|Teigen, Nils Otto
|Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
|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
|Has the Inclusion of Unlisted Real Estate Improved the Risk-Return Trade-off of the Government Pension Fund- Global?