This study re-examines the potential role that direct real estate can play in institutional mixed-asset portfolios. The paper examines the statistical improvement in performance that can result from the inclusion of real estate in an international mixed asset portfolio, using both in-sample and out-of-sample data. Using US real estate data the results provide evidence that in most cases real estate does not lead to a significant improvement in portfolio performance in sample. However, out-of-sample tests indicate that the asset does provide a valuable diversification asset, with significant improvements in performance relative to a base capital market only portfolio.
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格式 PDF ● 网页 139 ● ISBN 9781845443856 ● 出版者 EMERALD PUBLISHING LIMITED ● 发布时间 2004 ● 下载 3 时 ● 货币 EUR ● ID 5997272 ● 复制保护 Adobe DRM
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