Mean-Variance Spanning Tests of Real Estateís Portfolio Contribution

Stephen Lee, Simon Stevenson and Alexandra Krystalogianni

ERES from European Real Estate Society (ERES)

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.

JEL-codes: R3 (search for similar items in EconPapers)
Date: 2007-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2007_245

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