There is extant literature using showing that private real estate has a major part to play in the mixed-asset portfolio. There is also a good deal of evidence showing that Real Estate Investment Trusts (REITs) makes a substantial contribution to the mixed-asset portfolio. But only two studies have explicitly examined what risk/return benefits real estate actually offers the mixed-asset portfolio. However, neither study examined whether real estate, either public or private, offers a benefit to the mixed-asset portfolio if such a portfolio already includes the alternative real estate asset class. This paper examines this issue using the method suggested by Liang and McIntosh (1999), which decomposes the overall risk-adjusted benefits of an investment to an existing portfolio into its diversification benefits and return benefits.
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Lee, Stephen. "THE BENEFITS OF PUBLIC AND PRIVATE REAL ESTATE." In 17th Annual European Real Estate Society Conference. ERES: Conference. Milan, Italy, 2010.
Section: Real Estate Investment & Portfolio Management (2)