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Mean-Variance Spanning Tests of Real Estateís Portfolio Contribution

Author

Listed:
  • Stephen Lee
  • Simon Stevenson
  • Alexandra Krystalogianni

Abstract

This study re-examines the diversification opportunities that may arise from the inclusion of the private real estate market in a mixed-asset portfolio. The paper's two primary contributions are that firstly we examine this issue through the use of a mean-variance spanning approach rather than the analysis of conventional optimal portfolios. Secondly, we also examine the issue using the recently released MIT-NCREIF Transaction Based Index.

Suggested Citation

  • Stephen Lee & Simon Stevenson & Alexandra Krystalogianni, 2007. "Mean-Variance Spanning Tests of Real Estateís Portfolio Contribution," ERES eres2007_245, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2007_245
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    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2007-245
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    More about this item

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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