TY  - JOUR
AB  - This study re‐examines the potential role that direct real estate can play in institutional mixed‐asset portfolios. The paper examines the statistical improvement in performance that can result from the inclusion of real estate in an international mixed asset portfolio, using both in‐sample and out‐of‐sample data. Using US real estate data the results provide evidence that in most cases real estate does not lead to a significant improvement in portfolio performance in sample. However, out‐of‐sample tests indicate that the asset does provide a valuable diversification asset, with significant improvements in performance relative to a base capital market only portfolio.
VL  - 22
IS  - 1
SN  - 1463-578X
DO  - 10.1108/14635780410525126
UR  - https://doi.org/10.1108/14635780410525126
AU  - Stevenson Simon
PY  - 2004
Y1  - 2004/01/01
TI  - Testing the statistical significance of real estate in an international mixed asset portfolio
T2  - Journal of Property Investment & Finance
PB  - Emerald Group Publishing Limited
SP  - 11
EP  - 24
Y2  - 2024/05/09
ER  -