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作者

来源

REAL ESTATE ECONOMICS,Vol.45,Issue1,P.75-132

语言

英文

关键字

INVESTMENT HORIZON; LONG-RUN; INDEX CONSTRUCTION; PRICING MODEL; HEDGE FUNDS; RETURNS; RISK; PERFORMANCE; VARIANCE; MARKET

作者单位

[Pagliari, Joseph L., Jr.] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. Pagliari, JL (reprint author), Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. E-Mail: joseph.pagliari@chicagobooth.edu

摘要

This article examines real estate's role in institutional mixed-asset portfolios using both private- and public-real estate indices, as a means of examining varying real estate-related risk/return opportunities. In so doing, this article also examines the effects of: (1) increasing the investment horizon, (2) placing constraints on the maximum allocation to any one asset class, and (3) varying the risk preferences of investors. The empirical results suggestusing infinite-horizon returns and all of the caveats that accompany such a perspectivethat real estate allocations of approximately 10-15% of the mixed-asset portfolio represent an upper bound for most investors. For those investors preferring low-risk portfolios, (unlevered) private real estate is the vehicle serving this allocation preference; for those investors preferring high-risk portfolios, public real estate (with its embedded leverage of 40-50%) is the vehicle serving this allocation preferencewith such vehicles serving as substitutes for a variety of noncore real estate strategies. In some sense, the distinction between private and public real estate is more about the use of leverage. For those investors preferring moderate-risk portfolios, an intermediate-leverage approach seems optimal.