Huang, Jing-zhi; Zhong, Zhaodong - In: The Journal of Real Estate Finance and Economics 46 (2013) 1, pp. 152-192
Diversification benefits of three “hot” asset classes—Commodity, Real Estate Investment Trusts (REITs), and Treasury … diversification benefits of each asset class change substantially over time. Therefore, all three asset classes ought to be included … in investors’ portfolios. Furthermore, we show that the observed time variation in diversification benefits can be …