This paper offers a new way to explain the puzzling stylized fact that there is a large mass of institutional investors with very little assets in real estate. The paper develops a model in which pension fund trustees will generally skew their holdings of assets toward investments with the potential for high returns, afraid that if they do not invest in assets with high returns, they may not achieve their target return. To that end, pension fund trustees will devote very little resources to investing directly in real estate. Further, the paper finds evidence that pension fund trustees will conform to group consensus (which explains why there is considerable consensus among institutional investors with respect to their actual real estate allocations. The paper also finds that portfolio allocations are quite persistent over time.