Advanced SearchSearch Tips
Diversified Investment of Commercial Real Estate Assets - Focused on Office Building and Retail Real Estate Markets in Seoul -
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
Diversified Investment of Commercial Real Estate Assets - Focused on Office Building and Retail Real Estate Markets in Seoul -
Park, Jongkwon; Jun, Jaebum;
  PDF(new window)
This paper is to understand investment`s efficiency and performance of commercial real estate assets diversified by use and district. To do so, this paper divides two different commercial real estate markets(office build market and retail real estate market) in Seoul city by district into "GBD(Gangnam Business District), YBD(Yeouido Business District), and CBD(Central Business District)" and "GBD(Gangnam Business District), SBD(Shinchon Business District), and CBD(Central Business District)" respectively, configures these districts each other to structure portfolios as its portion varies based on Markowitz`s Mean-Variance principle, and looks at risk-return relationship of portfolios to find out efficiency, performance, and optimal investment chosen based upon Sharpe`s Performance Index. As a result, the portfolio configured by "10 to 30% of office building asset at CBD" and "70 to 90% of retail real estate asset at CBD" is shown to be the most optimal, suggesting the highest quarterly Sharpe`s performance index of 2.7118~2.7776 with quarterly rate of return of 1.826%~1.838% and quarterly standard deviation of 0.573~0.589. Furthermore, it is obvious that diversified portfolio configured by use(office-retail) shows better investment performance than that by district with same type of asset(office-office or retail-retail). Finally, results driven from this research will play an important role to stimulate real estate and construction markets through enlarging ideas as to diversified investment by use and district on real estate indirect investment products.
Commercial Real Estate Market;Diversified Investment;Sharpe`s Performance Index;Office Building Market;Retail Real Estate Market;Seoul City;
 Cited by
Bank of Korea. Economic Statistics System (2009-2014).

Cho, K. S., Lee, S. H., & Kim, J. J. (2013). "An Empirical Study on the Risk Diversification Effect of REITs", Korean Journal of Construction Engineering and Management, KICEM, 14(1), pp. 23-31. crossref(new window)

Fama,E.and MacBeth, J. (1973). "Risk, Return, and Equilibrium: Empirical Tests", Journal of Political Economy, 81(3), pp. 607-636. crossref(new window)

Hong J. Y and Lee Y. M. (2003). "Geographical Diversification in Real Estate Portfolio", Korean Appraisal Review, 13(1), pp. 181-195.

Jensen,M.,Black,F., and Scholes,M. (1972). "The Capital Asset Pricing Model : Some Empirical Test", New York:Praeger Publishers, pp. 79-121.

Kim, J. A. (2012). "Study on the Profitability of Mixed-Real Estate Fund Portfolio", Thesis, Konkuk Univ.

Kim, K. S. (2013). "A Study on the Optimal Global Mixed-Asset Portfolio Including Real Estate", Thesis, Konkuk Univ.

Kim, S. J. (2006). "A Study on the Portfolio Investment of Office Building by Office Index", Korean Appraisal Review, 16(2), pp. 49-70.

Lee, C. J., Lee. G., Won, J. S., & Ham, S. I. (2010). "Study on a Method for Composing a Portfolio for REITs Investment Using Markowitz's Portfolio Model", Korean Journal of Construction Engineering and Management, KICEM, 11(2), pp. 54-63.

Lee, Y. M. (2001). "Real Estate Investment Portfolio and Value at Risk Estimated by Bootstrapping Simulation", Journal of KREAA, 7(1), pp. 33-47.

Lintner, J. (1965). "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets", The Review of Economics and Statistics, 47(1), pp. 13-37. crossref(new window)

Markowitz, H. (1952). "Portfolio Selection", The Journal of Finance, 7(1), pp. 77-91.

Ministry of Land, Infrastructure, and Transport & Korea Appraisal Board. (2009-2014). Leasing Trends Survey of Commercial Real Estate Market.

Mossin, J. (1966). "Equilibrium in a Capital Asset Market", The Econometric Society Econometrica, 34(4), pp. 768-783. crossref(new window)

Park, J. K. and Jun, J. B. (2015). "Applicability of CAPM(Capital Asset Pricing Model) to Office Building Market in Seoul", Journal of the Architectural Institute of Korea Planning & Design, 31(8), pp. 93-104.

Ross, S., Westerfield, R., & Jaffe, J. (2009). "Corporate Finance", 9th ed, McGraw-Hill.

Seo, H. S. (1999). "A Study on the Portfolio Efficiency of Real Estate in Korea", Journal of KREA, 16, pp. 89-106.

Sharpe, W. (1964). "A Theory of Market Equilibrium under Conditions of Risk", The Journal of Finance , 19(3), pp. 425-442.

Sharpe, W. (1966). "Mutual Fund Performance", The Journal of Business, 39(1), pp. 119-138. crossref(new window)

ShinYoung Asset. (2014). Office Market Report.

Treynor, J. and Fischer, B. (1972). "Portfolio Selection Using Special Information, under the assumptions of the Diagonal Model, with Mean-Variance Portfolio Objectives, and without Constraints", Mathematical Methods in Investment and Finance, 4, pp. 367-384.

Yoon, K. S. (2010). "A Study on the Profitability and Risk of Multi-Asset Fund Portfolio", Ph.D. Dissertation, DanKook Univ.