Research On Risk Measure Of Real Estate Portfolio Investment Basted On The Discrete Cvar Model

CVaR has applications in many aspects, such as measurement of credit risks, confirmation of inner risk capital, asset allocation, financial supervision and so on. In view of of real estate portfolio investment questions, this paper establishes the discrete conditional value at-risk (CVaR) model, and uses it to measure risk of real estate portfolio investment.This conclusion is an auxiliary of science decision-making.Firstly, the paper totally introduces all kinds of traditional risk measure methods and analyses the defects of VaR risk measure method.Then puts forward to CVaR risk measure method, introduces the definition, and analyses the parameter selecting, the calculation, the properties and applications and so on. By comparing, it shows that CVaR is better than the traditional methods.Secondly, through the introduction of the equivalent function of discreteα-CVaR andα-FCVaR, we give a real estate portfolio investment model based on the discrete CVaR model. By using the model, get investment proportion and risk losses of portfolio by computing the model, and make measurement scientifically and positive analysis in different areas of the real estate portfolio risk.Before using CVaR model to analyze the portfolio investment, this paper makes a correlation analysis between the different areas of the real estate. And then, it uses those areas that have weak relevance to make a combination to achieve the optimal portfolio and corresponding CVaR value based on the discrete CVaR model.Research shows that geographic portfolio should choose a weak correlation between the different cities to invest. Considering the actual circumstances, investors should make the dynamic investmento find a optimum balanced portfolio among risks and benefits,through the real estate investment pluralism within the practicable framework in different regions, different types, combined with the long-medium and short-term investment. When investing in a number of areas, investors can transfer the system risk into non-system risk, especially in a different period. Therefore, discrete portfolio investment is with a good scientific guidance in the economy which is not quite boom.The last chapter is the conclusion, the suggestion and the forecast, according to the frontier chapters' analysis. It explains the practical summary of the investment portfolio theory in the real estate investment based on the discrete CVaR model, and proposes the corresponding suggestions and the future research's direction and forecast.