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Commercial Real Estate Investment Trust Fund Portfolio Investment Risk Management Research

Author: ChenShuZhen
Tutor: ChenDeQiang
School: Chongqing University
Course: Technology Economics and Management
Keywords: REITs commercial real estate Markowitz model portfolio
CLC: F832.49
Type: Master's thesis
Year: 2011
Downloads: 150
Quote: 0
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Abstract


In China, real estate investment trusts (REITs), as an innovative means of financing, has been demonstrated in a strong momentum of development. At the same time, capital-intensive commercial real estate is in full swing of development in China, whose development and operational need the support of the real estate investment trust. because the relationship between REITs and commercial real estate is particularly close, Real Estate Investment Trust with its unique advantages, will be able to promote China’s commercial real estate a good development. China is also incubating and creating good development environment to realize the combination of REITs and commercial real estate.This paper firstly introduces the basic content of REITs and commercial real estate, presenting their concepts, characteristics, development patterns and the development status and so on. On the base of the aforementioned theory and the adoption of domestic and international commercial REITs specific instance, the paper describes the differents of the development between domestic commercial REITs and international commercial REITs, and thus analyze the opportunities and challenges of Chinese commercial REITs in the development process, and also explains how to learn from developed countries’successful experience to developing REITs, in response to all kinds of obstacles in the development process.But in China, the development of commercial REITs still is in start level. And compared to the United States and other developed countries, its development is not yet mature. in the development process it will inevitably encounters all kinds of risks, Such as economic risk, policy risk, social environmental risk and natural risk and other systematic risk, there is also investment risk, liquidity risk, financial risk, profit and loss risk, making risk, principal-agent risk and other non-systematic risk. In this paper, based on the detailed analysis of these risks, we put forward the corresponding risk management measures. The final chapters describes how to spread non-systematic risks of commercial REITs from the perspective of the portfolio in detail. Through the establishment ofβ-coefficient for the measure of the Markowitz optimization model, we use the NCREIF index of United States since the first quarter 1978 to fourth quarter of 2005 as an empirical measure data to conduct portfolio optimization analysis. Get a variety of portfolios and their corresponding risks, benefits and value of investment effectiveness VC. According to the portfolio target, we can select portfolio to minimize investment risk or maximize investment utility. Also according to ourselves investment objectives, use theβcoefficient for the measure of the Markowitz optimization model and related computational tools (such as Excel, Eviews, Matlab, etc.) for portfolio analysis, to improve the effectiveness of resource allocation. Although the analysis is based on the index of foreign commercial real estate, but our development of commercial REITs can play a very good reference from the analysis, which also can conduct Chinese real estate industry into the global economy, with international standards.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Trust
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