Eres : Digital Library : Works

Paper eres2007_155:
Diversification in UK Property Portfolios

id eres2007_155
authors Key, Tony; Mark Callender & Stephen Devaney
year 2007
title Diversification in UK Property Portfolios
source 14th Annual European Real Estate Society Conference in London, UK
summary The issue of diversification in direct real estate investment portfolios has been one of the most widely studied topics in academic and practitioner literature. Most work, however, has been done using mean returns and risks for broad market segments as inputs asset allocation models, or in a few cases using data from small sets of individual properties. This paper reports results from a comprehensive testing of asset allocation modelling drawing on records of 10,000+ UK properties tracked by Investment Property Databank. It provides for the first time robust estimates of the diversification gains attainable given return, risk and cross-correlations across individual properties actually available to fund managers. The discussion of results covers implications for the number of assets and amount of money needed to construct “balanced” portfolios by direct investment, or via indirect specialist vehicles.
series ERES:conference
discussion No discussions. Post discussion ...
session Session B1: Innovations in Real Estate Investment
last changed 2009/11/19 09:01
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