This paper investigates the significance of commercial property investment in Malaysia in a mix asset portfolio from January 1998 to April 2010. Design/methodology/approach ñ Data for the research was obtained from DataStream which taken from Kuala Lumpur Composite Index (KLCI), Malaysian Government Securities (bonds), Kuala Lumpur Stock Exchange Properties (properties), Malaysia Treasury Bill Discount Rate (Cash) and Kuala Lumpur Stock Exchange Plantation (plantation). Findings ñ This paper provide some dependable model and technique in term of portfolio optimisation. As a result it also provides more accurate result the role of property portfolios in mixed-asset portfolios. In term of diversification benefit Malaysian property market showed some improvement in the recent years. While in asset allocation property portfolio gives property portfolios gives some significant allocation at all risk levels. Originality/value ñ This paper examines the role of property investment in Malaysia in a mix asset portfolio.