Mean-Variance Spanning Tests of Real Estateís Portfolio Contribution

This study re-examines the diversification opportunities that may arise from the inclusion of the private real estate market in a mixed-asset portfolio. The paper's two primary contributions are that firstly we examine this issue through the use of a mean-variance spanning approach rather than the analysis of conventional optimal portfolios. Secondly, we also examine the issue using the recently released MIT-NCREIF Transaction Based Index.

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Year of publication:	2007
Authors:	Lee, Stephen ; Stevenson, Simon ; Krystalogianni, Alexandra
Institutions:	European Real Estate Society - ERES

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Extent:	text/html
Series:	ERES.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011154351