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
References: Add references at CitEc
Citations:
Downloads: (external link)
https://eres.architexturez.net/doc/oai-eres-id-eres2007-245 (text/html)
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:arz:wpaper:eres2007_245
Access Statistics for this paper
More papers in ERES from European Real Estate Society (ERES) Contact information at EDIRC.
Bibliographic data for series maintained by Architexturez Imprints ().