TY - JOUR
T1 - Diversifying in public real estate: The ex-post performance
AU - Fugazza, Carolina
AU - Guidolin, Massimo
AU - Nicodano, Giovanna
PY - 2008
Y1 - 2008
N2 - We calculate the ex-post, realised portfolio performance for an investor who diversifies among US stocks, bonds, real estate indirect investment vehicles (E-REITS), and cash. Simulations are performed for two alternative asset allocation frameworks — classical and Bayesian — and for scenarios involving two different samples and six different investment horizons. Interestingly, the ex-post welfare cost of restricting portfolio choice to traditional financial assets (ie, stocks, bonds, and cash) is only found to be positive in all scenarios for a Bayesian investor. On the contrary, substitution of E-REITS for stocks in optimal portfolios turns out to reduce ex-post portfolio performance over the nineties and for a Classical investor who ignores parameter estimation uncertainty.Journal of Asset Management (2008) 8, 361-373. doi:10.1057/palgrave.jam.2250089
AB - We calculate the ex-post, realised portfolio performance for an investor who diversifies among US stocks, bonds, real estate indirect investment vehicles (E-REITS), and cash. Simulations are performed for two alternative asset allocation frameworks — classical and Bayesian — and for scenarios involving two different samples and six different investment horizons. Interestingly, the ex-post welfare cost of restricting portfolio choice to traditional financial assets (ie, stocks, bonds, and cash) is only found to be positive in all scenarios for a Bayesian investor. On the contrary, substitution of E-REITS for stocks in optimal portfolios turns out to reduce ex-post portfolio performance over the nineties and for a Classical investor who ignores parameter estimation uncertainty.Journal of Asset Management (2008) 8, 361-373. doi:10.1057/palgrave.jam.2250089
U2 - 10.1057/palgrave.jam.2250089
DO - 10.1057/palgrave.jam.2250089
M3 - Article
VL - 8
SP - 361
EP - 373
JO - Journal of Asset Management
JF - Journal of Asset Management
ER -