトル 長期ポートフォリオにおける非流動性を考慮した不動産投資の動学的最適化の考察
タイトル
言語 en
タイトル Dynamic optimization of real estate investment in the long-term portfolio selection considering illiquidity risk
言語
言語 jpn
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 10.18901/00000629
ID登録タイプ JaLC
著者名 鈴木, 英晃

× 鈴木, 英晃

WEKO 1033
CiNii ID 9000242581358

鈴木, 英晃

ja-Kana スズキ, ヒデアキ

Search repository
高辻, 秀興

× 高辻, 秀興

WEKO 280
CiNii ID 9000002680893
NRID 1000000163220

高辻, 秀興

ja-Kana タカツジ, ヒデオキ

Search repository
著者名(英) Suzuki, Hideaki

× Suzuki, Hideaki

WEKO 917
CiNii ID 9000242581358

en Suzuki, Hideaki

Search repository
TAKATSUJI, Hideoki

× TAKATSUJI, Hideoki

WEKO 280
CiNii ID 9000002680893
NRID 1000000163220

en TAKATSUJI, Hideoki

Search repository
抄録
内容記述タイプ Abstract
内容記述 Existing studies pointed out that illiquidity of real estate operation in the long-term portfolio selection is caused mainly by three factors: non-i.i.d. characteristics of real estate return, high transaction cost and time-on-market (TOM). This paper explored a method of dynamic optimization of real estate investment in the long-term portfolio selection considering illiquidity risk especially from a view of high transaction cost. As a result it was found that the method of dynamic programming is useful for such a purpose as flexible simulation of illiquidcharacteristic dynamic system, and that level-holding of real estate is the best solution for real estate investment in some instances under the situation of risk-averting-investment. And also the method seems to have potential to incorporate non-i.i.d. characteristics and TOM.
書誌情報 麗澤経済研究
en : Reitaku International Journal of Economic Studies

巻 23, p. 51-87, 発行日 2015-11-30
出版者
出版者 麗澤大学経済学会
ISSN
収録物識別子タイプ ISSN
収録物識別子 2189-339X
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