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.
Lee, Stephen, Simon Stevenson, and Alexandra Krystalogianni. "Mean-Variance Spanning Tests of Real Estateís Portfolio Contribution." In 14th Annual European Real Estate Society Conference. ERES: Conference. London, UK, 2007.
Section: Session E1: Real Estate Investment Dynamics