The Impact of Real Estate on the Mixed-Asset Portfolio in Periods of Financial Stress
- Topics:
- Real Estate Services,
- Regulations
- Tags:
- Business Operations,
- Finance,
- Financial,
- Financial Accounting,
- Portfolio,
- Real Estate,
- University Of Reading
- Source:
- University of Reading
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Overview: The case for holding real estate in the mixed-asset portfolio is typically made on its stabilizing effect as a result of its diversification benefits. However, portfolio diversification often fails when it is most needed, i.e. during periods of financial stress. In these periods, the variability of returns for most asset classes increases thus reducing the stabilizing effect of a diversified portfolio. This paper applies the approach of Chow et al (1999) to the US domestic mixed-asset portfolio to establish whether real estate, represented by REITs, is especially useful in times of financial stress.
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Format: PDF | Size: 62KB | Date: May 2003 | Pages: 17
