Mean-Variance Spanning Tests of Real Estate’s Portfolio Contribution
||Lee, Stephen; Alexandra Krystalogianni & Simon Stevenson
||Mean-Variance Spanning Tests of Real Estate’s Portfolio Contribution
||14th Annual European Real Estate Society Conference in London, UK
||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.
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||Session E1: Real Estate Investment Dynamics
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