空室率と賃料の変動過程を考慮した不動産投資モデルの期待収益率とVaRに関する研究

概要

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In this study, we formulated the correlated fluctuation process of a vacancy rate and a rent to build the real estate investment model. And we calculated the distribution of IRR (Interest Rate of Return) of this investment model and the term structure of Expected IRR and IRR correspond to risk level of VaR (Value at Risk). As a result, followings are founded. 1) If it is easy to change a rent correspond to the change of a vacancy rate, Expected IRR will be higher especially on the long-term investment. But risk based IRR will be lower, because the distribution of IRR will spread widely. 2) Expected IRR fall rapidly from short-term to middle term investment, then it rise slowly from middle term to long-term investment. That is the shape of the term structure curve of expected IRR is inverse to the risk based IRR. 3) The term structure curve of expected IRR shifts in parallel for the initial value change. But the term structure curve of risk based IRR does not change on the long term in spite of the initial value change.
麗澤大学の論文