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A Note on Optimal Portfolio Selection and Diversification Benefits with a Short Sale Restriction on Real Estate Assets

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Author Info
Tsong-Yue Lai () (Department of Finance California State University, Fullerton Fullerton, California 82834)
Ko Wang () (Department of Finance California State University, Fullerton Fullerton, California 82834)
Su Han Chan () (Department of Finance California State University, Fullerton Fullerton, California 82834)
Daniel C. Lee (Department of Finance California State University, Fullerton Fullerton, California 82834)

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Abstract

This paper develops an optimal portfolio selection technique when short sales on real estate assets are restricted. Using the well-known mean-variance efficient concept, we are able to derive the optimal weights for portfolios consisting of both financial assets and real estate assets. Our paper provides a simple but powerful tool for portfolio managers to correctly construct mean-variance portfolios under short sale constraints.

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File URL: http://aux.zicklin.baruch.cuny.edu/jrer/papers/pdf/past/vol07n04/v07p493.pdf
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Publisher Info
Article provided by American Real Estate Society in its journal Journal of Real Estate Research.

Volume (Year): 7 (1992)
Issue (Month): 4 ()
Pages: 493-501
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Handle: RePEc:jre:issued:v:7:n:4:1992:p:493-501

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Postal: American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323
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Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
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Find related papers by JEL classification:
L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

References listed on IDEAS
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  1. David J. Hartzell & David G. Shulma & Vice President, 1987. "Refining the Analysis of Regional Diversification for Income-Producing Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 2(2), pages 85-95. [Downloadable!]
  2. David Hartzell & John Hekman & Mike Miles, 1986. "Diversification Categories in Investment Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 14(2), pages 230-254. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Solange M. Berstein & Rómulo A. Chumacero, 2003. "Quantifying the Costs of Investment Limits for Chilean Pension Funds," Working Papers Central Bank of Chile 248, Central Bank of Chile. [Downloadable!]
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