A number of studies have examined the benefits of regional diversification strategies within commercial real estate portfolios with two approaches adopted; the first is based on primary contiguous geographical regions while the second employs areas based on economic function. In general, the...

This paper examines the cyclical regularities of macroeconomic, financial and property market aggregates in relation to the property stock price cycle in the UK. The Hodrick Prescott filter is employed to fit a long‐term trend to the raw data, and to derive the short‐term cycles of each...

This paper investigates the extent to which risk reduction can be achieved within the UK property market in high and low Beta portfolios. This issue is examined by making simulations of property portfolios of increasing size using the largest sample (392) of actual property returns that is...

In estimating the inputs into the modern portfolio theory (MPT) portfolio optimisation problem, it is usual to use equal weighted historic data. Equal weighting of the data, however, does not take account of the current state of the market. Consequently this approach is unlikely to perform well...

Traditionally, the measure of risk used in portfolio optimisation models is the variance. However, alternative measures of risk have many theoretical and practical advantages and it is peculiar therefore that they are not used more frequently. This may be because of the difficulty in deciding...