Authors: Andrew G. Mueller, and Glenn R. Mueller

Start Page: 193
End Page:204
Volume: 9
Issue Number: 3
Year: 2003
Publication: Journal of Real Estate Portfolio Management

Abstract: Recent stock market volatility and low interest rates have renewed interest in income/ dividend producing investments. Previous research has studied the inclusion of public real estate or private real estate in a mixed-asset portfolio, but only one study has included both (with constraints). This study analyzes the inclusion of both public and private real estate in a mixed-asset portfolio using the mean/variance Markowitz efficient frontier methodology unconstrained. The 5-, 10-, 15- and 25-year results show that both public and private real estate can improve efficient frontiers substantially and may command a larger allocation than currently used.