Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - Federal Reserve Bank of St. Louis - 2009
-of-sample gains from diversification when E-REITs belong to the investment opportunity set. We find that diversification into REITs … increases both the Sharpe ratio and the certainty equivalent of wealth for all investment horizons and for both Classical and …. This paper evaluates ex post, out-of-sample gains from
diversification when E-REITs belong to the investment opportunity …