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Public and Private Real Estate in a Mixed-Asset Portfolio

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  • Mueller Andrew
  • Mueller Glenn

Abstract

Executive Summary. Recent stock market volatility and low interest rates have renewed interest in income / dividend producing investments. Previous research has studied the inclusion of public real estate or private real estate in a mixed-asset portfolio, but only one study has included both (with constraints). This study analyzes the inclusion of both public and private real estate in a mixed-asset portfolio using the mean / variance Markowitz efficient frontier methodology unconstrained. The 5-, 10-, 15- and 25-year results show that both public and private real estate can improve efficient frontiers substantially and may command a larger allocation than currently used.

Suggested Citation

  • Mueller Andrew & Mueller Glenn, 2003. "Public and Private Real Estate in a Mixed-Asset Portfolio," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 9(3), pages 193-203, January.
    • Handle: RePEc:taf:repmxx:v:9:y:2003:i:3:p:193-203
    DOI: 10.1080/10835547.2003.12089682
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