Optimal Asset Allocation for European Real Estate

Gianluca Mattarocci

Chapter 8 in European Real Estate, 2015, pp 154-182 from Palgrave Macmillan

Abstract: Abstract The Markowitz theory (Markowitz, 1952) is the standard framework considered in the asset management industry, and the literature has already evaluated the usefulness of these approaches for the real estate industry. Due to the lack of normality of returns, the mean-variance approach used in the Modern Portfolio theory does not work properly in the real estate industry (Cheng and Liang, 2009), and optimal portfolios constructed on the mean-variance framework frequently are suboptimal with respect to other solutions available (Byrne and Lee, 1997).

Keywords: Real Estate; Optimal Portfolio; Hedge Fund; Excess Return; Sharpe Ratio (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-43612-2_9

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DOI: 10.1057/9781137436122_9

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