风险分散化的房地产投资组合外文翻译.docVIP

Risk diversification in a real estate portfolio Material Source : Journal of European Real Estate Author: Claudio Giannotti Since the second half of the 1980s, several attempts have been made to extend the financial portfolio optimisation principle based on the Markowitz efficient frontier (the so-called mean-variance approach) to direct or indirect real estate investments. Studies have first concentrated on the return of real estate investment as an asset class in a multi-asset portfolio, then they have focused on pure real estate portfolios. If on the one side the Markowitz model simplifies the selection of real estate investments from a portfolio perspective, on the other side it shows some weaknesses which are partly due to the model itself and partly connected with the peculiarities of the real estate market. Tenant, exogenous, endogenous and financial risks can impact differently on the risk-return ratio of the single investment and/or the portfolio. Each risk profile can be investigated when assessing real estate investments both to obtain a fair risk-return trade-off and to maximise diversification benefits. The purpose of this paper is to find out a real estate investment selection and a portfolio construction model based on the main risk factors. The value of a real estate investment depends on the cash flows that an estate owner receives from the subjects who rented or bought the estate. In other words, the performance of a real estate investment depends on the tenants ability to pay rental according to contractual deadlines. In order to maximise the expected value of an investment portfolio, the investor must select those real estate that minimise the risk of tenant insolvency/non-liquidity, the expected returns being equal. Analysis of optimal debt structure is an established practice in business finance (Modigliani and Miller, 1958) and several studies in the literature pointed out a number of benefits that can be drawn from recourse to borrowing for