The Role of Real Estate in the Portfolio Allocation Process
研究了直接房地产投资在资产组合中的作用，考虑资产不可分割和无卖空限制，发现9%的配置比例最优，且小规模房产的分散化收益最大。
This study explores the role of direct real estate investment in a portfolio context incorporating the real estate imperfections of indivisible assets and no short sales. Mean‐variance efficient portfolios are calculated using Treasury‐bills, bond and equity indices together with cash flows and appraised values from a set of twenty‐two properties having an aggregate appraised value of $336 million. Real estate diversification benefits are shown to be the greatest with smaller properties and are most advantageous at higher target levels of return. The study suggests that a 9% allocation to real estate is optimal, rather than the 20% figure suggested in other studies.