TITLE:
An Inquiry into the Optimal Portfolio for Equity and Real Estate in Japan
AUTHORS:
Chikashi Tsuji
KEYWORDS:
J-REIT, MGARCH, Optimal Portfolio Weight, TOPIX
JOURNAL NAME:
iBusiness,
Vol.16 No.2,
May
27,
2024
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.