Real Estate's Role in the Mixed Asset Portfolio: A Re-Examination - Real Estate Returns and Other Asset Classes: A Review of Literature (April 2012)
Working paper 1 of 7, alongside a summary report. Literature examining the relationship between real estate returns and those of other asset classes are reviewed. Standard portfolio optimising techniques point to an optimally larger real estate allocation than is usually found in a mixed portfolio. Studies incorporating desmoothing and alternative approaches to risk measurement demonstrate a more complex, time varying relationship that impacts on the diversification benefits of real estate.