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Real estate's role in an international multi-asset portfolio: empirical evidence using Irish data

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  • Simon Stevenson

Abstract

This paper re-examines the issue of property's role in a mixed asset portfolio. Using Irish data it expands on the existing literature by extending the universe of assets to include international equity and fixed income markets. The results show that property maintains a reasonably high allocation in a mixed asset portfolio. However, when the property returns are adjusted for smoothing, the asset fails to enter any of the optimal portfolios. Further tests are conducted examining the impact of imposing constraints on the allocations. Minimum allocations are imposed on Irish equities and bonds, whilst international assets have maximum allocations put in place. The results show that property's role is increased, due to the increased attractiveness of it's risk reduction qualities.

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  • Simon Stevenson, 1999. "Real estate's role in an international multi-asset portfolio: empirical evidence using Irish data," Journal of Property Research, Taylor & Francis Journals, vol. 16(3), pages 219-242, January.
    • Handle: RePEc:taf:jpropr:v:16:y:1999:i:3:p:219-242
    DOI: 10.1080/095999199368120
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    References listed on IDEAS

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    1. Elaine Worzala & Kerry D. Vandell, 1995. "International Direct Real Estate Investments as Alternative Portfolio Assets for Institutional Investors: An evaluation," ERES eres1995_185, European Real Estate Society (ERES).
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    Cited by:

    1. Thomas Lagoarde-Segot & Brian M. Lucey, 2006. "Portfolio allocations in the Middle East and North Africa," The Institute for International Integration Studies Discussion Paper Series iiisdp141, IIIS.
    2. Haß, Lars Helge & Johanning, Lutz & Rudolph, Bernd & Schweizer, Denis, 2012. "Open-ended property funds: Risk and return profile — Diversification benefits and liquidity risks," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 90-107.
    3. Elaine Worzala & C.F. Sirmans, 2003. "Investing in International Real Estate Stocks: A Review of the Literature," Urban Studies, Urban Studies Journal Limited, vol. 40(5-6), pages 1115-1149, May.

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