不動産 間接投資와 最適資産 포트폴리오 構成에 關한 硏究

부동산 간접투자를 활용한 최적 자산 포트폴리오를 연구했다.

This thesis is to characterize the formulation of investors' wealth through the managed portfolios of the real estate assets, thus reducing the risk associated with the investments in real estate, and to provide the methods of formulating the portfolios consisting of securities and real estate assets. Investments in the managed portfolios of real estate assets supply the investors with payoffs without their making the efforts to screen and select the individual real estate assets such as lands, apartments, and houses.

Investors with no appropriate expertise in investment technology may face the excessive possible risk to be caused by their own activities of performing asset allocation among real estate assets. On the other hand, the managed portfolios to be invested in may reduce a lot of risk to be borne owing to the lack of a perfect understanding of the capital markets' behavior including the real estate markets. Legal aspects concerning the investment in real estate are examined and analyzed in this thesis in terms of risk reduction. Portfolio is defined as a linear combination of assets or securities. Portfolio implies diversification.

Diversification is summed up in the adage: "Don't put all your eggs in one basket." Investors hedge their risk with diversification, which spreads their risk by investing in a number of assets with different risk-return characteristics. Diversification of wealth through investments in real estate, stocks, bonds, and mutual funds is important. The perfect negative correlation between the two assets' returns completely eliminates uncertainty or risk. That is, although each assets is risky when held separately, they are riskless when held together in a portfolio. This principle also holds even if the correlation is not -1, as long as it is not +1.

When the asset is held in a portfolio with other assets, the correlation between asset rates of returns has to be incorporated into the risk measure. Diversification across unrelated industries is more important than the actual number of stocks held in the portfolio. An investment strategy is efficient if either of the following holds: 1. There is no other investment strategy with a higher expected rate of return and an equal or similar standard deviation. 2. There is no other investment strategy with a smaller standard deviation and an equal or higher expected rate of return. If there is an investment strategy such that (1) or (2) does not hold, we say that it is an inefficient strategy.

Investors who are risk averse will never select an investment strategy that is not efficient. Efficient investment strategies constitute the mean-standard deviation efficient set. Every investment strategy that is efficient by the mean-standard deviation criterion is also efficient by the mean-variance criterion. The basic premise of all financial models is that investors are risk averse and, therefore, demand a premium for bearing risk. This means that higher-risk assets are priced to yield higher expected returns than lower-risk assets.

An implication is that the expected return on an asset can be decomposed into the risk-free return plus a risk premium: Expected Return on a Risky Asset = Risk-Free Return + Risk Premium. The risk free rate compensates for the time value of money and is measured as a return on a riskless instrument like the government bond. The important issue now is what determines the risk premium for a given security or other asset. Fully diversified investors holding the market portfolio care only about an asset's systematic risk as measured by its beta.

But what is the expected risk premium for an individual security given its beta, that is, what is the relationship between a stock's beta and its required return. The answer to this question is contained in the capital asset pricing model. The CAPM provides the following key result: The risk premium on any asset is proportional to its beta. The required rate of return on asset i equals to the risk-free return plus a risk premium equal to the asset's beta multiplied by the market risk premium rm- rf, where rm represents the expected rate of return on the market portfolio, and rf is the risk-free rate of return.

The linear relationship between an asset's expected return and its beta coefficient is known as the security market line. The slope of this line is the market risk premium rm- rf. The empirical test for the portfolios of real estate assets, stocks, corporate bonds, and government bonds has provided the following conclusions: 1. The portfolio composed of real estate assets, stocks,corporate bonds, and government bonds is more diversified that the portfolio consisting of the securities such as stocks, corporate bonds, and government bonds. This fact means that risk is greatly reduced when real assets are included in the portfolio. 2. The portfolio of real estate assets has a little risk.

It has almost the same risk as the government bond which is the risk-free instrument, but it has higher rate of return. This characterizes the real estate assets. 3. The efficient portfolios of real estate assets are clustered about the band of a very small standard deviation, which implies almost no existence of risk whatsoever. 4. Apartment provides the greatest contribution to the reduction of risk and the increase of return than any other components of real estate. Our empirical test of the CAPM has reached following conclusions: 1. The return of the real estate assets appears to be linearly related to beta as predicted by the CAPM. 2.

There is a positive relationship between beta and net returns; that is, higher betas tend to lead to higher return. 3. The intercept term is somewhat greater than its theoretically predicted value of the risk-free rate rf. 본 논문은 자본시장의 최대의 화두인 간접투자시대를 맞이하여 재산형성에 대한 이해를 넓히고, 부동산과 간접투자 상품들을 결합한 포트폴리오를 구성하여 최고의 수익률과 위험을 낮추는 효율적인 자산관리의 새로운 투자 방법 모델을 제시 해보는데 그 목적을 두었다. 따라서 본 논문에서는 부동산과 다른 자산을 결합한 포트폴리오를 구성하여 부동산이 최적포트폴리오에 미치는 영향을 이론과 실증분석