以不可分散风险β为测度的房地产组合投资优化决策模型

在房地产投资组合均值一方差分析的基础上,用不可分散风险度量β将单项房地产投资的总风险分解为系统风险与非系统风险,给出了以组合投资系统风险最小化为目标的房地产组合投资决策模型。     

国外房地产投资组合风险分散化研究综述

从20世纪70年代起，房地产开始成为许多大型基金的投资领域，随之而来的投资风险规避和分散已成为基金投资的重点关注内容。许多研究者开始寻求评估房地产投资组合风险及其方法，尤其是集中于房地产投资组合风险的分散化策略。房地产投资组合风险主要包含两类：系统风险和非系统风险。对于系统风险，不能在组合投资中被分散，而对于非系统风险，投资者可以通过调整投资组合策略分散风险．保证投资者获得稳定收益。     

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60%仲量联行2011年"全球企业房地产调查"结果显示,全球60%的企业预计将在未来3年内增加其在北亚地区尤其是在中国的房地产投资组合的规模。中国将继续吸引众多制造商和实业家前来投资建厂,这些企业正日益寻求将房地产外包作为     

投入要素价格变动对房地产投资的影响分析

房地产企业是一个复杂的系统。本文主要从投入角度对房地产投入要素价格变动问题及其与房地产投资完成额关系问题作一些探讨。一、投入要素价格变动对房地产投资的影响理论分析首先,从微观经济学角度来分析房地产企业的投入要素如何影响其投资企业的。生产目的是实现其利润最大化。假定在需求相对稳定的情况下,作为一个房地产企业,其投入生产的基本生产要素是劳动力、资本和土地,企业在考虑如何组织其生产要素的组合以形成最佳投资额时,主要考虑的是各生产要素之间的相对价格。当一种生产要素的价格发生变化时,一方面它会影响企业的边际成本…     

房地产企业投资风险评价研究

众所周知,房地产企业是资金密集型和资金链比较长的企业,在投资过程中相比其他企业也面临着更多的风险和压力。引发风险的因素有很多,本文便从房地产企业投资活动的特点出发,找出最具影响力的导致房地产企业投资活动产生风险的因素,进行相关的分析研究和评价,提出切实可行的控制措施,从根本上降低和缓解房地产投资活动中的风险。     

工业企业房地产投资对企业创新的影响——基于中国上市公司数据的实证研究

工业企业房地产投资对企业创新存在短期的"挤出效应"和长期的"补偿效应"。本文使用企业研发支出和专利申请衡量工业企业创新活动,利用中国上市公司2007~2011年工业企业面板数据,发现工业企业当期房地产投资与研发支出负相关,工业企业跨期累积房地产投资与研发支出负相关,工业企业滞后期房地产投资与企业专利申请量负相关。这表明,工业企业参与房地产开发投资在短期和长期内都不利于企业创新。     

企业年金的社会化投资运作模式(一)

<正>随着人口结构的变化和老龄化的加剧,我国养老问题成为全民关注的重点。通过梳理企业年金的投资方向,包括银行存款、债券、股票、投资基金、房地产和金融衍生工具等方式,探讨我国企业年金投资组合的方式,来实现安全性、收益性和流动性的平衡。     

基于自适应蚂蚁算法的房地产投资组合优化决策

房地产投资组合优化是降低投资风险的有效方法之一。现有的房地产投资组合理论及算法存在缺陷,本文利用熵作为风险衡量指标,并将蚂蚁算法引入房地产开发领域,且针对基本蚂蚁算法存在的计算复杂,易陷入局部最优等缺陷,提出了一种变系数的自适应蚂蚁算法,TSP问题的计算结果表明了该方法较之其他改进算法的优势。以各项目间的均值熵代替TSP中的各城市距离后的房地产投资组合计算实例表明,该方法具有较好的收敛性、稳定性和鲁棒性,是求解组合优化问题的一种较好的方法。     

我国房地产投资风险及控制

正确认识当前的经济形势,并预测将来的发展趋势,合理进行房地产投资决策,成为了房地产投资者亟待解决的问题。本文从房地产企业进行房地产投资的角度出发,探讨当前的经济形势对于房地产市场造成的影响,深刻地分析房地产项目所面临的风险问题,运用科学的手段对风险进行预测和控制,对于减少房地产企业投资风险,提高收益,具有极其重要的指导意义。     

投资性房地产——企业和税务共同面临的问题

一、界定投资性房地产资产要素的现实意义随着经济的发展和投资观念的改变,对有关房地产或物业项目进行投资,渐成一种时尚。有的企业将投资房地产作为主营业务;有的企业在经营其他业务的同时,兼营房地产投资业     

债券组合投资方案设计研究

论文主要研究的是设计债券组合投资方案使得收益最大化的问题。债券投资本身是一个高收益、高风险的活动,论文中债券组合投资通过综合考虑特定债券购买、资金限制债券类型、平均风险等级、平均到期年限这些条件,按照题目所求,查阅相关资料与数据,通过将决策变量、决策目标和约束条件构成的合理的线性规划优化模型来求解问题。     

基于CAPM的国际投资分析

随着经济全球化发展,国际投资日益多元化,因此,如何选择国际投资方式成为众多投资者的关注目标。文章以崭新的视角,采用评价证券组合的资本资产理论来对跨国并购进行分析论证,对跨国并购的溢出效应进行量化分析,帮助决策者进行判断。     

证券投资的风险偏好与期望效用决策模型

本文把期望效用理论用于投资决策分析，按实际风险偏好的系统分类构造模型，据此证明决策人效用函数必为线性函数和指数函数；前者对应风险中立，后者对应风险厌恶和风险追求；函数参数的不同取值，唯一确定了各类风险偏好的性质和程度。由此产生的分析方法和模型，可同时适用于正态或非正态收益分布的证券组合，为投资价值的评估提供有效而实用的程序。     

