Purpose – The purpose of this paper is to examine the time‐varying correlation structure of international real estate stock markets and its implications for portfolio management. Design/methodology/approach – The analysis focuses on real estate markets only and examines the appropriateness...

Purpose – The purpose of this paper is to compare the risk and return characteristics as well as the allocation of mean‐variance (MV) and downside risk (DR) optimized portfolios of international real estate stock markets and to discuss implications for portfolio management....

Purpose Using a data set comprising 16 European office markets provided by the DTZ Research Institute from Q1 2003 to Q4 2013, the purpose of this paper is to measure the strength of the unconditional transmission of volatility in the returns to direct property between 16 European office markets...