Abstract
Portfolio investment choices can have a direct impact on the performance of any type of real estate investment vehicles (hereinafter REIV), and the effect could be even more important than other financial ratios of the instrument (like leverage, efficiency, etc.) (Redman and Manakyan, 1995). Literature focuses the attention on the role of different asset classes in REIV’s portfolio and provides evidence that portfolio construction choices and the role of different sectors can affect the market risk of the investment strategy (Newell and Peng, 2006). In the standard mean-variance scenario assumed in the Sharpe Ratio, the choice to focus prevalently on one sector with respect to another one can affect significantly the optimal portfolio choice (Newell and Fischer, 2009).
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
P. Cheng and Y. Liang (2009) ‘Optimal Diversification: Is It Really Worthwhile?’, Journal of Real Estate Portfolio Management, 6, 7–15.
I. Cullen (1993) Cluster Analysis and Property Risk, www.rics.org, date accessed 01 March 2015.
C. Giannotti and G. Mattarocci (2013) ‘Risk Measurement Choice in Selecting REITs: Evidence from the U.S. Market’, Journal of Real Estate Portfolio Management, 19, 137–53.
L. Gibilaro and G. Mattarocci (2015) Are Home Biased REITs Worthwhile?, www.aresnet.org, date accessed 01 March 2015.
T.K.J. Grissom and C. Walther (1987) ‘Diversification Works in Real Estate Too’, Journal of Portfolio Management, 13, 66–71.
F. Heydenreich (2010) ‘Economic Diversification: Evidence for the United Kingdom’, Journal of Real Estate Portfolio Management, 16, 71–86.
S. Lee and P. Byrne (1998) ‘Diversification by Sector, Region or Function? A Mean Absolute Deviation Optimization’, Journal of Property Valuation & Investment, 16, 38–56.
R. MacCowan (2008) ‘A Behavioural Study of the Decision Processes Underpinning Disposals by Property Fund Managers’, Journal of Property Investment & Finance, 26, 342–61.
G. Mattarocci and G. Siligardos (2013) ‘Real Estate Trends and Portfolio Rebalancing: Evidence from Main European Markets’ in A. Carretta and G. Mattarocci (eds), Asset Pricing, Real Estate and Public Finance over the Crisis (Houndmills: Palgrave MacMillan).
M. Miles and T. McCue (1982) ‘Historic Returns and Institutional Real Estate Portfolios’, AREUEA Journal, 10, 184–99.
G. Newell and H.W. Peng (2006) ‘The Role of Non-Traditional Real Estate Sectors in REIT Portfolios’, Journal of Real Estate Portfolio Management, 12, 155–66.
G. Newell and F. Fischer (2009) ‘The Role of Residential REITs in REIT Portfolios’, Journal of Real Estate Portfolio Management, 15, 129–39.
A.L. Redman and H. Manakyan (1995) ‘A Multivariate Analysis of REIT Performance by Financial and Real Asset Portfolio Characteristics’, Journal of Real Estate Finance & Economics, 10, 169–75.
M.J. Seiler, J.R. Webb and F.C. Neil Myer (1999) ‘Diversification Issues in Real Estate Investment’, Journal of Real Estate Literature, 7, 163–79.
Editor information
Editors and Affiliations
Copyright information
© 2015 Gianluca Mattarocci
About this chapter
Cite this chapter
Mattarocci, G. (2015). Asset Allocation Strategy and Market Return for Real Estate Institutional Investors. In: Mattarocci, G., Pekdemir, D. (eds) European Real Estate. Palgrave Macmillan, London. https://doi.org/10.1057/9781137436122_10
Download citation
DOI: https://doi.org/10.1057/9781137436122_10
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-56026-4
Online ISBN: 978-1-137-43612-2
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)