基于投资组合理论的企业多项目投资管理研究

投资行为所具有的风险和收益密切相关的特点,使投资者必须努力寻求低风险和高收益的投资策略。而投资组合则能够为企业进行分散风险和扩张经营提供强有力的保证。本文使用现代投资组合理论,为企业的多项目投资组合建立优化模型,从定量的角度说明在企业多项目投资管理中运用投资组合的合理性和有效性。     

The financial investment decision of non-financial firms in China

This paper constructs a portfolio model to analyze the determinants of the financial investment decision of non-financial firms in China. Unlike the literature assuming that financial investments are riskless, our model allows risks in both fixed and financial investments. We show that this extension provides an analytically similar but economically different model from the literature. In particular, it is relative risk and risk-adjusted return gap, not pure risk and simple return gap that enter into firms’ financial investment decision model. Using firm-level panel data of 1902 firms listed in Chinese stock market over the period from 2006 to 2016 with semi-annual frequency, we find that the ratio of fixed investment risk over total risk dominates financial investment decisions of non-financial firms. However, rates of risk-adjusted return gap between financial and fixed investments play no role in Chinese firms’ financial investment decisions, which is in stark contrast to the results using a model assuming riskless financial investments. The baseline findings are robust to alternative measures of financialization and investment risk and different firm sizes, ownership structures and time periods.     

组合投资风险规避策略分析

高新技术产业发展呼唤风险投资,但是风险投资具有高风险性和高收益性。本文分析了风险投资风险规避策略中的 组合投资策略及现实意义。     

Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets

To contribute to overcoming global sustainability challenges, investors have been increasingly interested in making sustainable investments and incorporating environmental, social and governance (ESG) criteria into their portfolio selection decisions and managerial activities. However, these investors and other agents interested in sustainable investment need updated and robust information to support their decision making. We analyzed the performance of several Dow Jones Sustainability Indices (DJSIs) and compared them with their respective market benchmarks from 2013 to 2018. The indices comprise the following regions and countries: the world, the Asia‐Pacific, Europe, emerging markets and the US. The analysis was conducted based on both classic and modern portfolio metrics. The results suggest that sustainable investment performance is still heterogeneous worldwide, but there is a promising opportunity for investors to obtain superior risk‐adjusted returns in certain regions while incorporating sustainable investment practices. The findings are of utmost importance to financial market practitioners, business managers, academics and other stakeholders interested in promoting investments, corporate practices and scientific knowledge to achieve the Sustainable Development Goals (SDGs).     

Social responsibility portfolio optimization incorporating ESG criteria

Social responsibility investment (SRI) has attracted worldwide attention for its potential in promoting investment sustainability and stability. We developed a three-step framework by incorporating environmental, social, and governance (ESG) performance into portfolio optimization. In comparison to studies using weighted ESG rating scores, we constructed a data envelopment analysis (DEA) model with quadratic and cubic terms to enhance the evidence of two or more aspects, as well as the interaction between the environmental, social, and governance attributes. We then combined the ESG scores with financial indicators to select assets based on a cross-efficiency analysis. The portfolio optimization model incorporating ESG scores with selected assets was constructed to obtain a social responsibility investment strategy. To illustrate the effectiveness of the proposed approach, we applied it in the United States industrial stock market from 2005 to 2017. The empirical results show that the obtained SRI portfolio may be superior to traditional investment strategies in many aspects and may simultaneously achieve the consistency of investment and social values.     

Management practices in Australasian ethical investment products: a role for regulation?

This paper adds to the literatures on socially responsible investment (SRI), investment management, regulation of financial services and social accounting by providing a comprehensive survey of investment methods used in SRI products and regulated social reporting in financial services. Australian and New Zealand regulations require issuers of self‐declarative SRI products to provide details on methods used in portfolio construction. Regulators' objectives to standardize the reporting of portfolio construction and thus improve its comparability were identified by examination of parliamentary debates and other public reports. Portfolio construction styles of 86 SRI products managed by 63 financial institutions in Australia and New Zealand were chosen for analysis. Statistical analysis was conducted to identify associations between styles, construction methods and assessment techniques over a four‐year period: 2004–2007. These aspects were further examined in 18 case studies. Over the period, diversity and intensity of construction methods had increased both within and between investment managers. The non‐standard nature of management consultation used in SRI products, marketing needs to distinguish rather than standardize investment methods and the types of information thought relevant to clients did not reconcile easily with the types of information required by regulation. The more recent products in the sample tended to reference market indexes in portfolio construction, separate social considerations from financial considerations and delegate qualitative assessments of invested companies. Consumer policy implications arise from questions bearing on the integrity of information attached to investment products and the effective monitoring of delegated investment processes. Copyright © 2008 John Wiley & Sons, Ltd and ERP Environment.     

Homeownership and mixed-asset portfolio allocations

Homeownership represents both a consumption and an investment decision for individuals. Considering the investment benefits of the home, we estimate the total returns and risk associated with the investment in single-family homes. Then, using a mean–variance utility function, we consider the impact of homeownership and mortgage loan financing on the optimal asset allocation decisions of individuals and contrast this with advice that does not include the home as part of the portfolio. While optimal portfolio weights are dependant upon both the degree of risk aversion of the individual investor and the relative importance of the home in the overall net worth picture, we show that, in general, the higher the home-to-net worth ratio, the higher the optimal portfolio allocation to stock. For most investors, including the home in the optimization decision leads to higher allocations to risky stock than suggested by traditional advice that ignores the home.