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The Application Of Modern Portfolio Theory To Real Estate Investment

Posted on:2006-12-13Degree:MasterType:Thesis
Country:ChinaCandidate:H Z WangFull Text:PDF
GTID:2179360182455007Subject:Structural engineering
Abstract/Summary:PDF Full Text Request
In capital market, all the investors are rational, that's they all search for the biggest profit or smallest risk. On the base of modern investment portfolio theory, by the research of Markowitz's mean-variance model and Sharp's capital asset pricing model, with the characteristics of real estate and on the base of a series of parameters hypothesis, we raise real estate investment optimal combination decision model. Finally we solve the model by computer. In order to complete the work above, 1 finish the following text:1. It illustrates modern investment portfolio, its main viewpoints and it's development direction and analyzes profit and risk in the investment portfolio.2. It introduces Markowitz's mean-variance model and Sharp's capital asset pricing model, on the base of which, we bring in risk coefficient 8 and builds the decision model based on the 8.3. It describes real estate investment portfolio and risk division principle investment portfolio and offers real estate investment portfolio selection model, this model is derived from the application of Markowitz continuous asset model to un-continuous asset such as real estate (or fully earned, of fully lost).4. After researching the texts, by the setting decision variables and some hypothesis, we found real estate investment optimal combination decision model (searching for the biggest profit, the smallest risk, the best combination of profit and risk),in this paper we discuss model which searching for the smallest risk.5. We use genetic algorithm and easy algorithm based on protrusion analysis to solve the model which searching for the smallest risk. In the solving process of genetic algorithm, we compare the characteristic of genetic algorithm using an example us to show the advantage of genetic algorithm in solving nonlinear programming.6. In order to make the solving process simple, we use computer to establish a program to solve the model and show the application of the program by using an example.
Keywords/Search Tags:portfolio, risk division, mean-variance model, real estate portfolio optimal model
PDF Full Text Request
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