The Bootstrap Efficient Frontier for Mixed-Asset Portfolios

How much in real estate? To answer this question, uncertainty needs to be introduced into the efficient frontier, so that a confidence interval can be estimated for the real estate weight in a mixed-asset portfolio. Instead of focusing on a single optimal portfolio, this study examines the entire efficient frontier using the traditional point estimate method and the bootstrap simulation. The bootstrap distributions of the estimated weight vectors indicate that their confidence intervals are large enough to render them effectively useless. Once uncertainty is introduced, the efficient frontier becomes fuzzy and the weight vectors become even fuzzier.     

REIT-Based Pure-Play Portfolios: The Case of Property Types

This article explores a technique for constructing REIT-based pure-play portfolios which replicate the performance of target real estate sectors without direct exposure to non-target sectors. The construction of pure-play portfolios uses a combination of long and short positions, and does not require time-series data for the target sectors. Pure-play portfolios may be useful for hedging, speculation, building custom-designed balanced portfolios, calculating betas for capital budgeting and developing historical performance indices. Performance indices for the four major commercial property-type sectors are presented in this paper. REIT-based sectoral returns are then compared with NCREIF-based returns by property type.     

Real Estate for the Long Term: The Effect of Return Predictability on Long-Horizon Allocations

We examine how the predictability of real estate returns affects the risk of, and optimal allocations to, real estate for investors of differing investment horizons. Returns to direct real estate are mean reverting, and risk decreases with horizon. This is driven by a tendency for property transaction prices to overshoot inflation. Mean reversion in real estate returns is weaker than that of equities, resulting in real estate having similar risk to equities for long-term investors. However, optimal portfolios have large allocations to direct real estate at all horizons, and the allocation increases with horizon. Finally, we find that real estate investment trusts are a redundant asset class for investors with access to direct real estate as an asset class, but they do have a role in optimal allocations when direct property investment is not feasible.     

The Impact of Market Imperfections on Real Estate Returns and Optimal Investor Portfolios

This study investigates the consequences of several imperfections associated with real estate markets on pricing and optimal investor portfolios from a CAPM context. CAPM assumptions are relaxed to recognize illiquidity, the consumption and investment attributes of owner-occupied housing, and a mildly segmented market structure. The study finds that relaxing the CAPM assumptions lead to a separate pricing paradigm for financial assets, income-producing real estate and owner-occupied housing respectively, that a "dividend effect" arises for real estate as the result of illiquidity, and that illiquidity reduces the extent to which investors hold real estate in their portfolios.     

The marketing strategy of a project-based firm: The Four Portfolios Framework

The purpose of this paper is to address the simultaneous management of multiple business relationships and multiple projects in the marketing strategy of the project-based firm. The research question is: How can the essence and interdependencies between the portfolios of relationships and projects be conceptualized as the marketing strategy of a project-based firm? We address this question by constructing a framework including two portfolios of relationships and two portfolios of projects, and by discussing how these portfolios may be interrelated. Combining the approaches of relationship management in project marketing on the one hand and the management of project portfolios on the other contributes a novel viewpoint to project marketing.     

管窥建设工程项目财务管理存在的主要问题

建设工程项目财务工作,是经济管理的重要组成部分,也是在市场经济条件下合理使用国家建设资金,保证工程质量,促进建设部门廉政建设的大问题。但是目前我国建设工程项目的财务管理工作还存在很多问题,本文拟就这方面问题的产生原因和对策进行探讨。     

The Simple Meaning of Complex Rates of Return

Real options analysis (ROA) has been identified in the literature as a quantitative means to evaluate the flexibility inherent in the decision-making process. From an engineering economics perspective, this paper highlights applications, real-world users, modeling approaches, ROA assumptions, and future research directions. Through identifying and systematizing the current literature, a concise summary of modeling concerns and a road map for future modeling efforts and applications is discussed. More specifically, this paper supports research efforts to combine decision analysis tools with financial option pricing techniques to develop a real option framework that will be accepted in industry to make decisions in today's fast-paced and highly competitive business environment.     

Rates of Return on GNMA Securities: The Cost of Mortgage Funds

This paper examines rates of return earned on GNMA securities over the period January 1971 through June 1978. We find that over this period the mean monthly return on GNMAs was greater than the mean return on long-term government bonds and slightly greater than the mean return on high-grade corporate bonds. However, in neither case was the difference statistically significant. Thus, based on this evidence, it is not possible to conclude that the cost of acquiring funds to finance single-family housing purchases through the GNMA program exceeded the cost of acquiring funds by the U.S. treasury or financially-strong corporations.     

The Consequences of REIT Index Membership for Return Patterns

The impact of stock market index membership on Real Estate Investment Trust (REIT) stock returns is unclear. Returns may become more like those of other indexed stocks and less like those of their underlying properties. Taking advantage of the inclusion of REITs in major S&P indexes starting in 2001, we find that shared index membership significantly increases the correlation between REIT returns. However, index membership also enhances the link between REIT returns and the underlying real estate, consistent with improved pricing efficiency.     

