Japanese Private Real Estate Models and Portfolio Selection

Private real estate is attracting attention as one of the alternative investment assets from viewpoint high income gain and its low correlation with traditional due to liquidity. The prices privately placed are mainly based on “appraisal prices” by appraisers. return private has autocorrelation smoothing effects appraisals, therefore, appropriate de-smoothing, which removes out necessary for practical use. However, even though it de-smoothed, still only appraisal prices, so cannot be said actually traded in market. Hereinafter, market referred “transaction-based prices”. To solve issue, we propose a modeling mean variance transaction-based estate, using both de-smoothed returns (private but not price information) J-REIT obtained listed (actually information).