Optimization of international securitized real estate portfolios has been a key topic for several decades. However, most previous analysis has focused on regional diversification by applying the traditional mean-variance (MV) framework suggested by Markowitz (1952) even if the limitations of...

Recent empirical evidence raises doubt about the ability of financial market participants to generate information efficient valuations for capital market instruments whose cash flows are related to residual claims and dependent on real estate income. We contribute to this literature with the...

Mixed-asset portfolio optimization consists in determining the best allocation among standard financial assets such as money market accounts, bonds, stocks and real estate asset as well. For this latter kind of asset, computing the optimal weight can be challenging. First, there is the need to...