Departmental Bulletin Paper 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

鈴木, 英晃  ,  高辻, 秀興  ,  Hideaki, Suzuki  ,  Hideoki, TAKATSUJI

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.

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