This research investigates the role of real estate in a mixed-asset portfolio for various investment horizons.  Using U.S. data spanning almost three decades, we report that medium to long term investors should allocate 20% of their portfolio to direct real estate.  In contrast, short term investors should focus on open-end core funds, which are found to be good substitutes for direct investments.  REITs are usually of limited interest as a substitute for direct real estate, but they could be used in conjunction with direct investments for medium and long term horizons, as they partly substitute for stocks.  Value-added and opportunistic closed-end funds are found to be imperfect substitutes for direct investments.  Finally, we find that including commodities, private equity, and hedge funds in a portfolio enhances its performance but the allocation to real estate barely changes.