Departmental Bulletin Paper 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

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

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.

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