The Allocation of Real Estate to Future Mixed-Asset Institutional Portfolios

S. Michael Giliberto
Additional contact information
S. Michael Giliberto: Salomon Brothers, Inc. 7 World Trade Center-38th Floor New York, New York 10048, http://www.smithbarney.com/

Journal of Real Estate Research, 1992, vol. 7, issue 4, 423-432

Abstract: This paper uses the mean-variance framework to investigate real estate's role in an institutional portfolio. Unlike previous research, however, the paper does not assume a value for future real estate returns. Instead, it is assumed that real estate is held in the portfolio, and the level of expected return that is needed to justify the allocation is determined. Gross returns in the 10%-12% range appear to be sufficient; however, such returns are considerably greater than the sector's recent performance. The impact of adding real estate to a benchmark portfolio is reexamined using the shortfall risk approach. Finally, several caveats about using the mean-variance technique with real estate are described.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1992
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://pages.jh.edu/jrer/papers/pdf/past/vol07n04/v07p423.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jre:issued:v:7:n:4:1992:p:423-432

Ordering information: This journal article can be ordered from
Diane Quarles American Real Estate Society Manager of Member Services Clemson University Box 341323 Clemson, SC 29634-1323
http://pages.jh.edu/jrer/about/get.htm

Access Statistics for this article

Journal of Real Estate Research is currently edited by Dr. Ko Wang

More articles in Journal of Real Estate Research from American Real Estate Society American Real Estate Society Clemson University School of Business & Behavioral Science Department of Finance 401 Sirrine Hall Clemson, SC 29634-1323.
Bibliographic data for series maintained by JRER Graduate Assistant/Webmaster ().