%0 Journal Article
%T An Inquiry into the Optimal Portfolio for Equity and Real Estate in Japan
%A Chikashi Tsuji
%J iBusiness
%P 37-44
%@ 2150-4083
%D 2024
%I Scientific Research Publishing
%R 10.4236/ib.2024.162003
%X This paper examines the optimal portfolio selection problems for equity and real estate in Japan. Specifically, we empirically analyze the time-varying optimal portfolio weights for the TOPIX and the J-REIT from April 2003 to June 2013 and from July 2013 to October 2023. Our findings reveal that in the more recent period, higher portfolio weights for the J-REIT are more effective in constructing the two-asset portfolio of the TOPIX and the J-REIT. In other words, our results indicate that in the more recent period, lower portfolio weights for the TOPIX are more efficient in building the two-asset portfolio.
%K J-REIT
%K MGARCH
%K Optimal Portfolio Weight
%K TOPIX
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=133368