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Asset Allocation Strategy and Market Return for Real Estate Institutional Investors

In: European Real Estate

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  • Gianluca Mattarocci

Abstract

Portfolio investment choices can have a direct impact on the performance of any type of real estate investment vehicles (hereinafter REIV), and the effect could be even more important than other financial ratios of the instrument (like leverage, efficiency, etc.) (Redman and Manakyan, 1995). Literature focuses the attention on the role of different asset classes in REIV’s portfolio and provides evidence that portfolio construction choices and the role of different sectors can affect the market risk of the investment strategy (Newell and Peng, 2006). In the standard mean-variance scenario assumed in the Sharpe Ratio, the choice to focus prevalently on one sector with respect to another one can affect significantly the optimal portfolio choice (Newell and Fischer, 2009).

Suggested Citation

  • Gianluca Mattarocci, 2015. "Asset Allocation Strategy and Market Return for Real Estate Institutional Investors," Palgrave Macmillan Books, in: Gianluca Mattarocci & Dilek Pekdemir (ed.), European Real Estate, chapter 9, pages 183-196, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-43612-2_10
    DOI: 10.1057/9781137436122_10
    as

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