Real estate investment is different from financial investment and such difference can affect the results of traditional mean -variance models. The literature on property finance summarises the differences of expected return and expected risk among individual real estate investments into four risk profiles: tenant, endogenous, exogenous and financial risks. The aim of this paper is to examine how the differences reported in the literature can affect the composition of a real estate portfolio based on Markowitz optimisation standards. The results stemming from the use of a real estate database supplied by Fimit SGR showed that an ex-ante study of risk profiles can help to identify those investment opportunities which are more or less near to the efficient frontier, although there is no prevailing criterion to identify a portfolio able to maximise investment diversification benefits.