基于多目标条件风险值模型的房地产组合投资研究

研究了基于多目标条件风险值(CVaR)模型的房地产组合投资风险度量问题,定义了一种基于权值的多目标CVaR模型,给出了求解它的近似CVaR模型.据此,建立了一个基于多目标CVaR的房地产组合投资优化模型,通过计算这个模型可以得到在一定置信水平下的房地产投资的风险损失值和组合投资比例.应用这个模型对2005年7月到2007年6月全国70个大中城市的房屋价格数据进行了风险值和投资比例数值计算,结果表明,全国仍然存在一些城市的房屋投资是低风险的,但全国大部分城市的房屋投资具有明显的风险性,房地产行业正进入风险投资时期.

Study of Real Estate Portfolio Investment Based on the Multiobjective Conditional Value-at-Risk Model

This paper studies risk measure and control strategy of real estate portfolio investment based on the multiobjective condition value-at-risk(CVaR) model.We define a multiobjective CVaR model and give an approximate CVaR model in order to solve it.Based on the CVaR model,we build a model of real estate portfolio investment model.We apply to the above model to compute investment proportion and risk lossses of portfolio by using data of real estate of 70's cities in China from July in 2005 to June in 2007.Numerical results show that there are some cities that have the less risk lossses of real estate investment.But,the risk lossses of real estate investment is clear to many cities in China.The real estate investment is going to turn into risk time.