SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
DIVERSIFICATION GAINS FROM INCLUDING REAL ESTATE IN MIXED‐ASSET PORTFOLIOS*
7 references·16 citing·39 second hop
DIVERSIFICATION GAINS FROM INCLUDING REAL ESTATE IN MIXED‐ASSET PORTFOLIOS* (1988)DIVERSIFICATION GAINS FROM INCLUDING REAL…Stocks, bonds, bills, and inflation : historical returns (1926-1987) (1989)Stocks, bonds, bills, and inf…Real Estate Returns: A Comparison with Other Investments (1984)Real Estate Returns: A Compar…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…20% in Real Estate (1984)20% in Real EstateSIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION (1976)SIMPLE CRITERIA FOR OPTIMAL P…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*An Overview of the Initial Performance of the South African REIT Market (2017)An Overview of the Initial Pe…The Changing Benefit of REITs to the Mixed-Asset Portfolio (2010)The Changing Benefit of REITs…Global Real Estate Investment: Characteristics, Optimal Portfolio Allocation and Future Trends (2001)Global Real Estate Investment…Can Private Real Estate Portfolios Be Rebalanced/Diversified Using Equity REIT Shares? (2001)Can Private Real Estate Portf…Diversification Issues in Real Estate Investment (1999)Diversification Issues in Rea…Real Estate Returns and Inflation: An Added Variable Approach (1998)Real Estate Returns and Infla…Higher Real Estate Risk and Mixed-Asset Portfolio Performance (1997)Higher Real Estate Risk and M…The Bootstrap Efficient Frontier for Mixed‐Asset Portfolios (1996)The Bootstrap Efficient Front…Using forward contracts to hedge foreign investment in US real estate (1995)Using forward contracts to he…The role of international property in investment portfolios (1995)The role of international pro…The Historical Environment of Real Estate Returns (1995)The Historical Environment of…Real Estate Allocation in Pension Fund Portfolios (1995)Real Estate Allocation in Pen…Hedging Foreign Investments in U.S. Real Estate with Currency Options (1993)Hedging Foreign Investments i…The allocation to property in the multi‐asset portfolio: The evidence and theory reconsidered (1992)The allocation to property in…The Allocation of Real Estate to Future Mixed-Asset Institutional Portfolios (1992)The Allocation of Real Estate…The Effect of Alternative Return Measures on Restricted Mixed‐Asset Portfolios (1988)The Effect of Alternative Ret…Asset returns and inflation (1977)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)The Relationship Between REITs Returns and Inflation: A Vector Error Correction Approach (2001)Investment returns under right- and left-wing governments in Australasia (2007)Do Islamic Stock Returns Hedge Against Inflation? A Wavelet Approach (2017)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Economic Forces and the Stock Market (1986)Returns and Risk on Real Estate and Other Investments: More Evidence (2001)Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value (2009)Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)The arbitrage theory of capital asset pricing (1976)Diversification Categories in Investment Real Estate (1986)Real Estate Returns and Inflation (1987)Price formation and the appraisal function in real estate markets (1991)Portfolio Selection (1952)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)How to Use Security Analysis to Improve Portfolio Selection (1973)Delegated portfolio management (1985)A Brief History of Downside Risk Measures (1999)Multi-objective stochastic programming for portfolio selection (2005)Time Series Analysis: Forecasting and Control (1977)Real estate portfolio diversification by property type and region (1995)The inflation‐hedging characteristics of Australian commercial property: 1984‐1995 (1996)Price discovery in the Hong Kong real estate market (2001)The Role of Real Estate in the Portfolio Allocation Process (1996)Public Versus Private Real Estate Equities: A More Refined, Long-Term Comparison (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)On the term structure of interest rates (1990)The equity premium and the allocation of income risk (1992)The sustainability of bond-financed deficits: An overlapping generations approach (2000)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 1984Real Estate Returns: A Comparison with Other Investments335 cited
  • 1976SIMPLE CRITERIA FOR OPTIMAL PORTFOLIO SELECTION317 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited
  • 198420% in Real Estate124 cited
  • 1989Stocks, bonds, bills, and inflation : historical returns (1926-1987)93 cited

Cited by

  • 1999Diversification Issues in Real Estate Investment140 cited
  • 1992The allocation to property in the multi‐asset portfolio: The evidence and theory reconsidered83 cited
  • 1998Real Estate Returns and Inflation: An Added Variable Approach83 cited
  • 1995The role of international property in investment portfolios63 cited
  • 1995The Historical Environment of Real Estate Returns61 cited
  • 2001Global Real Estate Investment: Characteristics, Optimal Portfolio Allocation and Future Trends57 cited
  • 1996The Bootstrap Efficient Frontier for Mixed‐Asset Portfolios51 cited
  • 1997Higher Real Estate Risk and Mixed-Asset Portfolio Performance48 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1993Hedging Foreign Investments in U.S. Real Estate with Currency Options38 cited
  • 2001Can Private Real Estate Portfolios Be Rebalanced/Diversified Using Equity REIT Shares?34 cited
  • 1995Real Estate Allocation in Pension Fund Portfolios32 cited
  • 2010The Changing Benefit of REITs to the Mixed-Asset Portfolio32 cited
  • 1992The Allocation of Real Estate to Future Mixed-Asset Institutional Portfolios31 cited
  • 1988The Effect of Alternative Return Measures on Restricted Mixed‐Asset Portfolios30 cited
  • 2017An Overview of the Initial Performance of the South African REIT Market29 cited
  • 1995Using forward contracts to hedge foreign investment in US real estate26 cited