Gains From Diversifying Into Real Estate: Three Decades of Portfolio Returns Based on the Dynamic Investment Model
比较了在股票和债券组合中加入最多三类房地产后的投资策略与回报，发现主动策略下加入美国房地产对风险厌恶型投资者收益显著，而半被动策略下收益相对有限。
This paper compares the investment policies and returns for portfolios of stocks and bonds with and without up to three categories of real estate. Both domestic and global settings are examined, with and without the possibility of leverage. The portfolios were generated via the dynamic investment model based on the empirical probability assessment approach applied to past (joint) realizations of returns, both with and without correction for “smoothing” in the real estate data series. Our principal findings are: (1) the gains from adding real estate, on a semi‐passive (equal‐weighted) basis, to portfolios of either U.S. or global financial assets were relatively modest; in contrast, (2) the gains from adding real estate to the universe of U.S. financial assets under an active strategy were rather large (in some cases highly statistically significant), especially for the very risk‐averse strategies; (3) the gains from adding U.S. real estate to a universe of global financial assets under an active strategy were mixed, although generally favorable for the highly risk‐averse strategies; (4) correcting for second‐moment smoothing in the real estate returns series had a relatively small impact for the more risk‐tolerant strategies; and (5) there was some evidence that desmoothing resulted in improved probability estimates.