국제금융위기 전후의 혼합자산 최적 포트폴리오 분석과 시사점

초록

As indirect investments in real estate have increased considerably in recent years, this study analyzes the performance of mixed-asset portfolios containing K-REITs, common stock, and bond investments before and after the Global Financial Crisis. Using mean-variance utility function analysis, this research investigates the impact of Real Estate Investment Trusts (REITs) in creating optimal portfolios. The results indicate that there is a significant investment diversification effect especially in the aspect of asset diversification. Also, this study attempts to derive optimal portfolio allocation change of the optimal mixed-asset portfolio by comprising K-RETIs and financial assets such as stocks and bonds before and after the Financial Crisis in 2008. The distribution ratio of assets in the optimal portfolio is more significant K-REITs performance than stocks in the aftermath of the Global Financial Crisis. The Result indicates that the investor should consider how to maximize their return containing REITs among property and financial assets.

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