Study On Real Estate Portfolio And Risk Measurement Based On CVaR

In recent years, along with the constant growing of real estate industry, real estate invsetment is expanding so rapidly that it has achieved unprecedented upsurge. However, owing to the long cycle and heavy investment of real estate development, investors must undertake big risk while they obtain huge profits. Therefore, the fundamental question real estate developers faced is how to avoid risks and obtain the greatest profit. According to this problem, the paper makes an intensive study of the problem about real estate portfolio optimization and risk measurement.First, the paper introduces the conception and the thoery of real estate portfolio and risk measurement. Second, based on Markowitz's Modern Portfolio Theory, taking CVaR(main risk measurement in financial market)as the risk measure method of real estate investment, we establish a potortfolio optimization model which minimize the real estate investment risk; at the same time, after analying venture influential factors of real estate investment, we establish the venture judgment system of real estate portfolio, and based on that, we establish risk measurement model of investment's different stages; finally, taking a real estate industry of Xi'an for exmple to give an empirical analysis, the paper obtains an optimizing potortfolio of four real estate and the weightings and measurements of different investment's stages and main risk factors to total investment's risk.I hope this study can provide investors with an quantitative analysis method of real estate portfolio optimization and risk measurement , and aslo hope that it can provide scientific basis for investment decision and be favorable for improving enterprise efficiency.