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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/10.18901/0000062907e4894a-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 (1.6 MB)
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| 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 | ||||||
| タイトル | Dynamic optimization of real estate investment in the long-term portfolio selection considering illiquidity risk | |||||
| 言語 | en | |||||
| 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× 高辻, 秀興 |
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| 著者名（英） |
Suzuki, Hideaki
× Suzuki, Hideaki× TAKATSUJI, Hideoki |
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| 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 |
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| 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 | |||||
