Risk Measure and Control Strategy of Real Estate Portfolio Investment based on the Dynamic CVaR Model
基于动态CVaR模型的房地产组合投资的风险度量与控制策略

This paper studies risk measure and control strategy of real estate portfolio investment based on the dynamic condition value-at-risk(CVaR) model.We define a dynamic CVaR model which is a dynamic programming problem.We show that the CVaR problem is equal to another nonlinear programming problem.Based on the dynamic CVaR model,we build a model of real estate portfolio investment model.We apply to the model to compute investment proportion and risk losses of portfolio by using data of real estate of 10's cities in China.Numerical results show that the multi-stages investment is the less risk losses of real estate investment than that of single stage.The control strategy of risk is to choose investment proportion of portfolio according to low risk.