Current Search: portfolio optimization (x)
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Title
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OPTIMAL INVESTMENT STRATEGIES USING MULTI-PROPERTY COMMERCIAL REAL ESTATE: ANALYSIS OF PRE/POST HOUSING BUBBLE.
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Creator
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Kundiger, Kyle, Frye, Melissa, University of Central Florida
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Abstract / Description
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This paper analyzes theperformance of five commercial real estate property types (office, retail, industrial, apartment, and hotel) between 2000 and 2012 to determine the U.S. housing crisis'simpact on Real Estate investing. Under the concept of Modern Portfolio Theory, the data was analyzed using investment analysis programs to determine correlation, risk/return characteristics, and trade-offs (Sharpe ratio) as well as the optimal allocation among the individual property types. In light of...
Show moreThis paper analyzes theperformance of five commercial real estate property types (office, retail, industrial, apartment, and hotel) between 2000 and 2012 to determine the U.S. housing crisis'simpact on Real Estate investing. Under the concept of Modern Portfolio Theory, the data was analyzed using investment analysis programs to determine correlation, risk/return characteristics, and trade-offs (Sharpe ratio) as well as the optimal allocation among the individual property types. In light of the results, each property type plays a different role in investment strategies in various economic cycles. Some assets are attractive solely based onpotential return, or risk for return tradeoffs; however, through diversification, other property types play valuable roles in hedging risk on investors' target returns.
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Date Issued
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2012
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Identifier
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CFH0004296, ucf:44935
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Format
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Document (PDF)
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PURL
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http://purl.flvc.org/ucf/fd/CFH0004296
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Title
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Optimization problem in single period markets.
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Creator
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Jiang, Tian, Yong, Jiongmin, Qi, Yuanwei, Shuai, Zhisheng, University of Central Florida
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Abstract / Description
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There had been a number of researches that investigated on the security market without transactioncosts. The focus of this research is in the area that when the security market with transaction costsis fair and in such fair market how one chooses a suitable portfolio to optimize the financial goal.The research approach adopted in this thesis includes linear algebra and elementary probability.The thesis provides evidence that we can maximize expected utility function to achieve our goal...
Show moreThere had been a number of researches that investigated on the security market without transactioncosts. The focus of this research is in the area that when the security market with transaction costsis fair and in such fair market how one chooses a suitable portfolio to optimize the financial goal.The research approach adopted in this thesis includes linear algebra and elementary probability.The thesis provides evidence that we can maximize expected utility function to achieve our goal(maximize expected return under certain risk tolerance). The main conclusions drawn from thisstudy are under certain conditions the security market is arbitrage-free, and we can always find anoptimal portfolio maximizing certain expected utility function.
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Date Issued
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2013
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Identifier
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CFE0004696, ucf:49875
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Format
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Document (PDF)
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PURL
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http://purl.flvc.org/ucf/fd/CFE0004696