Hoesli, Martin; Liljeblom, Eva; Löflund, Anders - 2012
theoretical and empirical weights for real estate in a multi-asset portfolio. Since asset correlations are known to increase in … ante. Using the portfolio policies by Brandt and Santa-Clara (2006), and introducing a lock-up in line with de Roon, Guo … and ter Horst (2009), we study the effects of a partial lock-up on the weight for REITs in a U.S. stock and bond portfolio …