Abstract: This essay focuses on studying optimal investment policies of an insurer after adding the real estate investment factorWe assume the insurer's risk process follows the classic CramerLundeberg model, and the insurer can invest their fund into cash market and two risk markets, which are bond, stock and real estate marketsUnder the constraints of no short selling and no borrowing, based on the MeanVariance model, this essay uses the stochastic linearquadratic (LQ) control theory as calculation method to derive the optimal investment policies and efficient frontierAccording to the results, the real estate optimal investment amount not only shows nonsimple linear relationship with the company's initial capital, but it also shows a series of complex relationships with the market premium of real estate and with unpredicted shocks

摘要： 本文研究了保险公司投资不动产时的最优投资策略问题。本文假设保险公司的风险过程为经典CramerLundeberg模型。保险公司可把资金投资于现金市场和两个风险市场，分别为债券、股票和不动产。在卖空、借贷限制下，基于均值—方差模型，应用辅助随机二次线性问题求解方法，得到最优投资策略和有效边界。研究结果显示，不动产最优投资量不仅与初始资本金存在非简单线性关系，还与不动产的市场溢价水平、未预期冲击存在一系列复杂关系。