The importance of considering regimes in long‐term asset allocation to real estate
研究了在包含公开交易房地产的混合资产组合中，考虑体制转换的长期资产配置，发现马尔可夫转换模型能提升预测能力并带来有经济意义的期限效应，且公开房地产在低风险厌恶和长期投资中获显著配置。
Abstract We investigate the long‐term, regime‐dependent asset allocation of an investor's wealth in a mixed‐asset portfolio that includes publicly traded real estate. We show that augmenting standard VAR models with Markov‐switching features not only improves predictive power for asset returns but also introduces economically meaningful horizon effects in optimal portfolio allocations. As the investment horizon lengthens, optimal portfolio allocations become less sensitive to the prevailing regime. Across initial states, the sensitivity of portfolio allocations to the investment horizon manifests primarily through a gradual reallocation toward risky assets relative to risk‐free assets, particularly at lower levels of risk aversion. Public real estate receives economically meaningful portfolio allocations under these conditions. Out‐of‐sample portfolio tests further show that regime‐switching models deliver higher realized utility and Sharpe ratios than linear and independent and identically distributed benchmarks. Overall, the results highlight the economic value of incorporating regime shifts into long‐term portfolio choice and confirm the continued role of publicly traded real estate in mixed‐asset portfolios.