Time Variation in the Allocation to Real Estate Assets through the Life Cycle

Michael E. Drew; Adam N. Walk; Jason West

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Time Variation in the Allocation to Real Estate Assets through the Life Cycle

机译：整个生命周期内分配给房地产资产的时间变化

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We investigate the performance of allocations to public and private real estate using dynamic retirement portfolio strategies. Our approach frames asset allocation decisions to real estate with the primary objective of maximizing retirement outcomes. The main innovation in this paper is that allocations to listed and unlisted real estate are formally incorporated into a dynamic framework that can be implemented by defined contribution (DC) retirement plans. We demonstrate that the time-variant characteristics of real estate as an asset class can be systematically exploited to improve the risk-return trade-offs in retirement portfolios through the lifecycle of a DC plan member.

机译：我们使用动态退休投资组合策略调查对公共和私人房地产分配的绩效。我们的方法将资产分配决策制定为房地产，其主要目标是使退休结果最大化。本文的主要创新之处在于，对上市和非上市房地产的分配被正式纳入一个动态框架，该框架可以通过定额供款（DC）退休计划来实施。我们证明，可以将房地产作为资产类别的时变特征加以利用，以通过DC计划成员的生命周期改善退休投资组合中的风险收益权衡。

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《Journal of Real Estate Portfolio Management》 |2018年第1期|51-64|共14页
作者
Michael E. Drew; Adam N. Walk; Jason West;
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Griffith University, Nathan, QLD, Australia, 4111;

Griffith University, Nathan, QLD, Australia, 4111;

University or Queensland, Brisbane, QLD, Australia, 4000;

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2. Another Take on Real Estate's Role in Mixed-Asset Portfolio Allocations [J] . Pagliari Joseph L. Jr. Real estate economics . 2017,第1期

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3. The liquidity crisis of German open-end real estate funds and their impact on optimal asset allocation in retirement [J] . Prof. Dr. Raimond Maurer, Dr. Ralph Rogalla, Yuanyuan Shen Zeitschrift für Betriebswirtschaft . 2012,第s1期

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5. Essays in real estate finance and asset allocation. [D] . Case, Bradford. 2000

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7. Examining fuzzy tactical asset allocation (FTAA) as an alternative to modern portfolio theory (MPT) asset allocation for international and direct real estate investment [O] . Ho DKH, Hui ECM, Su H 2010

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Time Variation in the Allocation to Real Estate Assets through the Life Cycle

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