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Has the Inclusion of Unlisted Real Estate Improved the Risk-Return Trade-off of the Government Pension Fund- Global?

Asphjell, Ola; Teigen, Nils Otto
Master thesis
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2030738.pdf (2.361Mb)
Preliminary Thesis.pdf (845.3Kb)
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http://hdl.handle.net/11250/2579961
Utgivelsesdato
2018
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  • Master of Science [1116]
Sammendrag
This paper examines whether the inclusion of unlisted real estate has improved the

risk-return trade-off of the Norwegian Government Pension Fund - Global.

Firstly, we did a regression analysis with the fund returns as the dependent

variable against the Fama and French market factors and bonds as explanatory

variables. In the next part, we calculated the Sharpe ratio and Treynor`s measure

to analyze the performance measures of the fund. Lastly, we did a Markowitz

optimization analysis to find what has been the optimal allocation towards

unlisted real estate in the fund.

We found that the risk-return trade-off has been improved after the inclusion of

unlisted real estate. In addition, the mean-variance optimizer suggested a higher

allocation towards unlisted real estate. Based on these findings, we conclude that

the inclusion of unlisted real estate into the GPFG has improved the risk-return

trade-off
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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