Dynamics of Diversification Benefits of Real Estate within a Minimum-Variance Portfolio: the Case of Japan

This research evaluates dynamics of diversification benefits of real estate within a minimum-variance portfolio, assuming different holding periods: 3 years and 7 years. Real estate showed constant risk di-versification benefits through all the holding periods, and the variability in allocation ratio tends to be smoothed as the portfolio is held longer

Change in house price structure with time and housing price index -Centered around the approach to the problem of structural change-

The purpose of this study is to estimate the hedonic price index of secondhand condominiums while　taking into account seasonal sample selection bias and structural changes, using the 23 wards of　Tokyo as a subject. When housing price indices are estimated using a hedonic price model, the　problem of temporal sample selection bias in addition to changes in the housing market structure　should be considered. We propose an overlapping-period hedonic model (OPHM: this model was　proposed by Ono, et al first), which can accommodate seasonal sample selection bias and structural　changes. In addition, we estimate housing price indices for the 23 wards of Tokyo from 1986　through 2006, and demonstrate biases in price indices because of differences in the functions used　in the models. Results of the estimation using the OPHM demonstrate that the structure of the　housing market changes with time, and these changes occur continuously with time. It is also　demonstrated that structurally restricted indices that do not account for structural changes involve a　large time lag compared with indices that do account for structural changes during periods with　significant price fluctuations. This study proposes a method of estimating hedonic housing price　indices under the conditions of successively added data and structural changes

長期ポートフォリオにおける非流動性を考慮した不動産投資の動学的最適化の考察

Existing studies pointed out that illiquidity of real estate operation in the long-term portfolio selection is caused mainly by three factors: non-i.i.d. characteristics of real estate return, high transaction cost and time-on-market (TOM). This paper explored a method of dynamic optimization of real estate investment in the long-term portfolio selection considering illiquidity risk especially from a view of high transaction cost. As a result it was found that the method of dynamic programming is useful for such a purpose as flexible simulation of illiquidcharacteristic dynamic system, and that level-holding of real estate is the best solution for real estate investment in some instances under the situation of risk-averting-investment. And also the method seems to have potential to incorporate non-i.i.d. characteristics and TOM

ポートフォリオ選択におけるリスク回避度別にみた不動産投資の選好

This paper explores the role of real estate within a multi-asset class portfolio, assuming investors with different risk tolerances. Although the degree of diversification benefit varies by level of risk tolerance, it is proven that the asset class plays an important role as a risk diversifier within the portfolio especially in a period of financial turmoil

ポートフォリオ選択における不動産と他の複数資産の時系列的関係性

For better understanding of real estate in a multi-asset portfolio, this research focuses on time-series relation of real estate with its other asset classes in total return. VECM confirmed a lead-lag relationship between REITs, equities and investment real estate, that JREITs, large-cap equities and mid-cap equities lead real estate. It was also found that JREITs have a significant impact on forecast errors of real estate at almost 40%, and that large-cap equities have large impacts on both JREITs and real estate in forecast errors

異なるリスク回避度を持つ投資家のポートフォリオにおける不動産投資の役割

This paper explores the role of real estate within a multi-asset class portfolio, assuming investors with different risk tolerances. Although the degree of diversification benefit varies by level of risk tolerance, it is proven that the asset class plays an important role as a risk diversifier within the portfolio especially in a period of financial turmoil

非流動性資産である不動産を含むポートフォリオ選択の分析手法に関する先行研究サーベイ

This paper conducts an extensive literature review with regards to long-term portfolio selection that includes real estate as an illiquid asset class, particularly from methodological perspective. The paper summarizes two main points. First, illiquidity holds significant investment risks in portfolio selection and cannot be ignored. Illiquidity of real estate is a combination of various factors, making it difficult to find out optimal asset allocation. Second, long-term investment horizon and dynamics of investor’s environment have not been addressed yet. Most of the existing literature is significantly dependent on a single period model that does not quite reflect actual situations of investors with changing environment. Recent studies started to realize the importance of the longer-term approach that better reflects, although their methods are merely an extension of the single period mean variance analysis. This paper concludes a need for conducting portfolio research with dynamic programming that better reflects the illiquidity and long-term investment horizon

不動産投資リターンのNon-i. i. d. 過程に関する時系列的解明

This research examines non-i. i. d. process of real estate investment returns that Cheng et at (2013) in their analysis rather from time-series analysis point of view. While Cheng et al allows the process to play a major role in determining allocation of the asset class within a multi-asset portfolio, this research casts some discussion points in their argument and recommendation for further analysis