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Real Estate Investment in an Asset/Liability Modeling Context

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  • Philip Booth

Abstract

Executive Summary. The role of real estate in a pension plan is examined using an asset/liability modeling framework. The study developed a representative liability model of a pension fund to find the impact of different liability structures on asset allocation. Efficient real estate allocations in the pension-plan context are found to be very different from those that are efficient in an assetonly framework and the liability structure has a significant impact on the composition of efficient portfolios, including allocations to real estate.

Suggested Citation

  • Philip Booth, 2002. "Real Estate Investment in an Asset/Liability Modeling Context," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 8(3), pages 183-198, January.
    • Handle: RePEc:taf:repmxx:v:8:y:2002:i:3:p:183-198
    DOI: 10.1080/10835547.2002.12089667
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