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Diversification with International REITs

In: Advanced REIT Portfolio Optimization

Author

Listed:
  • W. Brent Lindquist

    (Texas Tech University)

  • Svetlozar T. Rachev

    (Texas Tech University)

  • Yuan Hu

    (University of California San Diego)

  • Abootaleb Shirvani

    (Kean University)

Abstract

The question of the diversification impact under the inclusion of international REITs into the prototype domestic REIT portfolios of Chap. 4 is addressed in this Chapter. Optimized portfolios consisting solely of the international REITs and of global (combined domestic and international) REITs are constructed and their performance compared with the domestic REIT portfolios of Chap. 4 . Overall, whether employing long-only or long–short strategies, there is little evidence that diversification via international REITs can improve performance.

Suggested Citation

  • W. Brent Lindquist & Svetlozar T. Rachev & Yuan Hu & Abootaleb Shirvani, 2022. "Diversification with International REITs," Dynamic Modeling and Econometrics in Economics and Finance, in: Advanced REIT Portfolio Optimization, chapter 0, pages 73-86, Springer.
    • Handle: RePEc:spr:dymchp:978-3-031-15286-3_5
    DOI: 10.1007/978-3-031-15286-3_5
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