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dc.contributor.authorAsphjell, Ola
dc.contributor.authorTeigen, Nils Otto
dc.date.accessioned2019-01-09T12:43:42Z
dc.date.available2019-01-09T12:43:42Z
dc.date.issued2018
dc.identifier.urihttp://hdl.handle.net/11250/2579961
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018nb_NO
dc.description.abstractThis 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-offnb_NO
dc.language.isoengnb_NO
dc.publisherHandelshøyskolen BInb_NO
dc.subjectfinansnb_NO
dc.subjectfinancenb_NO
dc.titleHas the Inclusion of Unlisted Real Estate Improved the Risk-Return Trade-off of the Government Pension Fund- Global?nb_NO
dc.typeMaster thesisnb_NO


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