Thrift Asset-Class Returns and the Efficient Diversification of Thrift Institution Portfolios

We estimate quarterly return series from March 1984 through December 1989 for 10 classes of thrift assets using the statistical cost-accounting methodology of Hester and Zoellner (1966). We then use these return series to estimate mean-variance efficient frontiers for all thrifts, for thrifts that were well capitalized two years earlier and for thrifts that were insolvent two years earlier. Our results show that neither the asset restrictions existing before nor those in effect after passage of the Financial Institutions Reform, Recovery and Enforcement Act of 1989 would have prevented thrifts from reaching most of the portfolios along the efficient frontier. The actual portfolio chosen by well-capitalized thrifts is close to the estimated efficient frontier, while the actual portfolio chosen by insolvent thrifts is located far from the frontier in the high-risk end of investment space. These findings, coupled with the high proportion of nontraditional assets in the actual portfolio chosen by insolvent thrifts, support the hypothesis that moral hazard induced thrifts to take on investments that were excessively risky from the deposit insurer's point of view.     

Measuring the Economic Rate of Return on Assets

This paper (1) describes a procedure for correctingthe deficiencies associated with the accounting rateof return, and for capitalizing the intangible assetscreated by the firm's R & D expenditures; and (2)demonstrates the superiority of the derived measure ofrate of return in a fixed effects model testing therelative influence of firm and industry effects onreturns. Both of these influences are shown to bemuch stronger than in previous empirical work.     

Rates of Return on Housing of Low-and Moderate-Income Owners

While long-term returns to capital invested in owner-occupied housing have been competitive with other investment alternatives, no evidence exists on the market performance of the owner-occupied housing in which low- and moderate-income households would be most likely to invest. This article thus attempts to answer the question of whether the "affordable housing units" that are relevant to policy discussions concerning low- and moderate-income homeownership have experienced different rates of price appreciation than have higher valued dwellings. The national file of the American Housing Survey is used to estimate appreciation rates by value class in representative U.S. housing markets. We find that for the period 1974 through 1983 appreciation rates for lower valued housing were generally about equal to those for higher valued housing.     

油田资本金利润率分析

利润额与油田资本占用量，生产经营成果，劳动占用量，劳动消耗量的比率，形成了反映油田赢利能力的资本金利润率，销售利润率和成本费用利润率等利润率指标，其中资本金利润率是最重要和最基本的指标。通过资本金利润率的一般分析及资本金总额及资本金周转的因素对资本金利润率的影响分析，可以反映出油田企业资本运用效果，提出提高油田企业资本运用效率的途径。     

A Companion For NPV: The Generalized Relative Rate of Return

We show how to determine a unique rate, for a particular cash flow stream, that is used only whenever a project demands outside resources to compound the rates of the existing term structure precisely at those times. The net present value of the cash flow stream when discounted with the thus-modified term structure becomes zero. We therefore determine a vector of rates that belongs to the induced space of internal rates of return for that cash flow stream. The rate is applicable under discrete stochastic interest rate representations and provides maximum loan rates that may be contracted only when needed thus keeping a project financially autonomous. (Any investments required may be fully repaid by the project's own cash outflows).     

提高质量监督人员技能培训效果的措施

近几年来开展职工技能培训，鉴于职工实际培训时间较短、职工文化基础、年龄参差不齐．大多数采取半脱产形式以及教学条件的限制．技术质量监督职工技能培训在许多单位已形成事实上的课堂教学式培训，即传授式与研讨式相结合的培训方法。如何提高这种技能培训方式的效果巳成为决定职工技能培训质量高低的重要因素。     

基于企业资本增长的基准收益率研究

利用递归效用函数,通过理论推导建立了包含有企业风险偏好的基准收益率模型,进而以该模型为基础,通过引入总资产周转率和资产负债比率两个工具变量,建立了测定基准收益率的计量模型。采用WIND数据库中房地产板块中代表性企业的历史数据对模型进行实证研究。     

确定建设项目或行业基准内部收益率的初步探讨

随着经济改革的不断深入，在项目经济评价中，国内所使用的基于20世纪80年代经济形势下测算发布的基准内部收益率指标，已经很难满足目前经济环境下的要求。文章力图从基准内部收益率的构成出发，寻求如何更合理地制定基准内部收益率的方法。     

油井采出液处理效果分析及改进措施研究

通过对油站和污水站的化学成分分析，找出了电脱水器跳闸的原因：由于污水中的一些成分导致腐蚀，腐蚀产生的硫化铁和铁颗粒，随着油水混合液在管线中运移，在电脱水器上越积越厚，致使电脱水器上导电率增高，电脱水器跳闸。提出了改善注入水水质，减缓腐蚀的有利措施。     

上市公司会计信息披露的现状及对策

上市公司会计信息披露是维护证券市场的正常秩序,保护广大投资者利益的重要保证.目前一些上市公司的舞弊行为,其信息披露中的会计失真问题成为证券市场面对的焦点之一.本文分析了目前我国上市公司会计信息披露的意义、存在的问题及应采取的措施.     

The Risk and Return of Commercial Real Estate: A Property Level Analysis

I compare the performance of the index‐based time series approach and the cross‐sectional approach in estimating factor loadings of nontraded assets, and show that the latter likely provides less biased and more efficient estimates. I then use the cross‐sectional approach to estimate the loadings of privately owned commercial real estate on the Fama and French (1993) factors, the Pastor and Stambaugh (2003) liquidity factor, and two bond market factors, using a sample of 14,115 properties in the 1977–2012 period. I find statistically significant loadings, of which the signs seem consistent across property types, but the magnitude varies. Using the time series approach on the same data, I find insignificant loadings on virtually all factors. To investigate the sources of the weak results from the time series approach, I conduct a Monte Carlo simulation in which both approaches are correctly specified and indices can be estimated perfectly. Simulation results suggest that the cross‐sectional approach provides more accurate estimates under reasonable market conditions.