Abstract
The Markowitz theory (Markowitz, 1952) is the standard framework considered in the asset management industry, and the literature has already evaluated the usefulness of these approaches for the real estate industry. Due to the lack of normality of returns, the mean-variance approach used in the Modern Portfolio theory does not work properly in the real estate industry (Cheng and Liang, 2009), and optimal portfolios constructed on the mean-variance framework frequently are suboptimal with respect to other solutions available (Byrne and Lee, 1997).
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© 2015 Gianluca Mattarocci
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Mattarocci, G. (2015). Optimal Asset Allocation for European Real Estate. In: Mattarocci, G., Pekdemir, D. (eds) European Real Estate. Palgrave Macmillan, London. https://doi.org/10.1057/9781137436122_9
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DOI: https://doi.org/10.1057/9781137436122_9
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-56026-4
Online ISBN: 978-1-137-43612-2
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