Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/220422
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dc.titleCOMPARATIVE RISK ANALYSIS BETWEEN THE MARKOWITZ QUADRATIC PROGRAMMING MODEL AND THE MULTIVARIATE COPULA MODEL FOR A SINGAPORE REITS PORTFOLIO
dc.contributor.authorXIE JIEYI ESTHER
dc.date.accessioned2014-04-30T08:21:11Z
dc.date.accessioned2022-04-22T17:08:10Z
dc.date.available2019-09-26T14:13:55Z
dc.date.available2022-04-22T17:08:10Z
dc.date.issued2014-04-30
dc.identifier.citationXIE JIEYI ESTHER (2014-04-30). COMPARATIVE RISK ANALYSIS BETWEEN THE MARKOWITZ QUADRATIC PROGRAMMING MODEL AND THE MULTIVARIATE COPULA MODEL FOR A SINGAPORE REITS PORTFOLIO. ScholarBank@NUS Repository.
dc.identifier.urihttps://scholarbank.nus.edu.sg/handle/10635/220422
dc.description.abstractWhile Markowitz Portfolio Theory (MPT) has been the main method in modern finance to construct portfolios with maximized returns for given risks, a more flexible model, the Multivariate Copula model, is introduced in recent years that enables investors and portfolio managers to obtain optimal portfolio even when the MPT assumption of returns that conform to a normal distribution does not hold true. This forms the impetus of this study, which seeks to carry out a comparative analysis to evaluate how the Multivariate copula model fare against the MPT in capturing risks for an S-REITs portfolio. The portfolio comprises seven pioneering S-REITs. Initially, an integrated Analytical Hierarchy Process (AHP) Strategic Asset Allocation (SAA) model is adopted to create a diversified portfolio. An efficient frontier is constructed and analyzed under the Markowitz Quadratic Programming (QP) Tactical Asset Allocation (TAA) model, constrained by tactical bands and formulated from the AHP-SAA model. Then the Multivariate Copula model is adopted as the alternative TAA model to obtain the optimal portfolio with maximized returns at the lowest risk. The two resulting TAA models are found to be comparable as the expected portfolio returns of both models are close and within random error range. From the comparative risk analysis, the Markowitz QP model is found to capture more specific risk to market risk while the Multivariate Copula model is able to capture greater market risk to specific risk. Both models are equally effective alternatives and each is rigorous in constructing and estimating TAA portfolio that enable investors to engage in active management of the investment and to take advantage of arbitrage opportunities in the market.
dc.language.isoen
dc.sourcehttps://lib.sde.nus.edu.sg/dspace/handle/sde/2512
dc.subjectReal Estate
dc.subjectRE
dc.subjectHo Kim Hin David
dc.subject2013/2014 RE
dc.subjectComparative Risk Analysis
dc.subjectMarkowitz Quadratic Programming
dc.subjectMultivariate Copula
dc.subjectREIT
dc.subjectPortfolio
dc.subjectSingapore REITs
dc.typeDissertation
dc.contributor.departmentREAL ESTATE
dc.contributor.supervisorHO KIM HIN DAVID
dc.description.degreeBachelor's
dc.description.degreeconferredBACHELOR OF SCIENCE (REAL ESTATE)
dc.embargo.terms2014-06-03
Appears in Collections:Bachelor's Theses

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