Hamelink, Foort; Hoesli, Martin - In: Journal of Property Research 21 (2004) 1, pp. 5-29
The role of real estate in a mixed-asset portfolio is investigated when the maximum drawdown (hereafter MaxDD), rather than the standard deviation, is used as the measure of risk. In particular, it is analysed whether the discrepancy between the optimal allocation to real estate and the actual...