| Title |
A Study on a Method for Composing a Portfolio for REITs Investment Using Markowitz's Portfolio Model |
| Authors |
Lee, Chijoo ; Lee, Ghang ; Won, Jongsung ; Ham, Sungili |
| Keywords |
REITs(real estimate investment trusts) ; Markowitz's portfolio model |
| Abstract |
Domestic construction companies suffer from the difficulty in financing in the wake of economic slump at home and abroad. In the periods of this economic slump, which hit the nation, REITs, the facilitator of fluid financing and the stimulating of construction economic, has increasingly been expanded since its introduction in 2001. But, REITs relatively falls behinds any other nations, in terms of its growth speed and marketing volume. The purpose of this research thesis is to suggest the method for composing a portfolio using Markowitz portfolio selection models for stimulating REITs. Main contents are as follows. First, the thesis made the comparative analysis on profit increase in REITs’investment in application of models by Markowitz and REITs derivatives from 2007/07/03 to 2008/07/21 during investment analysis periods. The result showed that total profits by Markowitz model amounted to about 10 percent higher than average profits of REITs derivatives. Second, this thesis made the analysis on sensitivity of data-gathering and portfolio change periods of the existing profits, in order to measure the both periods and yield optimum profits. The six month data-collecting periods of profits accounted for some 16% higher profits than profits of REITs derivatives. In case when the two week periods of portfolio change accounted for some 11% higher profits than profits of REITs derivatives. |