REITs Portfolio Optimization: A Nonlinear Generalized Reduced Gradient Approach

Rita Yi Man Li, Amos Chan


Many investors would like to know which countries’ REITs they should invest, and the respective industrial REITs in those countries to maximize their profits. To construct REITs the optimal portfolios for Asia-Pacific/North-America/Global Portfolio, we gathered REITs daily data and categorised it according to different industries. Variance and covariance matrix between different industries of the target countries and the REITs performance between different countries are used to study the relationship between them. The global optimal portfolio is investigated by analyzing REIT data of Asia –Pacific and North America countries. By adopting Nonlinear Generalized Reduced Gradient approach, this paper investigates the optimal portfolio of REITs.


REITs, Optimization, Generalized reduced gradient model


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