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An Inquiry into the Optimal Portfolio for Equity and Real Estate in Japan
Graduate School of Economics, Chuo University, Tokyo, Japan
- 1 Graduate School of Economics, Chuo University, Tokyo, Japan
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Abstract
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.
KeywordsJ-REITMGARCHOptimal Portfolio WeightTOPIX
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