Geographic diversity is a fundamental tenet in portfolio management. Yet there is evidence from the US that institutional investors prefer to concentrate their real estate investments in favoured and specific areas as primary locations for the properties that occupy their portfolios. The little...

The use of MPT in the construction real estate portfolios has two serious limitations when used in an ex-ante framework: (1) the intertemporal instability of the portfolio weights and (2) the sharp deterioration in performance of the optimal portfolios outside the sample period used to estimate...

[abstract missing - contribution appeared in the programme]

ERES:conference

[abstract missing - contribution appeared in the programme]

Investment in ground rents are coming to the attention of more investors, as continuing volatility in financial markets focuses attention on products paying stable returns. However, due to their operational nature, ground rents are often better managed over the long term by specialist operators...

This paper assesses whether the returns of the UK securitised real estate market are converging with those of the other countries in Europe relative to the returns in the US. Using time-varying parameter modelling techniques with monthly data over the period 1990 to 2007 we show that from 1998...

A number of studies have examined the benefits of regional diversification strategies within commercial real estate portfolios with two approaches adopted; the first is based on primary contiguous geographical regions while the second employs areas based on economic function. In general, the...

Surveys of 'experts' have been undertaken to obtain forecasts of the future risk and return relationship of Property with Equities and Bonds in both the USA and the UK. The mean or median values of these forecasts have been used in asset allocation models to justify Property's position in the...

The performance of a sample of real estate funds over the period 1989-2001 is analysed in order to assess the fund manager's selection and timing ability. In addition to conventional performance measures a number of alternative techniques are also used in order to overcome potential biases...