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 use of MPT in the construction real estate portfolios has two serious limitations when used in an ex-ante framework: (1) the intertemporal instability of the portfolio weights and (2) the sharp deterioration in performance of the optimal portfolios outside the sample period used to estimate...

[abstract missing - contribution appeared in the programme]

This paper examines the geographical investment practices of institutional investors in the commercial real estate office market in 1998 and 2003 in England and Wales, using some previously unused datasets. The findings show that investors concentrate their holdings in a few (urban) areas and...

Over the past couple of decades a behavioural real estate research paradigm has been developing. In this paper, observed aggregate behaviour within the institutional real estate investment community is analysed and related to economic assumptions underpinning investment theory and market...

ERES:conference

Commercial real estate investors usually have well-established methods to assess the risks of a property investment in their home country. However, when the investment decision is overseas another dimension of uncertainty overlays the analysis. This additional dimension, typically called country...

A number of studies of commercial real estate markets find evidence of persistence in returns, which suggests that a profitable trading rule could be developed that trades on past performance. This paper tests this proposition by analysing whether an investor can achieve higher returns than the...

The paper will assess the realised performance of UK real estate investment funds using the largest available set of data from IPDís records. The first objective is to document fund returns over periods of 10 and 20 years using all the standard indicators of return, risk and risk adjusted...

The aim of the Journal of Property Investment and Finance is to keep industry practitioners informed on current thinking and developments in all aspects of real estate research and practice by informing and encourage debate between academics and practising professionals. To achieve this aim the...