A Note on Optimal Portfolio Selection and Diversification Benefits with a Short Sale Restriction on Real Estate Assets

Tsong-Yue Lai (), Ko Wang (), Su Han Chan () and Daniel C. Lee
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Tsong-Yue Lai: Department of Finance California State University, Fullerton Fullerton, California 82834, http://business.fullerton.edu/finance/
Su Han Chan: Department of Finance California State University, Fullerton Fullerton, California 82834, http://business.fullerton.edu/finance/
Daniel C. Lee: Department of Finance California State University, Fullerton Fullerton, California 82834, http://business.fullerton.edu/finance/

Journal of Real Estate Research, 1992, vol. 7, issue 4, 493-501

Abstract: This paper develops an optimal portfolio selection technique when short sales on real estate assets are restricted. Using the well-known mean-variance efficient concept, we are able to derive the optimal weights for portfolios consisting of both financial assets and real estate assets. Our paper provides a simple but powerful tool for portfolio managers to correctly construct mean-variance portfolios under short sale constraints.

JEL-codes: L85 (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (5)

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