The Allocation of Real Estate to Future Mixed-Asset Institutional Portfolios
This paper uses the mean-variance framework to investigate real estate's role in an institutional portfolio. Unlike previous research, however, the paper does not assume a value for future real estate returns. Instead, it is assumed that real estate is held in the portfolio, and the level of expected return that is needed to justify the allocation is determined. Gross returns in the 10%-12% range appear to be sufficient; however, such returns are considerably greater than the sector's recent performance. The impact of adding real estate to a benchmark portfolio is reexamined using the shortfall risk approach. Finally, several caveats about using the mean-variance technique with real estate are described.
Volume (Year): 7 (1992)
Issue (Month): 4 ()
|Contact details of provider:|| Postal: |
Web page: http://www.aresnet.org/
|Order Information:|| Postal: Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323|
Web: http://pages.jh.edu/jrer/about/get.htm Email:
References listed on IDEAS
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.:
- David Geltner, 1989. "Estimating Real Estate's Systematic Risk from Aggregate Level Appraisal-Based Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 17(4), pages 463-481.
- David J. Hartzell & James R. Webb, 1988. "Real Estate Risk and Return Expectations: Recent Survey Results," Journal of Real Estate Research, American Real Estate Society, vol. 3(3), pages 31-37.
- W. B. Brueggeman & A. H. Chen & T. G. Thihodeau, 1984. "Real Estate Investment Funds: Performance and Portfolio Considerations," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 12(3), pages 333-354.
- S. Michael Giliberto, 1988. "A Note on the use of Appraisal Data in Indexes of Performance Measurement," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 16(1), pages 77-83.
When requesting a correction, please mention this item's handle: RePEc:jre:issued:v:7:n:4:1992:p:423-432. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (JRER Graduate Assistant/Webmaster)
If references are entirely missing, you can add them using this form.