Purpose – The question as to whether it is better to diversify a real estate portfolio within a property type across the regions or within a region across the property types is one of continuing interest for academics and practitioners alike. However, this study is somewhat different from the...

Purpose – This paper seeks to address the question of consistency, regarding the allocation of real estate in the mixed‐asset portfolio. Design/methodology/approach – To address the question of consistency the allocation of real estate in the mixed‐asset portfolio was calculated over...

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...

Purpose – The usefulness of ex‐post data as a proxy for ex‐ante returns in the portfolio problem rests on the stability of the co‐movement between returns. Yet despite its importance, this issue has not received sufficient examination in the financial literature, particularly in the...

Purpose – Evaluation of risk/return relationship in public real estate market in the UK is vital for investors. In particular sector risk is being assessed, which is increasingly important due to expansion of index linked investments. The aim of this paper is to assess the risk inherent in...

Purpose – Geographic diversity is a fundamental tenet in portfolio management. Yet there is evidence from the USA that institutional investors prefer to concentrate their real estate investments in favoured and specific areas as primary locations for the properties in their portfolios. Work...

Purpose – The relative benefit of sector and regional diversification is a topic of continuing interest to academics, however, the issue has not previously been investigated in Italy. Additionally, previous studies have used geographically defined regions, rather than economically functional...

Purpose – This paper seeks to examine the extent of real estate investment concentration in institutional industrial portfolios at these same two points in time. Design/methodology/approach – To examine this issue two datasets are used at two dates, 1998 and 2003. The analysis is confined to...