DIVERSIFICATION GAINS FROM INCLUDING REAL ESTATE IN MIXED‐ASSET PORTFOLIOS*

James R. Webb · Richard J. Curcio · Jack H. Rubens

88 citations0/0 files storedDecision Sciences

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Financial Markets and Investment Strategies Housing Market and Economics

Abstract

ABSTRACT Diversification gains in mean‐variance efficiency derived from including real estate in financial asset portfolios are examined. Optimal financial and mixed‐asset portfolios were generated by selecting from an investment universe including several distinct financial and real estate media. Deficiencies of previous studies were overcome by employing data with improved representativeness and comparability. The efficient mixed‐asset portfolios dominated the efficient financial asset portfolios implying that purely financial asset diversification is inefficient. The optimal mixed‐asset portfolio prescribed that approximately two‐thirds of the investment wealth be allocated to real estate and one‐third to the financial media.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 88 citations exist upstream.

References

1952PORTFOLIO SELECTION*1958Liquidity Preference as Behavior Towards Risk 1984Real Estate Returns: A Comparison with Other Investments 1976SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION 1984Real Estate Investment Funds: Performance and Portfolio Considerations 198420% in Real Estate 1989Stocks, bonds, bills, and inflation : historical returns (1926-1987)

Cited by

1999Diversification Issues in Real Estate Investment 1998Real Estate Returns and Inflation: An Added Variable Approach 1992The allocation to property in the multi‐asset portfolio: The evidence and theory reconsidered 1995The Historical Environment of Real Estate Returns 1996The Bootstrap Efficient Frontier for Mixed‐Asset Portfolios 1997Higher Real Estate Risk and Mixed-Asset Portfolio Performance 1993Hedging Foreign Investments in U.S. Real Estate with Currency Options

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.