DIVERSIFICATION GAINS FROM INCLUDING REAL ESTATE IN MIXED‐ASSET PORTFOLIOS*
研究了在金融资产组合中加入房地产能否提升均值-方差效率，发现最优混合组合中约三分之二应配置房地产，纯金融组合效率较低。
ABSTRACT Diversification gains in mean‐variance efficiency derived from including real estate in financial asset portfolios are examined. Optimal financial and mixed‐asset portfolios were generated by selecting from an investment universe including several distinct financial and real estate media. Deficiencies of previous studies were overcome by employing data with improved representativeness and comparability. The efficient mixed‐asset portfolios dominated the efficient financial asset portfolios implying that purely financial asset diversification is inefficient. The optimal mixed‐asset portfolio prescribed that approximately two‐thirds of the investment wealth be allocated to real estate and one‐third to the financial media.