Study of the Portfolio Sensitivity of Combined Assets of Real Estate Indirect Investment Products

Abstract

This study constructed combined REITs and real estate funds in traditional portfolios and analyzed the inclusion ratio of efficient real estate indirect investment products through sensitivity analysis of profits and risks by input ratio.
 Methods/Statistical analysis: To measure the rate of profits and risks of the composite asset portfolio, Minimum Variance Portfolio and Optimal Risky Portfolio were drawn through mean-variance and sensitivity analysis was conducted on changes in the rates of risks and profits by the increase of the weight of real estate indirect investment products. Concrete variables consisted of KRX BOND, KOSPI, and Office (Seoul) Price Index; REITs TRUS Y7 in operation was used as the products; and real estate funds were set by combining HanwhaLasal Global Real Estate Funds.