养老地产REITs业态投资组合绩效研究

发布时间：2018-03-08 08:10

本文选题：养老地产　切入点：房地产投资信托基金　出处：《中国矿业大学》2017年硕士论文　论文类型：学位论文

【摘要】：养老地产随着中国老年化社会到来迎来了重大发展机遇,但由于投资数额巨大,投资回收期长,加之国家宏观调控政策加紧,养老地产融资模式探索已成为关注重点。如何将养老地产和REITs成功结合以促进养老地产金融创新已成为研究热点,然而投资组合是否择优选择不仅影响投资商收益,还会对养老地产REITs成功运作有深远影响。但目前国内对养老地产REITs投资组合研究有待进一步深入。本研究引入投资组合理论和风险价值模型,通过研究养老地产REITs业态投资组合风险收益形成机理,从动态角度构建业态投资组合绩效优化模型择优选择投资组合,对于我国养老地产发展具有理论意义与实际价值。(1)在养老地产价值链构建基础上分析养老地产运营困境,并在价值提升的源生驱动、政策环境的外生拉动、金融创新的内生推动因素之下引入REITs融资模式,以突破养老地产融资和运营困境,促进养老地产持续稳定健康发展。(2)根据养老地产REITs发展条件分析,并在养老地产REITs设计原则基础上,从包括设立模式、组织架构、运营模式、上市路径的REITs内部核心架构设计和包括法律制度建设、风险管理和流通市场平台设立的外部保障机制两部分设计适合中国国情的养老地产REITs融资模式。(3)以养老地产REITs融资模式设计为基础,从层级结构、跨界联盟视角详细分析养老地产REITs风险、收益构成,并在业态投资组合参与方组成战略联盟的前提下,将开发商与运营商视为利益共同体,通过构建开发商与投资商之间的不完全信息动态博弈,对养老地产REITs风险收益形成机理进行分析。(4)在马科维茨组合理论基础上,以均值代替收益,方差代替风险构建业态投资组合绩效初始模型,并结合拉格朗日乘数法求解模型;通过分析初始模型中存在的不足,利用风险价值模型代替初始模型中的方差,构建均值——VAR投资组合绩效优化模型。并通过实证分析对整个模型进行验证和说明。(5)通过对养老地产REITs投资组合影响因素进行分析,厘清了养老地产REITs投资组合管理的宏观环境。并对业态组合、区域组合、时间组合、主体组合四种方式对比分析,得出最适应养老地产REITs投资组合方式,并从动态视角提出养老地产REITs投资组合管理模型。
[Abstract]:With the arrival of the aging society in China, the old-age real estate has ushered in great opportunities for development. However, due to the huge amount of investment, the long payback period of investment, and the intensification of the state's macro-control policies, How to combine pension real estate with REITs to promote financial innovation of pension property has become a hot research topic. However, whether the investment portfolio is optimal or not not only affects the return of investors, but also has a great impact on the financial innovation of pension real estate. It will also have a profound impact on the successful operation of the pension real estate REITs. However, the research on the pension real estate REITs portfolio needs to be further studied. This study introduces portfolio theory and risk value model. By studying the risk return formation mechanism of pension real estate REITs portfolio, the optimal portfolio selection model is constructed from the dynamic point of view. It has theoretical significance and practical value for the development of the endowment real estate in our country. On the basis of constructing the value chain of the pension real estate, it analyzes the dilemma of the operation of the pension real estate, and it is driven by the source of the promotion of the value and the exogenous pull of the policy environment. Under the endogenous impetus factor of financial innovation, REITs financing model is introduced to break through the financing and operation dilemma of pension real estate, and promote the sustainable, stable and healthy development of pension real estate. (2) according to the analysis of the REITs development conditions of pension real estate, And on the basis of the REITs design principle of pension real estate, including the establishment model, organizational structure, operation mode, listing path of the internal core structure design of REITs and including legal system construction, The risk management and the external safeguard mechanism set up by the circulation market platform design the old-age real estate REITs financing model suitable for China's national conditions. It is based on the old-age real estate REITs financing model design, from the hierarchical structure. From the perspective of cross-border alliance, the paper analyzes the REITs risk and income composition of pension real estate in detail, and regards developers and operators as the community of interests under the premise of strategic alliance of portfolio participants. By constructing the dynamic game of incomplete information between developers and investors, this paper analyzes the formation mechanism of REITs risk return in endowment real estate. On the basis of Markowitz's combination theory, the average value is used to replace the income. The variance replaces the risk to construct the initial model of portfolio performance, and combines the Lagrange multiplier method to solve the model, by analyzing the shortcomings of the initial model, the risk value model is used to replace the variance in the initial model. This paper constructs the average VAR portfolio performance optimization model, and verifies and explains the whole model by empirical analysis. It also analyzes the influencing factors of pension real estate REITs portfolio. This paper clarifies the macro environment of pension real estate REITs portfolio management, and compares and analyzes the four ways of portfolio management of pension real estate, such as portfolio of industry, regional portfolio, time combination and main body combination, and obtains the most suitable REITs portfolio mode for pension real estate. And from the dynamic perspective of pension real estate REITs portfolio management model.
【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：D669.6;F299.23;F832.51

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