Risk Measure and Control Strategy of Investment Portfolio of Real Estate based on Dynamic CVaR Model |
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| Affiliation: | 1. Department of Orthopaedic Surgery (NOCERAL), Faculty of Medicine, University of Malaya, Kuala Lumpur, 50603, Malaysia;2. Department of Biomedical Imaging, Faculty of Medicine, University of Malaya, Kuala Lumpur, Malaysia |
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| Abstract: | This article studies risk measure and control strategy of investment portfolio of real estate based on the dynamic condition value-at-risk (CVaR) model. A dynamic CVaR model is defined, which is a dynamic programming problem. It is shown that the dynamic CVaR problem is equal to another nonlinear programming problem. On the basis of dynamic CVaR model, a model of investment portfolio of real estate is built. The model is applied to compute investment proportion and risk losses of portfolio by using data of real estate of 10 cities in China. Numerical results show that the multistage investment has less risk of loss than the single-stage investment. The control strategy of risk is to choose investment proportion of portfolio according to low risk. |
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