Research On Real Estate Investment Performance Based On Diversification Policy

. With the development of capital market and real estate market, Chinese real estate market is undertaking the change from development predominance to financial investment predominance。Institutional investors such as insurances and funds pay more attention to real estate asset in their portfolio,and research on real estate portfolio management seems to be more urgent. However, domestic researches on portfolio management concentrate primarily on the security market, and few researches emphasize on the influence that have brought real estate asset into portfolio. Fewer researches concentrate on real estate asset internal portfolio, which is very difficult to satisfy the demand that investors diversify the investment risk and increase the investment income. This thesis emphasizes on how to construct real estate asset internal portfolio, analysis the real estate portfolio performance in risk reduction and CV utility enhancement based on diversification policy.Firstly, this thesis begins with Traditional Portfolio Method and Modern Portfolio Theory (MPT), and discusses especially the basic hypothesizes and models of MPT. After the analysis of diversification efficiency of portfolio, this thesis also gives the definition of real estate asset internal portfolio, and study three kinds of diversification policy in real estate diversified investment and the applied realm of real estate asset internal portfolio. Finally, this thesis set out to define the CV (the return to risk ratio) utility function from the definition of investment utility. Furthermore, On the basis of Markowitz's mean-variance model, the thesis put forward a new portfolio selection model that is about the biggest CV utility in portfolio.Secondly, throughout the empirical study of real estate asset internal portfolio from two real estate markets in USA and Chinese based on three kinds of diversification policy, the thesis finds further evidence to support the portfolio performance in risk reduction and CV utility enhancement. the results for the empirical study show : real estate asset internal portfolio based on geographic diversification policy perform well in both USA and china; on average ,real estate portfolio in USA based on type diversification policy perform better geographic diversification portfolio, but there is no same evidence in china ; portfolio based on strategy diversification policy that contains different holding periods performs well in risk reduction and CV utility enhancement from Shanghai residential and office evidence, but it doesn't work in USA .Simultaneously, we find evidence to support that optimal portfolio is statistically more efficient than a corresponding naively diversified portfolio(e.g. the equal-weighted portfolio), but if investors construct their portfolio like the naive equal-weighted portfolio, they also achieve a very good performance in risk reduction and CV utility enhancement.Finally, from the realistic investment practice,this thesis put forward the approach to portfolio decision-making based on diversification policy, and give some suggestions for investors to manage their real estate portfolio.