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]

Recent evidence has suggested a strong relationship between Equity Real Estate Investment Trust (REIT) and value stocks. This article examines in depth not only the similarities in performance sectors but also the driving forces in the two sectors and the extent to which they are substitutable....

The recent poor performance of the equity market in the UK has meant that real estate is increasingly been seen as an attractive addition to the mixed-asset portfolio. However, determining whether the good return enjoyed by real estate is a temporary or long-term phenomenon is a question that...

The poor performance of the Stock Market in the US up to the middle of 2003 has meant that REITs are increasingly been seen as an attractive addition to the mixed-asset portfolio. However, there is little evidence to indicate the consistency of the role REITs should play a role in the...

The performance of a sample of real estate funds over the period 1989-2001 is analysed in order to assess the fund manager's selection and timing ability. In addition to conventional performance measures a number of alternative techniques are also used in order to overcome potential biases...

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 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...